08 Tarek Issaoui Andrea Mossetto - From Asset To Risk Allocation

FROM ASSET TO RISK ALLOCATION
TAREK ISSAOUI, ANDREA MOSSETTO

PARIS, 2 JUNE 2017
Marketing communication. For professional investors

1
2017: MANAGING IN AN
UNCERTAIN CONTEXT
Parvest Diversified Dynamic 02/06/2017 2

Positive… and ready if volatility came back to town
US equity market volatility Political uncertainties after French elections
Source: Bloomberg, THEAM. From January 2007 to April 2017 Source: Economic Policy Uncertainty. From January 1970 to April 2017
Inflexion of the bond market Synchronisation of the developed countries?
Source: Bloomberg, THEAM. From January 1970 to April 2017 Source: THEAM. Proprietary advanced economic indicators. From January 2006 to April 2017

Why volatility behaviour matters
Volatility is a good proxy for the degree of uncertainty that economic agents feel about the current
environment as well as their risk appetite.
It can become a leading indicator of financial instability. A long spell of low volatility, on the other hand,
may be an indicator of the undervaluation of risks and, as such, of a likely increase in financial fragility.
60 70
50 60
50
40
40
30
30
20
20
10 10
0 0
Dec-09 Dec-10 Dec-11 Dec-12 Dec-13 Dec-14 Dec-15 Dec-16
VIX equity volatility Index (LHS) T-bond yield volatility index (RHS)
“Risk management has now taken centre-stage prominence”

Global wealth and asset management industry outlook 2014 - EY
Source: THEAM Model-Driven Cross Assets, February 2017. Past performance or achievement is not indicative of current or future performance
Volatility targeting can improve the risk/return ratio
The risk budgeting approach truly generates value:
 Volatility clustering enables us to design innovative

strategies
 Negative correlation between volatility and market

returns: investors are better off being less exposed
during periods of market stress
 Identification of volatility patterns enables the

improvement of Sharpe ratios
 Risk budgeting minimises the maximum drawdowns
Source: Financial engineering team

Management backed by an intensive research
A state-of-the-art financial engineering
Name Title Years in industry Years in the company Years in the team
Thomas Heckel, PhD Head of Financial Engineering 16 15 8
Raul Leote de Carvalho, Head of Research & Quantitative Solutions

16 16 8
PhD Financial Engineering
Romain Perchet, PhD Head of Solutions, Financial Engineering 8 8 8
Publication of the internal research of BNP Paribas:
 Predicting the success of volatility targeting strategies:

application to equities and other asset classes
Romain Perchet, Raul Leote de Carvalho, Thomas Heckel, Pierre
Moulin
The Journal of Alternative Investments, winter 2016, vol. 18, issue 3
 Inter-temporal risk parity: a constant volatility framework

for factor investing
Romain Perchet, Raul Leote de Carvalho, Pierre Moulin
Journal of Investment Strategies, 2014

Our team: experience, diversity, long track record
Years in  The investment team
Years in Years in
Team member Title the Location is made up of eight
industry the team
company experienced
professionals, with
Head Model-Driven eight years of
Christophe Moulin 23 9 9 Paris
Cross Assets common history
and an average of 15
years of industry
Olivier Rudez Head Absolute Return 25 10 10 Paris experience
Head Flexible  The members have

Isovol fund managers
Tarek Issaoui 18 10 10 Paris different

Solutions & Overlay backgrounds,
including investment
Fabien Benchetrit Portfolio Manager 17 10 4 Paris banking and market
risk management,
bringing extensive
Clément Dupire Portfolio Manager 11 11 4 Paris industry experience
and a wide and
varied knowledge to
the team
Marc des Ligneris Portfolio Manager 12 12 12 Paris
 One dedicated
investment
Senior Investment specialist, former
Andrea Mossetto 10 10 6 Paris investment team
Specialist
member
Source: THEAM; 30 April 2017

