Lupus alpha Return (R)

WKN: A0MS73

ISIN: DE000A0MS734

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.The strategy is implemented with exchange-traded derivatives ( futures, options). A portfolio of liquid, high-grade bonds is used as a base portfolio. 

 

Fund data

Current fund data as of 04/13/2021

Currency EUR
Redemption price 60.09
Fund volume 82,62 Mio.
Launch date 10 October 2007
Minimum investment amount none
Distribution frequency 7annually
Portfolio managers Alexander Raviol, Stephan Steiger
Administration fee 5p.a. 1.04 %
Hurdle Rate 6p.a. 6.5 %
Subscription fee 4up to 5.0 %
Total expense ratio (TER) 1.46 % (as of 31.08.2020)
  • Source: Lupus alpha; gross performance (BVI method): The gross performance considers all costs incurred at Fund level (e. g. management fee) and assumes reinvestment of any distributions. Costs incurred at customer level such as sales charge and securities account costs are not included. Unless otherwise specified, all indicated performance data show the gross performance. Please note: Past performance is not a reliable indicator the future performance.
  • Source: Lupus alpha; the net performance assumes a model calculation based on an invested amount of EUR 1,000, the maximum sales charge and a redemption charge (see master data). It does not include individual costs of the investor, such as a securities account fee. (To this effect, please refer to the price list of your securities account provider.) Please note: Past performance is not a reliable indicator for future performance.
  • Volatility is the range of variation of a security price or index around its mean value over a fixed period of time. A security is regarded as volatile if its price fluctuates heavily. The tracking error describes the standard deviation (volatility) between the Fund's performance and the performance of the benchmark index. The higher the tracking error, the more the performance of the Fund deviates from the performance of the benchmark index. The investment ratio means the part of the Fund that is not invested in cash. Delta: measures the sensitivity of the convertible bond price on changes to the underlying equity price. A delta of 0,4 means that the price of the convertible rises 4% if the underlying equity price rises 10%. Current yield is a bond's annual return based on its annual coupon payments and current price (as opposed to its original price or face). The formula for current yield is a bond's annual coupons divided by its current price. Interest rate sensitivity is a measure of how much the price of a fixed-income asset will fluctuate as a result of changes in the interest rate environment.
  • The sales charge is the difference between the sales price and the unit value. The sales charge varies depending on the type of the Fund and the distribution channel and usually covers the advisory and distribution costs. The Distributor will demand the sales charge at its own discretion.
  • The management fee is the fee for managing the Fund and taken from the Fund's assets; it is paid to Lupus alpha for the management and administration of the Fund
  • The hurdle rate means a specific minimum interest and/or profit threshold a Fund has to achieve in order to allow the investment company to participate in the Fund's profit
  • Distributing Funds do not reinvest the generated income, they pay income to the invest
  • Internal Ratings
  • Loss protection, capital preservation or conformity with the minimum value constraint cannot be guaranteed or warranted at any point in time. Buying within the calendar year might result in increased risks.

Performance chart

Performance since 01.07.2014: +1.75 %
As of: 31.07.2014
Performance

Performance (gross in EUR)[1]:

201920202021
Jan 2.24 %-0.36 %-0.19 %
Feb 1.08 %0.25 %0.48 %
Mar 0.78 %-5.94 %1.12 %
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.

fromtoLupus alpha Return (R)
1 month 26.02.202131.03.20211.12 %
90 days 30.12.202031.03.20211.42 %
1 year 31.03.202031.03.202112.94 %
3 years 29.03.201831.03.202111.20 %
5 years 31.03.201631.03.202120.63 %
this year 30.12.202031.03.20211.42 %
since inception 10.10.200731.03.202136.59 %
since inception p.a. 10.10.200731.03.20212.34 %

12-month-timeframe (gross)Lupus alpha Return (R)
31.03.2020 - 31.03.202112.94 %
31.03.2019 - 31.03.2020-2.97 %
31.03.2018 - 31.03.20191.48 %
31.03.2017 - 31.03.20182.06 %
31.03.2016 - 31.03.20176.35 %
31.03.2015 - 31.03.2016-4.41 %
31.03.2014 - 31.03.20158.54 %
31.03.2013 - 31.03.20143.50 %
31.03.2012 - 31.03.20131.53 %
31.03.2011 - 31.03.2012-0.47 %

Key Statistics [3]:

as ofLupus alpha Return (R)
Volatility p.a. 31.03.20214.91 %
Maximum Draw Down 90 Days 31.03.2021-8.03 %
VaR 95 - 10 31.03.2021-2.48 %
VaR 99 - 10 31.03.2021-3.51 %
Sharpe Ratio 31.03.20210.40
Distribution 27.11.20200.03 €
Fund structure

Top ten holdings as of 31/03/2021

RatingCouponMaturity Date
Kreissparkasse KoelnAAA0.63 %29.05.202310.02 %
Dt. Apoth. -u. Ärztebank eGAAA0.50 %14.02.20254.44 %
Norddeutsche Landesbank-GZAAA0.25 %28.10.20263.15 %
Santander Consumer Bank AGAAA0.25 %05.12.20243.01 %
Deutsche Bank AGAAA0.25 %08.03.20242.75 %
Bank of Nova Scotia/TheAAA0.25 %28.09.20222.48 %
National Australia Bank LtdAAA1.88 %13.01.20232.30 %
Commonwealth Bank of AustraliaAAA3.00 %03.05.20222.29 %
Canadian Imperial Bank of CommerceAAA0.00 %25.07.20222.22 %
Kreissparkasse KoelnAAA0.50 %05.02.20242.13 %

Equity Exposure as of 31/03/2021

Highlights
  • 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 derivatives ( equity index futures & options) only. 
  • Long track record (since 2007)
Team expertise

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. 

 

  • Large, experienced European portfolio management 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
Investment concept

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.

 

Investment objective

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 & Risks

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.
Disclaimer

Portfolio Manager

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.

 

Alexander Raviol
Partner, CIO Alternative Solutions


Stephan Steiger
CFA, CAIA, Portfolio Management Alternative Solutions