PARVEST EQUITY WORLD
LOW VOLATILITY
OCTOBER 2016
Key strengths (1/2)
THE PRODUCT
Proprietary systematic approach designed to capture the “low volatility
premium*”
 Well diversified process investing across all equity sectors
 Investing only in the least volatility stocks from each sector
 Capturing more efficiently the low volatility premium by avoiding a defensive sector bias
Expected outperformance in bear markets without giving up much upside
in bull markets
Academic research* from 1972 gave first evidence of the Low Volatility
premium
 This premium has persisted over time and across markets globally
BNP Paribas IP pioneers research on the low volatility factor
 Paper about risk-based strategies in ‘The Journal of Portfolio Management’, 2012:
“Demystifying Equity Risk-Based strategies: a Simple Alpha plus Beta Description”
 Paper about superiority of sector diversified low volatility strategies in ‘Elsevier-ISTE’, 2015:
“Risk-Based and Factor Investing”
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Key strengths (2/2)
THEAM: BNPP IP partner dedicated to Quantitative Management, Factor
Investing and Smart Beta
 9 portfolio managers and quantitative analysts with an average 16 years’ experience
EUR 1.5bn assets under management* for the Low Volatility strategy
 excellent track record, 5th year anniversary: April 1st, 2016
Superior competitive positioning of Parvest Equity World Low Volatility:
 5 Morningstar stars (I shares)
 Lipper leader on total return, consistent return and capital preservation over 5 years**
 EUR 662.49 million (end of September 2016)
* Source: THEAM, data as at 30 September 2016. / **Source © 2016 Morningstar. All Rights Reserved. The information, data, analyses and opinions (“Information”) contained herein (1) include Morningstar’s
confidential and proprietary information (2) may not be copied or redistributed,(3) do not constitute investment advice (4) are provided solely for information purposes (5) are not warranted to be complete, accurate or
timely and (6) are drawn from fund data published on various dates. The information is provided to you at your own risk. Morningstar is not responsible for any trading decisions, damages or other losses related to
the Information or its use. Please verify all of the Information before using it and don’t make any investment decision except upon the advice of a professional financial adviser. Past performance is no guarantee of
future results. The value and income derived from investments can go up or down. Source : Morningstar, BNPP IP as of September 2016.
Lipper Ratings do not constitute and are not intended to constitute investment advice or an offer to sell or the solicitation of an offer to buy any security of any entity in any jurisdiction. As a result, you should not
make an investment decision on the basis of this information. Rather, you should use Lipper Ratings for informational purposes only. Lipper is not responsible for the accuracy, reliability or completeness of the
information that you obtain from Lipper. In addition, Lipper will not be liable for any loss or damage resulting from information obtained from Lipper or any of its affiliates. © Thomson Reuters 2016. All rights reserved.
Lipper ratings range from 1 to 5, with 5 corresponding to ‘Leader’. All Lipper ratings shown in this document are for Classic capitalising shares, as of September 2016.
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The Low Volatility premium
Strong evidence of low volatility premium in all sectors
MSCI World index - developed countries
Sharpe Ratio
0.90
Least Volatility stocks
All stocks
Most volatile stocks
Sharpe Ratio
0.90
0.80
0.80
0.70
0.70
0.60
0.60
0.50
0.50
0.40
0.40
0.30
0.30
0.20
0.20
0.10
0.10
0.00
0.00
-0.10
- 0.10
CONS DISC
CONS STAPLES
ENERGY
FINANCIALS
HEALTH CARE
Least Volatility stocks
INDUSTRIALS
INFO TECH
All stocks
Most volatile stocks
MATERIALS TELECOM SCVS
UTILITIES
Ann. return
Volatility
Least volatile stocks generated the highest risk adjusted returns and the lowest volatility
Average Sharpe ratio across sectors
Least volatile stocks: 0.60
All stocks: 0.34
Most volatile stocks: 0.05
Source: BNPP IP, MSCI, Exshare, Factset. Sharpe ratio of monthly rebalanced strategies invested in the decile of least volatile stocks, the decile of most volatile stocks and all stocks in
the sector, equally weighted, based on historical volatility calculated over the past three years using weekly returns in USD. Jan 95 – Dec 11.
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Investment Process
Investing in the Least Volatile stocks from each sector
PORTFOLIO CONSTRUCTION
Starting universe
~ 1600 stocks
Consumer Discretionary
PORTFOLIO IMPLEMENTATION
Lowest Volatility universe*
~ 160 stocks
Low
Consumer Staples
Energy
High
Model portfolio
 Constraint beta
(<0.8)
 Constraint turnover
(<100%)
Finance
Health Care
Industry
Information Technology
 Minimise tracking
error risk
(5-7%)
Final portfolio
~ 100 holdings
 Specific event risk
 Liquidity
 Risk assessment
 Monthly rebalancing
Materials
Telecommunication
Utilities
Screening
*
Optimisation
Execution and Controls
In 2012, we incorporated Environmental, Social and Governance (ESG) standards into our investment criteria that have resulted in the divestment of certain corporate issuers. These
standards are based on the ten principles of the UN Global Compact: a globally recognized framework based on the international conventions in the areas of human rights, labour
standards, environmental stewardship and anti-corruption. These internal guidelines are mentioned for your information only and are subject to change.