2
PARVEST DIVERSIFIED DYNAMIC

Parvest Diversified Dynamic
Key strengths
1 A global multi-asset flexibly managed portfolio targeting 7.5% portfolio volatility at any time (‘Isovol’
mechanism*)
 Fixed risk budget asset allocation to provide a stable risk profile without sacrificing potential returns
2 Volatility drives portfolio exposure, thus the asset allocation of the fund
 Over the past five years, consistent performance by the Cross Asset team managing EUR 4 billion (EUR
3
2.6 billion using an Isovol approach) out of a total EUR 38.21 billion in assets managed by THEAM
RATINGS PERFORMANCE
Fund’s performance, I share class, in

%
EUR
5 years annualised return 5.79%
3 years annualised return 4.93%
2016 performance 4.26%
YTD Performance 3.59%
* Commonly called target volatility funds. Source: THEAM, as of end of April 2017. Past performance is not a guide to future performance

1. A global multi-asset flexible portfolio
A euro-hedged* portfolio aiming to participate in market movements, while maintaining a
stable risk profile
STRATEGIC RISK BUDGET
INVESTMENT UNIVERSE
ALLOCATION
7.5% VOLATILITY TARGET
EQUITY
 A fixed risk
European index 1/3 budget is split
US index 50 1/3 between the three
main asset classes
Japan index
% 1/6
Emerging markets index 1/6
 Half of the risk-
FIXED INCOME budget is
Eurozone government bonds (10 years) 1/5 allocated to
US government bonds (10 years) 1/5
25 equities
Eurozone corporate investment-grade bonds 1/5
Global emerging government bonds % 1/5  Opportunistic
High-yield credit index 1/5 positions &
DIVERSIFICATION portfolio overlay
Global commodities** 1/9 to adapt the
European REITS** 1/9 portfolio in the
25 context of a
Absolute return strategy 1/9
3 medium term opportunistic positions % 1/3 changing
Portfolio overlay 1/3 & dynamic world
* Hedged against currency risk for European investors ** The sub-fund does not directly hold commodities or real estate. Portfolio holdings are subject to change at any
time without notice and should not be construed as investment recommendations. Some of the above guidelines are internal guidelines mentioned for information
purposes only and may be subject to change without notice. Please refer to the prospectus and KIID guidelines for further information.

2. Isovol: volatility drives portfolio exposure
A flexible and reactive portfolio in line with market behaviour
The asset allocation of the
200% FLEXIBLE MARKET EXPOSURE fund is based on volatility
180%
signals that trigger market
timing portfolio actions
160%
140% 1.
To hold each asset’s risk
120% budget stable over time:
100% weights continuously
change
80%
2. 1. 2011 EU DEBT CRISIS:
60% up to 30% of the
40% portfolio allocated to
cash
20%
0%
2. REBALANCING THE
EQUITY EXPOSURE:
60%/20%/40%
EQUITY FIXED INCOME DIVERSIFICATION
A fund with a non-traditional weighting approach putting risk budgets at the core
Source: THEAM, as of end of April 2017. Some of the above guidelines are internal guidelines mentioned for information purposes only and may be subject to change
without notice. Please refer to the prospectus and KIID guidelines for further information.

3. Parvest Diversified Dynamic: returns
vs. Lipper and Morningstar categories net returns
145
Net Return Cumulated Annualized
140
Performance since revamping* 40.55% 4.75%
5 years performance 32.48% 5.79%
135 3 years performance 15.52% 4.93%
YTD performance 3.59%
Cumulative Performance / base 100
130
125 Risk profile

