Lupus alpha Return (I)
The Lupus alpha Return enables investors to profit from changes in global volatility and stock markets. The diversification of return drivers and the active management of portfolio risks aim to limit losses while simultaneously enhancing the risk-return profile of the fund.11 The strategy is implemented with exchange-traded derivatives ( futures, options). A portfolio of liquid, high-grade bonds is used as a base portfolio.
Current fund data as of 02/23/2021
|Fund volume||80,81 Mio.|
|Launch date||10 October 2007|
|Minimum investment amount||none|
|Distribution frequency 9||annually|
|Portfolio managers||Alexander Raviol, Stephan Steiger|
|Performance fee 6||30 %|
|Administration fee 5||0,52 % p.a. %|
|Hurdle Rate 7||6,5 % p.a.|
|Subscription fee 4||up to 5,0 %|
|Total expense ratio (TER)||1,46% (as of 31.08.2020)|
|Jan||2.24 %||-0.36 %||-0.19 %|
|Feb||1.08 %||0.25 %||n.a.|
|Mar||0.78 %||-5.94 %||n.a.|
|Apr||1.60 %||2.18 %||n.a.|
|May||-1.59 %||1.80 %||n.a.|
|Jun||1.52 %||2.32 %||n.a.|
|Jul||0.54 %||0.93 %||n.a.|
|Aug||-1.17 %||1.98 %||n.a.|
|Sep||0.84 %||-0.97 %||n.a.|
|Oct||0.81 %||-1.10 %||n.a.|
|Nov||0.72 %||3.22 %||n.a.|
|Dec||0.00 %||0.57 %||n.a.|
|Year||7.55 %||4.64 %||n.a.|
|from||to||Lupus alpha Return (R)|
|1 month||30.12.2020||29.01.2021||-0.19 %|
|90 days||30.10.2020||29.01.2021||3.61 %|
|1 year||29.01.2020||29.01.2021||4.11 %|
|3 years||29.01.2018||29.01.2021||7.42 %|
|5 years||29.01.2016||29.01.2021||21.17 %|
|this year||30.12.2020||29.01.2021||-0.19 %|
|since inception||10.10.2007||29.01.2021||34.43 %|
|since inception p.a.||10.10.2007||29.01.2021||2.25 %|
|12-month-timeframe (gross)||Lupus alpha Return (R)|
|31.01.2020 - 31.01.2021||4.11 %|
|31.01.2019 - 31.01.2020||4.82 %|
|31.01.2018 - 31.01.2019||-2.25 %|
|31.01.2017 - 31.01.2018||5.49 %|
|31.01.2016 - 31.01.2017||6.95 %|
|31.01.2015 - 31.01.2016||-3.75 %|
|31.01.2014 - 31.01.2015||6.38 %|
|31.01.2013 - 31.01.2014||2.69 %|
|31.01.2012 - 31.01.2013||3.05 %|
|31.01.2011 - 31.01.2012||-1.97 %|
|as of||Lupus alpha Return (R)|
|Volatility p.a.||29.01.2021||4.91 %|
|Maximum Draw Down 90 Days||29.01.2021||-8.03 %|
|VaR 95 - 10||29.01.2021||-2.38 %|
|VaR 99 - 10||29.01.2021||-3.37 %|
|Kreissparkasse Koeln||AAA||0.63 %||29.05.2023||11.00 %|
|Dt. Apoth. -u. Ärztebank eG||AAA||0.50 %||14.02.2025||4.89 %|
|Norddeutsche Landesbank-GZ||AAA||0.25 %||28.10.2026||3.48 %|
|Santander Consumer Bank AG||AAA||0.25 %||05.12.2024||3.31 %|
|Deutsche Bank AG||AAA||0.25 %||08.03.2024||3.02 %|
|Bank of Nova Scotia/The||AAA||0.25 %||28.09.2022||2.72 %|
|National Australia Bank Ltd||AAA||1.88 %||13.01.2023||2.53 %|
|Commonwealth Bank of Australia||AAA||3.00 %||03.05.2022||2.52 %|
|Canadian Imperial Bank of Commerce||AAA||0.00 %||25.07.2022||2.43 %|
|Kreissparkasse Koeln||AAA||0.50 %||05.02.2024||2.34 %|
Lupus alpha Return is characterised by a long-standing track record ( launch date: 2007). The management team did not change since inception of the fund. While the investment case remained 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.
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. 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%.
Experienced fund managers
Alexander Raviol is a partner at Lupus alpha and is responsible for portfolio management in the Alternative Solutions division. The graduate physicist with many years of capital market experience joined Lupus alpha in 2006. Stephan Steiger has around 15 years of international experience in the management of equity portfolios. He has been with Lupus alpha since 2007.
Partner, CIO Alternative Solutions
CFA, CAIA, Portfolio Management Alternative Solutions