BNP AM

The sustainable investor for a changing world

Target risk balanced strategy

Key features

A multi-asset strategy with flexible asset allocation in all market conditions

A constant approach to risk for better risk/return profiles

Access to a global opportunity set

Investment philosophy 

We have observed that market volatility is not constant over time, and that there exists a decorrelation between a securities’ price and its volatility. Therefore, we believe keeping a constant level of risk can enable higher long-term risk-adjusted returns.

We also think better portfolio outcomes can be achieved when human judgement is combined with systematic data analysis.

Investment process

Our Target Risk Balanced strategy follows a disciplined six-step process:

  • Define objectives and the global investment universe
  • Fixed risk budget allocation to asset classes
  • Instrument selection using ESG, liquidity and diversification criteria
  • Daily rebalancing through a proprietary risk parity model (known as IsoVol Target-Risk) which generates daily buy and sell signals
  • Portfolio overlay via derivatives
  • Best execution

Team and resources

Our Flexible & Absolute Return team is based in Paris. Tarek Issaoui, who has over 18 years of industry experience, leads the team. They benefit from access to our global trading and risk management platform, Sustainability Centre, Quantitative Research Group and Macro Research team.