top
person-image

Lupus alpha Return (R)

person-image

Lupus alpha Return (R)

WKN : A0MS73 | ISIN: DE000A0MS734

Lupus alpha Return (R)

The Lupus alpha Return enables investors to profit from changes in global 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.8 The strategy is implemented with exchange-traded derivatives (futures, options). A portfolio of liquid, high-grade bonds is used as a base portfolio.

Highlights

  • Participation in global volatility and stock markets

  • Asymmetric risk-return profile

  • Long track record (since 2007)

  • Active management of portfolio risk with the intention to limit losses over the calender year

  • Investment in liquid, stock-exchange-listed derivates ( equity index futures & options) only
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 remaining 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 Derivative Solutions.

EXPERIENCED TEAM

... from 10+ specialists with an average of 15+ years of experience

PROPRIETARY VALUATION MODEL

... for the assessment of opportunities and risks

INHOUSE QUANTITATIVE MODELS

... for data and scenario analyses

 

BACKTESTING METHODS

... which are constantly critically scrutinized and further developed

Investment concept

Lupus alpha Return: Risk-conscious investing

While traditional equity investments offer attractive returns over the long run, they might be accompanied by untenable, short-term risk that not all investors might be willing to take on. The strategy of the Lupus alpha Return addresses that point. It allows risk-conscious investors to participate in the return potential of global stock markets – while actively managing portfolio drawdown risks to a maximum of 10% of the invested capital per calendar year.8 The fund uses exchange-listed derivatives on global equities and equity indices (in particular, futures and options) for this purpose. 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. At the same time, the minimum value constraint allows the portfolio management to take on enough risks to generate or outperform its target return instead of being forced to prematurely reduce its risk exposure.

Being globally oriented, the portfolio does not only offer attractive return potentials, but also significant diversification benefits.

Investment objective

The objective of the fund is to participate in the attractive stock markets. Active management of portfolio risks intents to limit calendar year losses due to negative market environments to -10%.

Our Portfolio managers

Experienced fund managers

As Portfolio Manager and Head of quantitative analysis in the Derivative Solutions division, Marvin Labod is responsible for value protection concepts, overlay mandates and derivative volatility strategies. The team is expanded by Alexander Raviol, who is a partner at Lupus alpha and responsible for portfolio management in the Derivative Solutions division. He brought many years of capital market experience with him when he joined Lupus alpha in 2006. The team is supported by Mark Ritter, who has been with Lupus alpha since 2004. He has broad experience in portfolio management and portfolio implementation. Stephan Steiger completes this team with his international experience in managing derivatives portfolios. He is responsible for volatility strategies and value protection concepts. 

Marvin Labod, Portfolio Manager Alternative Solutions bei Lupus alpha
Marvin Labod
Head of Quantitative Analysis
Alexander Raviol, CIO Alternative Solutions bei Lupus alpha
Alexander Raviol
Partner, CIO Derivative Solutions
Mark Ritter, Portfolio Manager bei Lupus alpha
Mark Ritter
CFA, CAIA, Portfolio Management Derivative Solutions
Stephan Steiger, Portfolio Manager bei Lupus alpha
Stephan Steiger
CFA, CAIA, Portfolio Management Derivative Solutions
Fund data
Performance since 01.07.2014: +1.75 %
As of: 31.07.2014

Performance (gross in EUR)¹:

202220232024
Jan -1.62 %2.44 %1.01 %
Feb -2.18 %-0.75 %3.26 %
Mar 0.40 %1.57 %2.31 %
Apr -1.54 %-0.47 %-2.56 %
May -0.02 %-0.17 %2.11 %
Jun -3.53 %2.87 %1.65 %
Jul 1.69 %2.18 %0.59 %
Aug -1.78 %-2.31 %0.99 %
Sep -1.55 %-2.61 %1.54 %
Oct 0.41 %-3.04 %-0.80 %
Nov 0.75 %6.41 %n.a.
Dec -1.33 %2.21 %n.a.
Year -9.94 %8.19 %n.a.

fromtoLupus alpha Return (R)
1 month 30.09.202431.10.2024-0.80 %
90 days 02.08.202431.10.20244.84 %
1 year 31.10.202331.10.202420.12 %
3 years 29.10.202131.10.20249.62 %
5 years 31.10.201931.10.202419.66 %
this year 29.12.202331.10.202410.45 %
since inception 10.10.200731.10.202452.92 %
since inception p.a. 10.10.200731.10.20242.52 %

