THEAM Equity Europe Dynamic Factor Defensive

Investment rationale

This is an equity fund designed to provide capital growth through exposure to European equities while aiming to reduce volatility through a systematic options strategy. The fund has a risk indicator of 3 out of 7, described as a medium-low risk class, with a recommended holding period of 5 years. The fund is intended for investors who may have no specific financial expertise, seek capital growth, and can bear a total capital loss. Its distinct role is as a defensive European equity allocation that combines factor-based stock selection with options-based risk reduction, which makes it more specialised than a plain long-only equity fund.

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How the strategy works

The fund’s objective is to provide capital growth by being exposed to a basket of European equities, taking non-financial criteria into account, and by implementing a systematic options strategy intended to reduce risk by minimising volatility. It is a UCITS sub-fund using a synthetic replication policy through OTC derivatives, and it always invests at least 75% of net assets in equities issued by companies with their registered office in a Member State of the European Economic Area. The equity allocation is implemented via the BNP Paribas Dynamic Equity Factors Europe ESG Index, while the complementary options strategy uses long put options and short call options on one or several main European equity indices, together with a dynamic allocation between those indices and the optimal portfolio. The strategy is active and the fund has no benchmark for performance comparison; income is systematically reinvested and the recommended holding period is 5 years.

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Investment philosophy

• The investment universe starts with a broad and representative basket of European stocks called the Benchmark Portfolio, from which the strategy identifies an Optimal Portfolio.

• Stock selection follows a systematic and quantitative factor approach using several fundamental indicators to focus on investment styles including value, quality, momentum and low-volatility; examples given are attractive valuation for value, proven business model for quality, positive trend for momentum and steady pace for low-volatility.

• Portfolio construction uses an optimisation algorithm subject especially to constraints including sector diversification, liquidity, and performance correlated to that of the European reference market; the resulting Optimal Portfolio is implemented through the BNP Paribas Dynamic Equity Factors Europe ESG Index and rebalanced monthly.

• A complementary systematic options strategy seeks to improve the risk/return ratio by buying put options on one or several main European equity indices, applying a take-profit mechanism on those puts, and financing this as far as possible by selling call options on the same indices.

• The fund obtains the strategy’s performance through OTC derivatives and does not hold the strategy’s underlying portfolio directly. As of 31 August 2026, the fund held 26 positions, with the largest holdings including Allianz (8.69%), Nokia (8.68%), ASML Holding (8.35%), Ageas (8.06%), Deutsche Bank AG N (4.42%), UCB SA (4.37%), argenx (4.37%), Koninklijke KPN NV (4.17%), ING Groep (4.14%) and DHL N AG N (4.04%).

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Management team

The fund manager is Fabrice RICCI.

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Distinctive features

The fund combines two distinct return pillars: a quantitative European equity factor portfolio and a systematic options overlay designed to reduce volatility. Its defensive structure is specific, using long puts, short calls and dynamic allocation between European equity indices and the factor-selected portfolio rather than relying on simple equity exposure alone. The fund also integrates non-financial criteria through implementation via the BNP Paribas Dynamic Equity Factors Europe ESG Index and is classified under SFDR Article 8. The Privilege Capitalisation class has daily NAV calculation and no redemption fee. Dealing follows the market-opening calendar, and redemption requests may be postponed in exceptional circumstances.

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Risks

The fund has a risk indicator of 3 out of 7, described as medium-low risk, reflecting investment in an equity strategy that aims to reduce the risk and volatility induced by equities. Specific additional risks named are counterparty risk linked to OTC financial transactions and risks linked to the use of financial derivative instruments, both of which may affect the net asset value. The fund provides no capital protection, and investors may lose some or all of their investment. These risks stem from the fund’s synthetic replication policy through OTC derivatives and its systematic use of options on European equity indices.

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Asset manager

The management company and product manufacturer are BNP PARIBAS ASSET MANAGEMENT Europe. The fund is part of THEAM QUANT-, a Luxembourg-domiciled SICAV. BNP PARIBAS ASSET MANAGEMENT Europe is authorised in France and regulated by the Autorité des marchés financiers. The product is authorised in Luxembourg and supervised in relation to the key information document by the CSSF.

2026-08-31