Lupus alpha Sustainable Return C

WKN: A2DTNX

ISIN: DE000A2DTNX3

The Lupus alpha Sustainable Return enables investors to profit from changes in global volatility and stock markets - without compromising sustainability. 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 stocks and 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
Issue price 108.27
Redemption price 103.11
Fund volume 16,50 Mio.
Launch date 18 December 2020
Minimum investment amount 500.000
Distribution frequency 9annually
Portfolio managers Alexander Raviol, Stephan Steiger
Performance fee 620 % over €STR + 4% p.a.
Administration fee 50,60% p.a. %
Hurdle Rate 7€STR + 4 % p.a.
Subscription fee 4up to 5 %
  • 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 performance fee is a performance-related remuneration depending on the performance or the achievement of specific objectives such as a better performance compared to a benchmark. The costs may also be levied if a pre-defined minimum performance has been achieved.
  • 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
  • Performance fees charged by fund companies are often tied to a high watermark, i.e., the fund's historical high. This means that a new commission claim only arises when this mark is exceeded, a new commission claim arises.
  • 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

Performance (gross in EUR)[1]:

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Year n.a.0.06 %n.a.

fromtoLupus alpha Sustainable Return C
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12-month-timeframe (gross)Lupus alpha Sustainable Return C

Key Statistics [3]:

as ofLupus alpha Sustainable Return C
Volatility p.a. 31.03.20214.59 %
Maximum Draw Down 90 Days 31.03.20210.00 %
VaR 95 - 10 31.03.2021-2.98 %
VaR 99 - 10 31.03.2021-4.21 %
Sharpe Ratio 31.03.20211.87
Fund structure

Equity Exposure as of 31/03/2021

Top ten holdings as of 31/03/2021

RatingCouponMaturity Date
Jyske Realkredit A/SAAA0.00 %01.07.20234.35 %
Landesbank Baden-WuerttembergAAA0.00 %21.02.20224.31 %
Belfius Bank SAAAA0.00 %30.01.20233.20 %
Sparebanken Vest Boligkreditt ASAAA0.00 %29.04.20223.08 %
Deutsche Pfandbriefbank AGAA+0.00 %05.09.20223.08 %
Deutsche Hypothekenbank AGAA+0.00 %12.09.20223.08 %
Stadshypotek ABAAA0.00 %10.11.20213.08 %
Highlights
  • Participation in global volatility and stock markets - without compromising sustainability
  • Active management of portfolio risk with the intention to limit intrayear losses1
  • Earn an alternative risk premium
  • Investment in liquid, exchange-traded stocks and derivatives only. 
  • Sustainable implementation of the successful strategy of Lupus alpha Return.
Team expertise

Lupus alpha Sustainable 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 Sustainable Return: Risk-conscious and responsible 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 Sustainable 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 and considering a broad range of ESG criteria. For doing so, the fund is using exchange-traded stocks andderivatives 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 65% 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 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 while considering a broad range of ESG criteria. Active management of portfolio risks intents to limit calendar year losses due to negative market environments to -10%. 

 

Chances & Risks

Chances:

 

  • Participation in global stock markets with reduced risks – without compromising sustainability.
  • Attractive return contribution by harvesting the volatility risk premium
  • Smaller drawdowns compared to common stock.
    Attractive performance even in sideways moving markets.
     

 

Risks:

 

  • Counterparty default risk: If counterparties and issuers do not fulfill or only partially fulfill their contractual payment obligations, this can result in losses for the fund. Even when securities are carefully selected, losses caused by the financial collapse of issuers cannot be ruled out.
  • Concentration risk: If investment is concentrated on particular assets or markets, the fund becomes particularly heavily dependent on the performance of these assets or markets.
  • Risks connected with derivatives transactions: Changes in the price of the underlying asset can devalue a derivative. If derivatives are used as part of the investment strategy, the Derivatives might have leverage effects that impact the fund more strongly than the underlying asset. When selling derivatives, there is the risk that the fund will suffer an indefinite loss amount.
  • Operational risk: The fund can become the victim of fraud, criminal acts or errors by company employees or external third parties. Finally, management of the fund can be negatively impacted by external events such as fires, natural disasters or similar.
  • Liquidity risk: If securities are traded in a relatively narrow market segment, it can be difficult to resell them in situations where there is insufficient liquidity.
  • Market Risk: The performance of financial products depends on the development of the capital markets.
Disclaimer

This fund information is provided for general information purposes. This information is not designed to replace the investor‘s own market research nor any other legal, tax or financial information or advice. The information presented does not constitute an invitation to buy or sell or investment advice. It does not contain all key information required to make important economic decisions and may differ from information and estimates provided by other sources or market participants. We accept no liability for the accuracy, completeness or topicality of this information. All statements are based on our assessment of the present legal and tax situation. All opinions reflect the current views of the portfolio manager and can be changed without prior notice. Full details of our funds and their licenses of distribution can be found in the relevant current sales prospectus and, where appropriate, Key Investor Information Document , supplemented by the latest audited annual report and/or half-year report. The relevant sales prospectus and Key Investor Information Documents prepared in German are the sole legally-binding basis for the purchase of funds managed by Lupus alpha Investment GmbH. You can obtain these documents free of charge from Lupus alpha Investment GmbH, P.O. Box 1112 62, 60047 Frankfurt am Main, Germany, upon request by calling +49 69 365058-7000, by e-mailing service@lupusalpha.de or via our website www.lupusalpha.de. If funds are licensed for distribution in Austria the respective sales prospectus, Key Investor Information Document and the latest audited annual report or half-year report are available from the Austrian paying and information agent UniCredit Bank Austria AG based in Rothschildplatz 1, 1020 Vienna, Austria. Fund units can be obtained from banks, savings banks and independent financial advisors.

 

 

 

Neither this fund information nor its contents or a copy thereof may be amended, reproduced or transmitted to third parties in any way without the prior written consent of Lupus alpha Investment GmbH. By accepting this document, you declare your consent to comply with the aforementioned provisions. Subject to change without notice.

 

 

 

Lupus alpha Investment GmbH

 

Speicherstraße 49–51

 

D-60327 Frankfurt am Main

 

Portfolio Manager

Alexander Raviol
Partner, CIO Alternative Solutions


Stephan Steiger
CFA, CAIA, Portfolio Management Alternative Solutions