Press

May 19th, 2020

Short volatility strategies demonstrate their catch-up potential

Volatility risk premium at its highest level in ten years

The volatility risk premium used as a source of return for short volatility strategies rose to its highest level in the EURO STOXX 50 and S&P 500 since 2010 and is currently above 20 percent. This is due to growing demand among many capital market participants for the kind of hedging against market fluctuations offered by short volatility funds. This gives these products significant catch-up potential. As a result, the Lupus alpha Volatility Risk-Premium (ISIN DE000A1J9DU7) has already gained 14% since its low in March. Short volatility strategies are showing outstanding strength in the current sideways market.

March 10th, 2020

Absolute return in Germany: best annual performance since 2008

UCITS-compliant absolute return and liquid alternatives strategies approved for distribution in Germany performed significantly better in 2019 than in previous years to record their best result since the survey was first conducted in 2008, with an average performance of 6.64% across all evaluated funds. 84% of funds reported a positive performance, with about the same number reporting a positive Sharpe ratio at the end of the year – this figure was just 11.4% at the end of 2018. The top performers were US equity long/short approaches, followed by global macro funds and global long/short equity strategies.