5Y Volatility 6.28%
120
5Y Sharpe Ratio 0.93
115
110
105
100
*The Isovol diversified strategy has been applied to the portfolio since
95 31 December 2009
Lipper Global Mixed Asset EUR Flex - Global Parvest Diversified Dynamic I Cap EUR
Morningstar Europe OE EUR Flexible Allocation - Global
Source: Lipper as of end of April 2017, I-share, performance net of fees in EUR. Past performance or achievement is not indicative of current or future performance.
• The Lipper Global Mixed Asset EUR Flex category is composed of funds with flexible allocations between variable income and fixed income securities. The objective of
the fund manager is to achieve the highest possible returns by freely changing risk degrees according to current market conditions. It may be possible that, dependent on
market conditions, the portfolio of a mixed asset flexible fund is fully invested in only one of the asset classes above. Reference currency exposed securities are
overweighted. Investments are limited to country/region and reference currency.
• Morningstar Europe OE EUR Flexible Allocation - Global: EUR Flexible Allocation – Global funds have a largely unconstrained mandate to invest globally in a range of
asset types for an EUR-based investor. Morningstar Category Index: 50% Barclays Euro Agg Bond TR & 50% FTSE World TR.
The use of these indicators is sustainable over time

3
PERFORMANCE AND CASE
STUDIES

Asymmetry and ratio Sharpe improvement
170.00 Parvest Diversified Dynamic (I share, EUR)
160.00
Net Return Cumulated Annualized
150.00 Performance since revamping* 40.55% 4.75%
5 years performance 32.48% 5.79%
140.00 3 years performance 15.52% 4.93%
YTD performance 3.59%
130.00
Risk profile
120.00 5Y Volatility 6.28%
5Y Sharpe Ratio 0.93
110.00
Current strategy* (Isovol inside)
100.00 *The Isovol diversified strategy has been applied to the portfolio since 31
previous
strategy*
December 2009
90.00
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Annual
2010 -0.38% 0.25% 3.30% 0.56% -3.15% -0.44% 2.49% -0.07% 2.07% 1.06% -1.38% 2.42% 6.75%
2011 0.01% 1.62% -1.22% 1.32% 0.07% -1.04% -0.11% -3.55% -3.04% 2.74% -1.57% 0.79% -4.09%
2012 2.25% 2.18% -0.14% -0.69% -4.46% 1.88% 2.68% 0.74% 1.06% -0.02% 1.46% 1.67% 8.75%
2013 1.01% 0.52% 1.17% 2.36% -0.63% -4.08% 1.83% -1.41% 2.21% 2.30% 0.44% 0.19% 5.88%
2014 -1.96% 3.98% 0.41% 0.82% 2.13% 1.16% -0.67% 1.69% -0.86% 0.28% 1.72% -0.57% 8.29%
2015 2.27% 2.81% 0.10% 0.14% -0.37% -3.12% 1.74% -2.36% -1.36% 3.35% 0.53% -1.59% 1.93%
2016 -1.41% 0.38% 2.18% 0.10% 0.88% 0.19% 2.26% 0.24% -0.05% -1.42% -1.00% 1.92% 4.26%
2017 -0.05% 2.15% 0.21% 1.25% 3.59%
Source: THEAM Model-Driven Cross Assets, as of end of April 2017, I-share in EUR. Performance net of fees. Past performance is not a guide to future performance

A different source of performance
Since Isovol management*
Equity Fixed Income Diversification assets

1200
• Stable risk profile without
1000
sacrificing potential RETURNS
800
600
• DIFFERENT SOURCE of
basis points
400
performance year on year
200
0
-200
-400
-600
2010 2011 2012 2013 2014 2015 2016 2017
Source: THEAM Model-Driven Cross Assets, as of end of April 2017, gross of fees. Past performance is not a guide to future performance
* The Isovol diversified strategy has been applied to the portfolio since 31 December 2009

Focus on bond exposure (1/2)
Exposure in line with market dynamics
European Bonds
25%
20%
15%
10%
5%
0%
US Bonds
25%
20%
15%
10%
5%
0%
Source: THEAM as of April 2017

Focus on bond exposure (2/2)
IG EUR
50%
40%
30%
20%
10%
0%
HY EUR
15%
10%
5%
0%

Focus on equity exposure (1/2)
European Equity
18%
16%
14%
12%
10%
8%
6%
4%
2%
0%
US Equity
20%
15%
10%
5%
0%