12-month-timeframe (gross)Lupus alpha Return Retail Kunden
31.10.2023 - 31.10.202420.12 %
31.10.2022 - 31.10.2023-1.11 %
31.10.2021 - 31.10.2022-7.72 %
31.10.2020 - 31.10.20217.25 %
31.10.2019 - 31.10.20201.58 %
31.10.2018 - 31.10.20194.26 %
31.10.2017 - 31.10.2018-1.13 %
31.10.2016 - 31.10.20177.34 %
31.10.2015 - 31.10.2016-0.80 %
31.10.2014 - 31.10.20155.10 %

Key Statistics³:

as ofLupus alpha Return (R)
Volatility p.a. 31.10.20245.20 %
Maximum Draw Down 90 Days 31.10.2024-8.03 %
VaR 95 - 10 31.10.2024-3.09 %
VaR 99 - 10 31.10.2024-4.37 %
Sharpe Ratio 31.10.20240.37
Distribution 22.11.20231.00 €

Equity Exposure as of 31/10/2024

Top ten holdings as of 31/10/2024

Rating⁷CouponMaturity Date% Fund
Berlin Hyp AG 22/25AAA1.25 %25.08.20253.12 %
National Bank of CanadaAAA0.75 %13.03.20253.08 %
Jyske Realkredit A/S 19/25AAA0.38 %01.04.20253.08 %
Muenchener Hypothekenbank eGAAA0.50 %14.03.20253.08 %
Bank of Nova Scotia/TheAAA0.01 %18.03.20253.08 %
Kuntarahoitus OyjAA+0.00 %22.04.20253.07 %
DZ HYP AGAAA0.50 %13.11.20253.04 %
Achmea Bank NVAAA0.01 %16.06.20252.71 %
Credit Agricole Home Loan SFHAAA4.00 %16.07.20252.69 %
Australia & New Zealand Banking GroupAAA3.21 %15.11.20242.67 %

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.

Current fund data as of 11/05/2024

Lupus alpha Return (R)
WKN : A0MS73 | ISIN: DE000A0MS734
Currency
EUR
Issue price
0,00
Redemption price
66,00
Fund volume
113,45 Mio.
Launch date
10. October 2007
Minimum investment amount
none
Distribution frequency
annually
Portfolio managers
Marvin Labod, Alexander Raviol, Mark Ritter, Stephan Steiger
Administration fee
1,04 %
Subscription fee
up to 5.0 %
Total expense ratio (TER)
1.46 % (as of 31.08.2020)

Current fund data as of 11/05/2024

Lupus alpha Return (I)
WKN : A0MS72 | ISIN: DE000A0MS726
Currency
EUR
Issue price
0,00
Redemption price
140,41
Fund volume
113,45 Mio.
Launch date
10. October 2007
Minimum investment amount
100.000
Distribution frequency
annually
Portfolio managers
Marvin Labod, Alexander Raviol, Mark Ritter, Stephan Steiger
Administration fee
0,52 %
Subscription fee
up to 5 %
Total expense ratio (TER)
0.64 % (as of 31.08.2020)

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. You can obtain these documents free of charge from Monega Kapitalanlagegesellschaft mbH, Stolkgasse 25-45, 50667 Köln, telephone: +49 (0)221 390 95-0, fax: +49 (0)221 390 95-400, email: info@monega.de, website; www.monega.de. Fund units can be obtained from banks, savings banks and independent financial advisors.

