Lupus alpha Volatility Risk-Premium

WKN: A1J9DU

ISIN: DE000A1J9DU7

Lupus alpha Volatility Risk-Premium makes the asset class volatility3 accessible to investors using a short-volatility-strategy. The return drivers of this strategy differ from those of traditional asset classes. Adding volatility strategies to existing portfolios therefore enables positive diversification effects.

Fund data

Current fund data as of 12/12/2018

Currency EUR
Issue price 114.63
Redemption price 110.22
Fund volume 47.17 Mio.
Launch date 31 August 2015
Distribution frequency 9annually
Portfolio managers Stephan Steiger, Mark Ritter
Performance fee 620 % of Outperformance
Administration fee 5currently p.a. 0.70 %
Hurdle Rate 7EONIA + 3% p.a.
Subscription fee 44 %
High-Watermark 8 yes
Unit price determined daily
Unit redemption possible daily
Fund price publication www.fundinfo.com
  • 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 per-formance is not a reliable indicator for 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: 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. Maximum loss 90 days: The maximum loss specifies an investor's potential loss if he had bought during the past 90 days at the highest price and sold at the lowest price. VaR 95 – 10: Value at Risk defines the level of loss which will not be exceeded within 10 days with a probability of 95%. VaR 99 – 10: Value at Risk defines the level of loss which will not be exceeded within 10 days with a probability of 99%. Sharpe Ratio: Sharpe Ratio is the excess return (Fund performance less money market rate) in relation to the range of variation (volatility) and shows the yield of the Fund per risk unit. The higher the Sharpe Ratio, the more yield has been generated in relation to the risk incurred.
  • 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.
  • 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 of investment companies are frequently bound by a high wa-termark - the all-time high of the Fund. This means that a commission entitlement arises only if that mark has been exceeded.
  • Distributing Funds do not reinvest the generated income, they pay out the income to the investor.
  • The correlation measures the strength of the statistical relationship between two variables. A positive correlation means "the more ... the more", a negative correlation means "the more ... the less". The value of correlation is in the range between -1 (completely opposed) and +1 (completely equal). Correlations are some kind of no-tice on but no evidence for causalities which mean proven cause-effect relation-ships.

Performance chart

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

Performance (gross in EUR):¹

201620172018
Jan-1.59 %0.72 %0.38 %
Feb-1.02 %0.66 %-3.01 %
Mar1.77 %0.87 %-0.83 %
Apr-0.08 %0.53 %0.94 %
May1.01 %0.67 %-0.06 %
Jun-0.43 %0.00 %-0.01 %
Jul1.12 %0.74 %1.61 %
Aug0.62 %0.38 %0.36 %
Sep0.24 %0.80 %0.80 %
Oct0.18 %0.58 %-3.40 %
Nov0.64 %0.35 %1.23 %
Dec0.89 %0.26 %n.a.
Year3.36 %6.75 %n.a.

fromtoLupus alpha Volatility Risk-Premium
1 month31.10.201830.11.20181.23 %
90 days31.08.201830.11.2018-1.44 %
1 year30.11.201730.11.2018-1.87 %
3 years30.11.201530.11.20187.72 %
5 yearsn.a.n.a.n.a.
this year29.12.201730.11.2018-2.12 %
since inception31.08.201530.11.201813.48 %
since inception p.a.31.08.201530.11.20183.96 %

12-month-timeframe (gross)Lupus alpha Volatility Risk-Premium
30.11.2017 - 30.11.2018-1.87 %
30.11.2016 - 30.11.20177.43 %
30.11.2015 - 30.11.20162.18 %

Key Risk ratios (gross):³

as ofLupus alpha Volatility Risk-Premium
Volatility p.a.30.11.20186.88 %
Maximum Draw Down 90 Days30.11.2018-5.89 %
VaR 95 - 1030.11.2018-3.11 %
VaR 99 - 1030.11.2018-4.39 %
Sharpe Ratio30.11.20180.62
Distribution02.01.20180.24 €
Fund structure

Correlations? as of 30/11/2018

S&P500 Total Return Index0.75
EURO STOXX® 500.69
iBoxx € Eurozone Sovereign OA TR-0.01
REXP-0.20

Asset Allocation as of 30/11/2018

Highlights
  • Opportunity to collect an alternative risk premium
  • The fund has little correlation with other asset classes, making it exceptionally well-suited to portfolio diversification
  • Investments made exclusively in liquid and listed instruments (no OCT risk)
Awards

Alternative Investment Awards 2018:

winner in the category "Volatitlität", five-year performance

Team expertise

With its Implied Realised Spread volatility strategy, the fund collects the volatility risk premium and builds upon more than a decade of Lupus alpha's proven expertise in Alternative Solutions:

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

Volatility strategy – the risk premium 'Volatility' in its purest form

Lupus alpha Volatility Risk-Premium uses a pure short-volatility strategy to collect the attractive risk premium 'Volatility' and to provide investors with access to an alternative source of returns largely independent from the equity and fixed-income markets. The fund systematically sells short-dated listed equity index options ('strips of options') in order to receive the volatility risk premium.

The systematic sale of options enables the fund to dispose of the implied volatility, which corresponds to the volatility expected by the market (ex ante). The realised volatility is the actual fluctuation observed in the market during the term of the options (ex post). The lower the actual observed fluctuation compared to the previously sold volatility, the higher its contribution to the fund's performance. The average spread between implied and realised volatility - i.e. the volatility risk premium - for various equity indices is around 4 per cent. In general, the higher the implied volatility, the higher the option premium received. As implied volatilities with longer maturities generally trade above those with shorter terms, the upward term structure of this volatility is an additional value driver for the concept.

The strategy is currently being implemented on the EURO STOXX 50 and S&P 500, where the difference in currencies is irrelevant as the use of options means the actual currency exposure is extremely low.

The structure of Lupus alpha Volatility Risk-Premium means it has the following return drivers:

  • Spread between implied and realised volatility (volatility risk premium)
  • Term structure (term structure risk premium)

Lupus alpha Volatility Risk-Premium's exploits the attractive risk premium 'Volatility'. It therefore achieves significant positive performance in normal market phases and generally improves the return profile. This investment concept is characterised by markedly more rapid recovery periods and can help to reduce drawdowns in high-risk portfolios.

The basic portfolio consists of short-dated Euro bonds with very high credit ratings. The actual core of the investment strategy uses derivatives to build on this bond portfolio.

Investment objective

The objective of the fund is to receive a volatility risk premium - i.e. the spread between implied and realised volatility - by systematically disposing of volatility and using this alternative value driver to achieve returns that are as independent from the market as possible.

Chances and Risks

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.

Awards

Alternative Investments Award 2018

Portfolio Manager

Experienced fund managers

Stephan Steiger has more than 15 years of international experience managing share portfolios. He has been working at Lupus alpha as a Chartered Financial Analyst since 2007. Mark Ritter joined Lupus alpha in 2004. The Chartered Financial Analyst has extensive experience of portfolio management and implementation.
 

Stephan Steiger
CFA, CAIA, Portfolio Management Alternative Solutions


Mark Ritter
CFA, CAIA, Portfolio Management Alternative Solutions