Focus on equity exposure (2/2)
Emerging Markets Equity

10%
8%
6%
4%
2%
0%
Japan Equity
10%
8%
6%
4%
2%
0%

A stable risk profile
Parvest Diversified Dynamic one-year realised volatility
16.00%
Isovol strategy*
1Yr rolling Volatiltiy (in %)
14.00%
12.00%
10.00%
7.5%
8.00%
6.00%
4.00% volatility
2.00% target
0.00%
* The Isovol diversified strategy has been applied to the

portfolio since 31 December 2009

Focus on our three opportunistic diversification assets
A MACRO-BASED OPPORTUNISTIC PERFORMANCE
DECISION – 4 STEPS DIVERSIFICATION ASSETS ATTRIBUTION (in %)
1.20%
1. Top-down filter, focused on macro Australian 10yr bonds

1.00%
cycle and risk premium analysis Hedging the slowdown of
the Chinese economy
0.80%
2. THEAM Model-Driven Cross Asset
investment committee validation Dollar index
on a weekly basis USD appreciation vs. G4 0.60%
currencies
3. THEAM Quant team validation, 0.40%
based on an analysis of the extreme Gold
risks and liquidity characteristics of
Safe haven, medium-term
the eligible assets 0.20%
inflation protection,
negative interest-rate
4. Portfolio implementation: Isovol investment solution for 0.00%
risk-based sizing process institutional clients
-0.20%
Source: THEAM Model-Driven Cross Assets, as at end of April 2017, gross of fees. Past performance is not a guide to future performance

Focus on the option overlay positions
CUMULATIVE PnL (in bps)
PnL_Cumulative
Premium
100
Risk_Budget_Limit
Current_Risk
 By allocating part of the risk
50
budget to options, we can
provide better participation in
rising markets and limit the 0
effects of a falling market

-50
 We only take long and rolling
positions -100
 One-year maximum
-150
drawdown is limited to 1.5%
-200
Source: THEAM Model-Driven Cross Assets, as at end of April 2017, gross of fees. Past performance is not a guide to future performance

3
CONCLUSIONS

Key success factors of Parvest Diversified Dynamic
 Simple/intuitive
 Flexible: exposure adapted according to market dynamics
 Performing
Light winds = full sail High winds = head sail adjusted

Key fund information
Parvest Diversified Dynamic
Sub-fund Parvest Diversified Dynamic
Legal form Sub-fund of the Parvest UCITS V SICAV registered under Luxembourg law
Management company BNP Paribas Investment Partners Luxembourg
Delegated manager THEAM
Launch date 02/05/1997 (The Isovol diversified strategy has been applied to the portfolio since 31 December 2009)
Risk scale* 4 (on a scale of 1-7)
Ongoing charges** Classic capitalisation & classic distribution share: 1.76%; institutional share: 1.02%; privilege share: 1.22%
Classic capitalisation = 3% max.
Entry charge
Classic distribution = 3% max.
Exit charge N/A
Recommended investment horizon 3 years
Base currency Euro
Fund manager Tarek Issaoui
Investment specialist Andrea Mossetto (contact andrea.mossetto@bnpparibas.com)
Management fees 1.10% (classic capitalisation & classic distribution share), 0.55% (institutional & privilege share)
LU0089291651 / PAR4500 LX (classic cap); LU0089290844 / PAR4499 LX (classic dis); LU0102035119 /

ISIN codes / Bloomberg code
PARBEII LX (institutional); LU0111469705 / PARBEUP LX (privilege)
* 1 being the lowest risk, 7 being the highest risk

