Lupus alpha Return (I)

Performance (gross in EUR):¹

Key Risk ratios (gross):³

Top ten holdings as of 29/01/2021

Equity Exposure as of 29/01/2021

• Participation in global volatility and stock markets
• Active management of portfolio risk with the intention to limit intrayear losses¹
• Earn an alternative risk premium
• Investment in liquid, stock-exchange-listed derivates ( equity index futures & options) only. 
• Long track record (since 2007)

Lupus alpha Return is characterised by a long-standung track record ( launch date: 2007). The management team did not change since inception of the fund. While the investment case remaining unchanged, the strategy and its implementation are subject to continuous further development. Moreover, the responsible fund management team may rely on the proven expertise of Lupus alpha in the field of Alternative Solutions. 

• Large, experienced European portfolio managment and research team for Alternative Solutions with more than 20 experts
• Own quantitative analysis team
• Proprietary database
• Critically scrutinised backtesting methods 
• Methodically sound, experienced risk management
• Complete control over trading process

Lupus alpha Return: Risk-conscious investing 

Generating target returns is severely challenged by the expansive monetary policy of the ECB and Fed. Traditional equity investments might offer some relief in this regard, but might be accompanied by untenable risks.

The strategy of the Lupus alpha Return addresses that point. It allows risk-conscious investors to participate in the return potential of global stock and volatility markets - while actively managing portfolio risks. For doing so, the fund is using exchange-traded derivatives on global stock indices (especially futures and options). High quality, liquid bonds serve as a basis for this strategy.

The equity exposure is managed actively by the responsible portfolio managers. This enables global allocations without taking the "full" risk of the respective markets. The equity sensitivity of the portfolio ranges between 0% and 80% and is set regularly based on analyses of the market, of the volatility structure, and of the distance to the minimum value constraint. Being globally oriented, the portfolio does not only offer attractive return potentials, but also significant diversification benefits.

When participating in volatility markets, Lupus alpha relies on its long-standing experience with volatility strategies. The objective is to earn the volatility risk premium.

The strategy is augmented by managing a minimum value constraint of 90%. This prevents - and prevented during the previous major crises - larger losses (>10% of invested capital) with a high level of confidence.1 At the same time, the minimum value constraint allows the portfolio to take on enough risks to generate or outperform its target return instead of being forced to prematurely reduce its risk exposure.

The objective of the fund is to participate in the attractive volatility and stock markets. Active management of portfolio risks intents to limit calendar year losses due to negative market environments to -10%. 

Chances:

• The fund benefits from allocating funds to well-performing stock markets. Ascents within those selected stock markets promise consistently improving annual returns with limited risk levels. 
• The fund structure enables to dampen downturns and to limit potential losses. Maximum losses calculated on an annual basis amount to 10% of the previous years's closing price. 

Risks:

• Equity risk:  In the past, stocks displayed major price movements and therefore a risk of price declines.
• Interest rate risk: Investing in fixed-rate securities comes along with the risk of changing market interest rates during the holding period.
• Capital market risk: The development of prices and the market of financial products is dependent on the development of the capital markets, which are, in turn, influenced by the state of the global economy as well as economical and political environments in the respective countries.
• Currency risks: Fund assets can be denoted in another currency than the fund currency. If this currency depreciates relative to the fund currency, the fund value will decrease.
• Counterparty default risk: The fund's value might be reduced if a counterparty or issuer, with liabilities towards the fund, defaults.
• Liquidity risks: The fund can invest into securities which are neither listed on a exchange nor in any similar market.
• Risks from using derivatives: The fund uses derivatives for both investment and hedging purposes. Elevated chances are accompanied by elevated loss risks.
• Target fund risks: The fund invests in target fund structures in order to replicate specific markets, regions and themes. Individual target funds may underperform their respective markets.