Lupus alpha Asset Management AG
Speicherstraße 49 -51
D-60327 Frankfurt am Main

  1. 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.
  2. 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.
  3. 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.
  4. 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.
  5. 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
  6. Distributing Funds do not reinvest the generated income, they pay income to the invest
  7. Internal Ratings
  8. 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.
Funds overview
WKN: A0Q7VN | ISIN: LU0381944619
104.36 EUR
NAV from 11/05/2024
+0.17 %
T-1
-9.13 %
YTD
+8.09 %
5 Years
More information
WKN: A0M99W | ISIN: LU0329425713
123.2 EUR
NAV from 11/05/2024
+0.17 %
T-1
-8.51 %
YTD
+14.98 %
5 Years
More information
WKN: A1JDV6 | ISIN: DE000A1JDV61
230.07 EUR
NAV from 11/05/2024
-0.06 %
T-1
-1.76 %
YTD
+8.69 %
5 Years
More information
WKN: A1XDX7 | ISIN: DE000A1XDX79
130.09 EUR
NAV from 11/05/2024
-0.06 %
T-1
-2.33 %
YTD
+5.00 %
5 Years
More information
WKN: A2JB8X | ISIN: LU1891775774
141.12 EUR
NAV from 11/05/2024
+0.71 %
T-1
-2.71 %
YTD
+30.57 %
5 Years
More information
WKN: A2JB8Y | ISIN: LU1891775857
149.69 EUR
NAV from 11/05/2024
+0.71 %
T-1
-1.96 %
YTD
+36.23 %
5 Years
More information
WKN: A0EAM5 | ISIN: LU0218245263
197.4 EUR
NAV from 11/05/2024
+0.70 %
T-1
-2.88 %
YTD
+37.79 %
5 Years
More information
WKN: 974564 | ISIN: LU0129233093
421.96 EUR
NAV from 11/05/2024
+0.58 %
T-1
-7.67 %
YTD
+17.29 %
5 Years
More information
WKN: 940640 | ISIN: LU0129233507
482.25 EUR
NAV from 11/05/2024
+0.59 %
T-1
-7.27 %
YTD
+20.66 %
5 Years
More information
WKN: A3CZDG | ISIN: LU2381264956
37.56 EUR
NAV from 11/05/2024
+0.56 %
T-1
-7.28 %
YTD
n.a.
5 Years
More information
278.1 EUR
NAV from 11/05/2024
+0.18 %
T-1
-7.06 %
YTD
+28.85 %
5 Years
More information
320.39 EUR
NAV from 11/05/2024
+0.19 %
T-1
-6.67 %
YTD
+32.88 %
5 Years
More information
193.57 EUR
NAV from 11/05/2024
+0.39 %
T-1
+0.02 %
YTD
+20.94 %
5 Years
More information
98.04 EUR
NAV from 11/05/2024
+0.38 %
T-1
-0.45 %
YTD
n.a.
5 Years
More information
WKN: A2H7DG | ISIN: LU1717012527
97.52 EUR
NAV from 11/05/2024
+0.64 %
T-1
+3.49 %
YTD
+0.65 %
5 Years
More information
WKN: A2DJR6 | ISIN: LU1535992389
108.34 EUR
NAV from 11/05/2024
+0.65 %
T-1
+4.03 %
YTD
+3.74 %
5 Years
More information
WKN: A2DTNQ | ISIN: DE000A2DTNQ7
98.1 EUR
NAV from 11/05/2024
+0.43 %
T-1
+2.37 %
YTD
+6.64 %
5 Years
More information
WKN: A2DTNW | ISIN: DE000A2DTNW5
85.99 EUR
NAV from 11/05/2024
+0.42 %
T-1
+1.81 %
YTD
n.a.
5 Years
More information
WKN: A1XDX3 | ISIN: DE000A1XDX38
108.63 EUR
NAV from 11/05/2024
+0.01 %
T-1
+7.82 %
YTD
+19.44 %
5 Years
More information
WKN: A1J9DU | ISIN: DE000A1J9DU7
133.11 EUR
NAV from 11/05/2024
+0.44 %
T-1
+5.27 %
YTD
+17.96 %
5 Years
More information
WKN: A3DD2R | ISIN: DE000A3DD2R4
116.66 EUR
NAV from 11/05/2024
+0.43 %
T-1
+4.90 %
YTD
n.a.
5 Years
More information
WKN: A0MS72 | ISIN: DE000A0MS726
140.41 EUR
NAV from 11/05/2024
+0.80 %
T-1
+11.90 %
YTD
+23.93 %
5 Years
More information
WKN: A0MS73 | ISIN: DE000A0MS734
66 EUR
NAV from 11/05/2024
+0.78 %
T-1
+11.37 %
YTD
+20.13 %
5 Years
More information
WKN: A2DTNX | ISIN: DE000A2DTNX3
114.39 EUR
NAV from 11/05/2024
+0.60 %
T-1
+9.50 %
YTD
n.a.
5 Years
More information
WKN: A2QNXM | ISIN: DE000A2QNXM0
102.06 EUR
NAV from 11/05/2024
+0.56 %
T-1
+9.09 %
YTD
n.a.
5 Years
More information


Unfortunately, no funds are currently available here.