** as of 31 November 2016

Inherent risks linked to Parvest Diversified Dynamic
Credit risk
 This risk relates to the ability of an issuer to honour its commitments: downgrades of an issue or issuer
rating may lead to a drop in the value of bonds in which the sub-fund has invested
Liquidity risk
 This risk arises from the difficulty of selling an asset at a fair market price and at a desired time due to
lack of buyers
Counterparty risk
 This risk is associated with the ability of a counterparty in a financial transaction to fulfil its
commitments such as payment, delivery and reimbursement
Operational and custody risk
 Some markets are less regulated than most of the international markets; hence, the services related to
custody and liquidation for the sub-fund on such markets could be more risky
Derivatives risk
 When investing in over-the-counter or listed derivatives, the fund aims to hedge and/or to leverage the
yield of its position. The attention of the investor is drawn to the fact that leverage increases the
volatility of the sub-fund.
Risk of capital loss
 Investments are subject to market fluctuations and the risks inherent in investments in securities. 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 outlay
For a complete description and definition of risks, please consult the last available prospectus and KIIDs of the fund

Contacts
I F Y O U H AV E A N Y Q U E S T I O N , R E C O M M E N D AT I O N O R
WA N T M O R E D E TA I L S O N O U R F U N D R A N G E …
FEEL FREE TO CONTACT THE THEAM INVESTMENT SPECIALISTS TEAM
Andrea MOSSETTO
Senior investment specialist
THEAM Model-Driven Cross Assets, Paris
: @Amossetto : andrea.mossetto@bnpparibas.com : Andrea Mossetto
THEAM investment specialists team

THEAM, Paris
:@BNPPIP_COM : theam.investmentspecialists@bnpparibas.com :THEAM

4
APPENDIX

Volatility signals to trigger portfolio actions
Introduction to the Isovol mechanism

 Volatility is an indicator of how the price of an asset fluctuates over a period of
What is volatility? time. It can also be interpreted as a measure of the asset’s riskiness and act
as a predictive indicator, especially for downside markets
 Historically, research shows that volatility tends to increase as markets fall
and to decrease as markets rise
 Innovative portfolio construction that is designed to control risk and maintain a

What is the Isovol level of volatility close to a pre-defined risk target
mechanism?
 As the aim of the Isovol mechanism is to keep the ex-ante risk budget constant
How does it work? over time, the key aspects are the following:
 to monitor short-term volatility (for the last 42 days) of each asset daily
 to monitor the ex-ante risk budget of each asset daily, i.e., monitoring the
difference between the current ex-ante risk budget and the previously allocated
target
 to rebalance when the absolute difference monitored reaches a numerical
threshold
 for each asset, a constraint is set to limit the leveraging signals in the event of
exceptionally good market conditions*
* A decrease of short-term volatility below a threshold of two thirds of medium-term volatility
Some of the above guidelines are internal guidelines mentioned for information purposes only and may be subject to change without notice. Please refer to the
prospectus and KIID guidelines for further information.

Isovol in practice - a volatility responsive asset allocation
Example of dynamic rebalancing with the Topix index

A B1 B2 B3 When the absolute difference between the current and the target
1 - Topix volatility ex-ante risk budget reaches a numerical threshold, a rebalancing
signal is triggered
A buy signal – rebalance

If the the exposure Intended results: keep a
volatility of to this asset constant portfolio risk
an asset: will: contribution
2 - Evolution of the The manager will buy an asset

risk budget on exhibiting a lower risk
the Topix contribution at portfolio level
B sell signals – rebalance

If the the exposure Intended results: keep a
volatility of to this asset constant portfolio risk
an asset: will: contribution
Topix appreciation, raise
3 - What happens to B1 portfolio exposure & risk
our exposure ? contribution
Topix appreciation, higher short-
B2
term volatility & risk contribution
Topix exhibiting a negative
B3 trend, short-term volatility & risk
contribution spike
Source: THEAM Model Driven/Cross Assets, end of August 2013. For illustrative purposes only
This is for general information only and should not be used as a basis for making any specific investment, business or commercial decisions

Case study #1: focus on reactivity and flexibility
Exposure to equities* vs. volatility regime

Context: uncertainties around European Context: investor’s confidence restored
sovereign debt (drop of equity markets) (rise in global equity markets)
Volatility: sharp rise Volatility: steady decline
Action: decrease the exposure Action: increase the exposure step-by-step
60% 30%
50% 25%
Exposure to equities in %
40% 20%
Volatility in %
30% 15%
20% 10%
Source: Bloomberg, July-Sept 2011 Source: Bloomberg, Jan-March 2012
10% 5%
0% 0%
Exposure to equities (LHS) Volatility of Equities (RHS)

