Lupus alpha Volatility Risk-Premium CAV



Lupus alpha Volatility Risk-Premium CAV 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.


The performance is shown after a term of 12 months. For further information please contact us at +49 69 365058-7000 or


Fund data

Current fund data as of 10/27/2020

Currency EUR
Issue price 91.77
Redemption price 88.24
Fund volume 151,98 Mio.
Launch date 24 September 2019
Minimum investment amount 10.000.000
Distribution frequency 6annually
Portfolio managers Stephan Steiger, Mark Ritter
Administration fee 50.43 %
Subscription fee 4up to 4 %
  • 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 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.
  • 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 relationships.

Performance chart

Performance since 01.07.2014: +1.75 %
As of: 31.07.2014

Performance (gross in EUR):¹

Jan n.a.n.a.-0.42 %
Feb n.a.n.a.-5.26 %
Mar n.a.n.a.-16.73 %
Apr n.a.n.a.4.09 %
May n.a.n.a.1.96 %
Jun n.a.n.a.1.44 %
Jul n.a.n.a.1.84 %
Aug n.a.n.a.1.99 %
Sep n.a.0.17 %-0.25 %
Oct n.a.-0.02 %n.a.
Nov n.a.0.57 %n.a.
Dec n.a.0.14 %n.a.
Year n.a.0.86 %n.a.

fromtoLupus alpha Volatility Risk-Premium CAV
1 month 31.08.202030.09.2020-0.25 %
90 days 02.07.202030.09.20202.81 %
1 year 30.09.201930.09.2020-11.76 %
3 years n.a.n.a.n.a.
5 years n.a.n.a.n.a.
this year 30.12.201930.09.2020-12.36 %
since inception 26.09.201930.09.2020-11.61 %
since inception p.a. 26.09.201930.09.2020-11.46 %

12-month-timeframe (gross)Lupus alpha Volatility Risk-Premium CAV
30.09.2019 - 30.09.2020-11.76 %

Key Risk ratios (gross):³

as ofLupus alpha Volatility Risk-Premium CAV
Volatility p.a. 30.09.202014.90 %
Maximum Draw Down 90 Days 30.09.2020-28.09 %
VaR 95 - 10 30.09.2020-5.77 %
VaR 99 - 10 30.09.2020-8.16 %
Sharpe Ratio 30.09.2020n.a.
Fund structure

Asset Allocation as of 30/09/2020

Correlations¹° as of 30/09/2020

EURO STOXX® 50 0.73
S&P 500 0.74
iBoxx € Eurozone Sovereign OA TR 0.31
REXP -0.16
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.



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 11 12 62, 60047 Frankfurt am Main, upon request by calling +49 69 365058-7000, by emailing or via our website: 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 Vienna, 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 Investment GmbH. By accepting this document you agree to comply with the provisions above. Subject to change without notice.



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 since 2007. Mark Ritter joined Lupus alpha in 2004. He has extensive experience in the field of portfolio management and implementation.


Stephan Steiger
CFA, CAIA, Portfolio Management Alternative Solutions

Mark Ritter
CFA, CAIA, Portfolio Management Alternative Solutions