Source: BNP Paribas Investment Partners. For illustrative purpose only
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Asymmetric returns
Outperform the market cap index in bear markets
without giving up much upside in bull markets
MSCI World Index
Sharply falling
Monthly equity market performance
> -2.90%
Moderately falling
Between -2.90% and -1.46%
Average
Between -1.45% and +1.44%
Moderately rising
Between +1.45% and +2.89%
Sharply rising
> +2.90%
Source: BNPP IP, MSCI, Exshare, Gross of fees, in USD, as of 31 December 2015
The above figures refer to past performance. Past performance or achievement is not indicative of current or future performance. This is for general information only and should not be
used as a basis for making any specific investment, business or commercial decisions. Any economic and market trend, prediction, projection or forecast is not necessarily indicative of the
future or likely performance of the funds.
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Parvest Equity World Low Volatility
Performance, net of fees (C share), since the launch of the Low Volatility strategy
(01/04/2011)
Source: BNPP IP, data as of end of June 2016, in EUR and net of fees (C share). Past performance or achievements are not indicative of current of future performance.
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Parvest Equity World Low Volatility*
Performance Objective(1)
Benchmark
Investment Horizon
Annual Turnover(2)
Number of Holdings(2)
Fund Manager
Derivatives
Base Currency
Launch Date*
AUM
Legal Form
Fees
Valuation
ISIN Codes
Ongoing charges (31/12/2015)
Subscription fees (max)
Redemption fees (max)
Management company / Delegated company
SRRI(3)
Protected capital
Custodian
Countries of registration
The Fund seeks to outperform the MSCI World Index over a full market cycle with risk reduction objective of 20% (as measured by volatility)
and tracking error in the range of 5%-7%
MSCI World Index (EUR) (NR)
10 years
100%
100 - 130
Laurent Lagarde
Limited use of futures (max. 5%)
EUR
17th May 2013
EUR 662.49 million (end of September 2016)
Sub-fund of the Parvest UCITS IV SICAV registered under the Luxembourg law
Classic: max 1.50% management fees; Institutional: max 0.60% management fees
Daily
Classic EUR Cap: LU0823417810; Institutional EUR: LU0823418115; Classic USD Cap: LU0823417653
Classic EUR Cap: 1.99%; Institutional EUR Cap: 0.96%; Classic USD Cap: 1.99%
Classic EUR Cap: 3.00%; Institutional EUR Cap: None; Classic USD Cap: 3.00%
No
BNP Paribas Investment Partners Luxembourg / THEAM, BNP Paribas Investment Partners
5 on scale from 1 to 7
No
BNP Paribas Securities Services Luxembourg
Austria, Belgium, Chile, Cyprus, Czech Rep., Denmark, Finland, France, Germany, Greece, Hong Kong, Ireland, Italy, Luxembourg,
Macao, Malta, Netherlands, Norway, Poland, Portugal, Singapore, South Korea, Slovakia, Spain, Sweden, Switzerland, Taiwan, UK
* In April 1st 2011, BNPP L1 Best Selection World was revamped into BNPP L1 Equity World Minimum Variance and is now managed following a completely different process focusing on
low volatility stocks and trying to outperform the MSCI World index with a risk reduction of 20%. All performance and risk indicators numbers presented in this document prior to April 1st
are those of the formerly named BNPP L1 Best Selection World.
On May 17th 2013, BNP Paribas L1 Equity World Low Volatility was transferred into a sub-fund of the PARVEST Luxembourg SICAV, creating PARVEST Equity World Low Volatility. All
performance and risk indicators numbers presented in this document prior to May 17th 2013 are those of the former BNP Paribas L1 Equity World Low Volatility.
(1) There is no guarantee that the performance objective will be achieved
(2) These internal guidelines are mentioned for your information only and are subject to change. Prospectus and KIID guidelines are leading
(3) The higher the risk, the longer the recommended investment horizon
Source: BNPP IP, information are correct as of 30/09/2016 and may be subject to change.