Source: THEAM Model-Driven/Cross Assets, Dec 2010-Dec 2012
*Fund’s exposure to DJ STOXX 600, Russell 1000, Topix and MSCI Global Emerging from Dec 2010 to Dec 2012

Case study #2: focus on reactivity and flexibility
More than six years of positive cumulative performance

150 Parvest Diversified Dynamic (C share, EUR)
140
NAV, basis 100
• Participation in bullish 2012 and 2013

130
markets as low volatility enabled the fund
to increase its exposure to almost every
120
asset class to benefit from market gains
110
Parvest Diversified Dynamic (C share, EUR) • Flexibility after market shocks, gradually
increasing the exposure and participation
100
previous Current strategy*(Isovol inside) in market rebounds
strategy*
90
200% Flexible market exposure

180%
160%
140%
• Receptiveness during difficult conditions in 120%
the summer of 2011 when volatility spikes 100%
forced the fund to dramatically reduce its 80%
exposure 60%
40%
20%
0%
Source: THEAM Model-Driven Cross Assets, as at end of April 2016, C-share in EUR
Performance net of fees. Past performance or achievement is not indicative of current or future
EQUITY (LHS) FIXED INCOME (LHS) DIVERSIFICATION (LHS)
performance.

How to put the model in the context of a changing
& dynamic world
Of the 25% risk budget allocated to diversification assets, we assign a specific budget to which the management
team is be able to add its touch, with the objective of adding flexibility and reactivity to the portfolio
 Global commodities*
1/3 Diversification
 European REITS*
 Alternative
Portfolio manager’s leeway

25% of total risk budget
equally split
Opportunistic  Top-down global macro investment approach aiming to broaden the

1/3 diversification assets potential sources of performance and improve the product’s flexibility
 By allocating a part of the risk budget to the use of options we can

Inflexion point provide a better participation in rising markets as well as limiting the
1/3 management consequences of a falling market.
 We only take long positions and rolling 1-year maximum drawdowns is
limited to 1.5%
*The sub-fund does not directly hold commodities or real estate

For illustrative purposes only. Some of the above guidelines are internal guidelines mentioned for information purposes only and may be subject to
change without notice. Please refer to the prospectus and KIID guidelines for further information.

& dynamic world
team is able to add its touch, with the objective of adding flexibility and reactivity to the portfolio
1/3 Diversification
Opportunistic A MACRO-BASED DECISION based on four steps:

1/3 diversification assets
1. Top-down filter, focused on macroeconomic cycle and risk premium

analysis, aimed at identifying attractive risk-reward assets
equally split
2. First-level validation by the THEAM Absolute Return Cross Asset

investment committee, on a weekly basis, under the supervision of the head
of the team.
3. Second-level validation by the THEAM Quant team, based on an analysis of
the extreme risks and liquidity characteristics of the eligible assets
4. Portfolio implementation, using the same Isovol risk-based sizing process
used for the rest of the fund, under strictly controlled risk budgets
Inflexion point NOTA BENE: medium/long-term positions supported by a business case

1/3 management promptly shared with clients

For illustrative purposes only. Some of the above guidelines are internal guidelines mentioned for information purposes only and may be subject to change without notice. Please refer to
the prospectus and KIID guidelines for further information.

& dynamic world
team is able to add its touch, with the objective of adding flexibility and reactivity to the portfolio
1/3 Diversification
Opportunistic
1/3 diversification assets

equally split
Inflexion point  Since the model is based entirely on realised volatility signals, there is a lag
1/3 management
between the market event and the response of the model
 The aim is to improve the product’s flexibility and take advantage of market
inflection points at an early stage
 By allocating part of the risk budget to options we can provide better
participation in rising markets as well as limiting the effects of a falling
market
 We only take long and rolling positions; one-year maximum, drawdown is
limited to 1.5%

For illustrative purposes only. Some of the above guidelines are internal guidelines mentioned for information purposes only and may be subject to change without notice. Please refer to
the prospectus and KIID guidelines for further information.

