Lupus alpha Low Beta Risk-Premium C

WKN: A2DTNS

ISIN: DE000A2DTNS3

Lupus alpha Low Beta Risk-Premium uses an intelligent options strategy to invest in global equity markets. In addition to the traditional equity risk premium, the performance of these options is also influenced by other risk premiums.

The low beta risk premium, also known as  leverage risk premium, is particularly value-driving. It describes the measurable excess returns of lower-risk equities (low beta) compared to higher-risk equities (high beta) and is fundamentally explained by investors’ aversion to leverage.

This should generate an attractive performance in the long-run and therefore outperforms a global equity investment on a risk-adjusted basis.

A detailed factsheet will be provided 12 months after inception of the fund. Please contact us for further information.

Fund data

Current fund data as of 12/12/2018

Currency EUR
Issue price 107.64
Redemption price 103.50
Fund volume 104.71 Mio.
Launch date 17 April 2018
Minimum investment amount 1.000
Distribution frequency 7accumulation
Portfolio managers Mark Ritter, Marvin Labod
Performance fee 615% of Outperformance
Administration fee 5currently p.a. 0.5 %
Subscription fee 44 %
  • 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. Beta is a measure of a stock's risk of volatility compared to the overall market. The market's beta coefficient is 1.00. Any stock with a beta higher than 1.00 is considered more volatile than the market, and therefore riskier to hold, whereas a stock with a beta lower than 1.00 is expected to rise or fall more slowly than the market. The maximum drawdown is the largest percentage drop in value in a given period of time. It measures the amount the fund falls from its highest point to its lowest point in the selected timeframe.
  • 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 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.
  • Accumulating Funds reinvest the generated returns which means the returns remain in the Fund's assets permanently. Thus, they increase the unit value.

Performance chart

Performance

12-month-timeframe (gross)Lupus alpha Low Beta Risk-Premium C
Fund structure
Highlights
  • Opportunity to collect the attractive leverage risk premium
  • Alternative to low-volatility / low-risk equity strategies (e.g. minimum variance strategies)
  • Avoidance of crowding risks by using listed equity index options instead of investing in individual equities
  • Attractive returns even when equities move sideways
Team expertise

Lupus alpha’s team has a proven record in Alternative Solutions for more than a decade.

  • Lupus alpha Low Beta Risk-Premium builds on this expertise and collects the low beta risk premium.
  • Experienced portfolio management and quant research team for Alternative Solutions with more than 20 experts
  • Complete control over trading process
  • Proprietary volatility database
  • Methodically sound, experienced risk management
Investment concept

Access to the low beta / leverage risk premium

The benchmark for the regional weighting on Lupus alpha Low Beta Risk-Premium is the MSCI World Index. This investment universe includes all global equity indices with liquid listed equity index options. When constructing the portfolio, the universe is reduced to indices with a sufficiently long history of the necessary options data and appropriate data quality. In particular, this process excludes markets where trading options cannot be guaranteed at reasonable costs.

Data from Lupus alpha’s comprehensive volatility database and the world’s leading data provider OptionMetrics© is used to select specific options, determine the relevant option “greeks” and obtain the latest valuation. Put options are regularly sold on the selected indices.

The payout profile of the options portfolio corresponds to the payout profile of a low-beta equity portfolio. To reduce path dependency and ensure an exposure to risk premiums that is as consistent as possible, a number of put options are sold using a wide range of maturity dates. The terms of these options range from a few weeks to several months.

As a result, the Lupus alpha Low Beta Risk-Premium portfolio achieves a high degree of diversification across individual markets and stabilises the payout profile to the maximum.

Investment objective

The fund’s objective is to outperform the benchmark (MSCI World Index) on a risk-adjusted basisin the long-run.

 

Chances and Risks

Opportunity to collect the attractive leverage risk premium
Alternative to low-volatility / low-risk equity strategies (e.g. minimum variance strategies)
Avoidance of crowding risks by using listed equity index options instead of investing in individual equities
Attractive returns even when equities move sideways

The value of investments and the income from them can go down as well as up and you may get back less than the amount invested.

A full list of risks applicable to this fund can be found in the Prospectus.

Disclaimer

This fund information is provided for general information purposes. The fund is a mutual funds (“UCITS”) launched by Lupus alpha Investment GmbH in Germany or launched by Lupus alpha Investment S.A. in Luxembourg.

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 or Lupus alpha Investment S.A. You can obtain these documents free of charge from Lupus alpha Asset Investment GmbH, P.O. Box 11 12 62, 60047 Frankfurt am Main, upon request by calling +49 69 365058-7000, by emailing 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 A-1020 Viena, Rothschildplatz 1. Fund units can be obtained from banks, savings banks and independent financial advisors. Neither this fund information, nor its contents, nor any copy thereof may be sent to third parties, changed in any way or copied without the prior written consent of Lupus alpha Asset Management AG. By accepting this document you agree to comply with the provisions above. Subject to change without notice.

Portfolio Manager

Mark Ritter
CFA, CAIA, Portfolio Management Alternative Solutions


Marvin Labod
Portfolio Management Alternative Solutions