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Parvest Equity World Low Volatility
Performance: C share, net of fees
Source: BNPP IP, data as of end of September 2016. Past performance or achievements are not indicative of current of future performance
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Risks
Equity risks
The risks associated with investments in equity (and similar instruments) include significant fluctuations in prices, negative information about the issuer
or market and the subordination of a company’s shares to its bonds. Moreover, these fluctuations are often amplified in the short term. The risk that one
or more companies suffer a downturn or fail to grow can have a negative impact on the performance of the overall portfolio at a given time. There is no
guarantee that investors will see an appreciation in value. The value of investments and the income they generate may go down as well as up and it is
possible that investors will not recover their initial investment
Market risks
Your investment may go up or down due to changing economic, political or market conditions that impact the prices of the shares or similar securities
that the fund invests in
Currency exchange risk
The fund may hold assets denominated in currencies that differ from its valuation currency, and may be affected by exchange rate fluctuations between
the accounting currency and the other currencies and by changes in exchange rate controls. If the currency in which a security is denominated
appreciates in relation to the reference currency of the fund, the exchange value of the security in the reference currency will appreciate; conversely, a
depreciation of the denomination currency will lead to depreciation in the exchange value of the security
Operational & Custody risk
Some markets are less regulated than most of the international markets; hence, the services related to custody and liquidation for the funds on such
markets could be more risky
Emerging Market & Small Cap risk
Funds investing in emerging markets, small caps or specialised or restricted sectors are likely to be subject to a higher than average volatility due to a
high degree of concentration, greater uncertainty because less information is available, there is less liquidity, or due to greater sensitivity to changes in
market conditions (social, political and economic conditions). In addition, some emerging markets offer less security than the majority of international
developed markets. For this reason, services for portfolio transactions, liquidation and conservation on behalf of funds invested in emerging markets
may carry greater risk. The Company and investors agree to bear these risks
Risks related to Investments in some countries
Investments in some countries (China, India, Indonesia, Japan, Saudi Arabia and Thailand) involve risks linked to restrictions imposed on foreign
investors and counterparties, higher market volatility and the risk of lack of liquidity for some lines of the portfolio. Consequently, some shares may not
be available to the sub-fund due to the number of foreign shareholders authorised or if the total investments permitted for foreign shareholders have
been reached. In addition, the repatriation by foreign investors of their share of net profits, capital and dividends may be restricted or require the
approval of the government. The Company will only invest if it considers that the restrictions are acceptable. However, no guarantee can be given that
additional restrictions will not be imposed in future
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Disclaimer
This material is issued and has been prepared by THEAM* a member of BNP Paribas Investment Partners (BNPP IP)**.
This material is produced for information purposes only and does not constitute:
1. an offer to buy nor a solicitation to sell, nor shall it form the basis of or be relied upon in connection with any contract or commitment whatsoever or
2. any investment advice.
This material makes reference to certain financial instruments (the “Financial Instrument(s)”) authorised and regulated in its/their jurisdiction(s) of incorporation.
No action has been taken which would permit the public offering of the Financial Instrument(s) in any other jurisdiction, except as indicated in the most recent prospectus, offering
document or any other information material, as applicable, of the relevant Financial Instrument(s) where such action would be required, in particular, in the United States, to US persons
(as such term is defined in Regulation S of the United States Securities Act of 1933). Prior to any subscription in a country in which such Financial Instrument(s) is/are registered, investors
should verify any legal constraints or restrictions there may be in connection with the subscription, purchase, possession or sale of the Financial Instrument(s).
Investors considering subscribing for the Financial Instrument(s) should read carefully the most recent prospectus, offering document or other information material and consult the
Financial Instrument(s)’ most recent financial reports. The prospectus, offering document or other information of the Financial Instrument(s) are available from your local BNPP IP
correspondents, if any, or from the entities marketing the Financial Instrument(s).
Various potential or real conflicts of interest may arise from the overall investment activities of the parties involved in respect of the Financial Instrument, such as their investment
professionals or their affiliates. In particular, the counterparty or its affiliates may offer/manage other investment vehicles, the interest of which may be different to those of the holders of
the Financial Instruments described in this material.
Opinions included in this material constitute the judgment of THEAM at the time specified and may be subject to change without notice. THEAM is not obliged to update or alter the
information or opinions contained within this material. Investors should consult their own legal and tax advisors in respect of legal, accounting, domicile and tax advice prior to investing in
the Financial Instrument(s) in order to make an independent determination of the suitability and consequences of an investment therein, if permitted. Please note that different types of
investments, if contained within this material, involve varying degrees of risk and there can be no assurance that any specific investment may either be suitable, appropriate or profitable
for a client or prospective client’s investment portfolio.
Given the economic and market risks, there can be no assurance that the Financial Instrument(s) will achieve its/their investment objectives. Returns may be affected by, amongst other
things, investment strategies or objectives of the Financial Instrument(s) and material market and economic conditions, including interest rates, market terms and general market
conditions. The different strategies applied to the Financial Instruments may have a significant effect on the results portrayed in this material. Past performance is not a guide to future
performance and the value of the investments in Financial Instrument(s) may go down as well as up. Investors may not get back the amount they originally invested.
The performance data, as applicable, reflected in this material, do not take into account the commissions, costs incurred on the issue and redemption and taxes.
*THEAM is an investment manager registered with the “Autorité des marchés financiers” in France under number 04000048, a simplified joint stock company with a capital of 8.317.840
Euros with its registered office at 1, boulevard Haussmann 75009 Paris, France, RCS Paris 428 753 214 and is member of the Association Française de la Gestion Financière (AFG), a
professional body for third-party asset management in France. www.bnpparibas-ip.com
** “BNP Paribas Investment Partners” is the global brand name of the BNP Paribas group’s asset management services. The individual asset management entities within BNP Paribas
Investment Partners if specified herein, are specified for information only and do not necessarily carry on business in your jurisdiction. For further information, please contact your locally
licensed Investment Partner.
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