Disclaimer
BNP Paribas Asset Management France, “the investment management company,” is a simplified joint stock company with its registered office at 1 boulevard
Haussmann 75009 Paris, France, RCS Paris 319 378 832, registered with the “Autorité des marchés financiers” under number GP 96002.
This material is issued and has been prepared by the investment management company.
This material is produced for information purposes only and does not constitute:
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
investment advice.
This material makes reference to certain financial instruments authorised and regulated in 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
and the Key Investor Information Document (KIID) 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 to the financial instrument(s) should read carefully the most recent prospectus and Key Investor Information Document (KIID) and
consult the financial instrument(s’) most recent financial reports. These documents are available on the website.
Opinions included in this material constitute the judgement of the investment management company at the time specified and may be subject to change without notice.
The investment management company 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 an investor’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 financial instruments may have a significant effect on the results presented 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.
All information referred to in the present document is available on www.bnpparibas-am.com

Disclaimers
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 2017. 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 31 April 2017
Data Source - © 2017 Morningstar, Inc. All Rights Reserved. The information contained herein: (1) is proprietary to Morningstar and/or its
content providers; (2) may not be copied or distributed; and (3) is not warranted to be accurate, complete or timely. Neither Morningstar nor
its content providers are responsible for any damages or losses arising from any use of this information. Past performance is no guarantee
of future results.
Morningstar stars rank from 1 to 5, with the top ranking being 5 stars. All Morningstar ratings shown in this document are for Classic
capitalising shares, as of 31 April 2017

THANK YOU
BNP PARIBAS ASSET MANAGEMENT
14, rue Bergère
75009 Paris
bnpparibas-am.com

08 Tarek Issaoui Andrea Mossetto - From Asset To Risk Allocation

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08 Tarek Issaoui Andrea Mossetto - From Asset To Risk Allocation

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FROM ASSET TO RISK ALLOCATION

TAREK ISSAOUI, ANDREA MOSSETTO

Marketing communication. For professional investors

Parvest Diversified Dynamic 02/06/2017 2

Inflexion of the bond market Synchronisation of the developed countries?

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“Risk management has now taken centre-stage prominence”

 Volatility clustering enables us to design innovative

 Negative correlation between volatility and market

 Identification of volatility patterns enables the

 Risk budgeting minimises the maximum drawdowns

Source: Financial engineering team

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Thomas Heckel, PhD Head of Financial Engineering 16 15 8

Raul Leote de Carvalho, Head of Research & Quantitative Solutions

Romain Perchet, PhD Head of Solutions, Financial Engineering 8 8 8

Publication of the internal research of BNP Paribas:

 Predicting the success of volatility targeting strategies:

 Inter-temporal risk parity: a constant volatility framework

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Head Flexible  The members have

Tarek Issaoui 18 10 10 Paris different

Source: THEAM; 30 April 2017

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Fund’s performance, I share class, in

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125 Risk profile

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Equity Fixed Income Diversification assets

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Source: THEAM as of April 2017

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Source: THEAM as of April 2017

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Source: THEAM as of April 2017

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Emerging Markets Equity

Source: THEAM as of April 2017

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Parvest Diversified Dynamic one-year realised volatility

* The Isovol diversified strategy has been applied to the

Source: THEAM as of April 2017

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1. Top-down filter, focused on macro Australian 10yr bonds

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CUMULATIVE PnL (in bps)

effects of a falling market

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Light winds = full sail High winds = head sail adjusted

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LU0089291651 / PAR4500 LX (classic cap); LU0089290844 / PAR4499 LX (classic dis); LU0102035119 /

* 1 being the lowest risk, 7 being the highest risk

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FEEL FREE TO CONTACT THE THEAM INVESTMENT SPECIALISTS TEAM

THEAM investment specialists team

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