**Alternative Investment Awards 2018: **

3rd place in the category "Volatitlität", one-year performance

**Alternative Investment Awards 2016: **

3rd place in the category "Volatitlität", five-year performance

With its short volatility strategy, Lupus alpha Volatility Invest generates a 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

### Volatility strategy – volatility risk premium as an alternative source of returns

Lupus alpha Volatility Invest uses a short volatility strategy with the objective of collecting the attractive risk premium 'Volatility' in the medium to long term and thus opening up an alternative source of returns for investors. To achieve this target 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.

This strategy is implemented on several global equity indices, with the structure of the respective markets and a high degree of liquidity proving particularly crucial. The strategy is currently being used 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 Invest 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 Invest's short volatility strategy can exploit the attractive risk premium 'Volatility' to improve the risk-return profile of a portfolio and significantly reduce drawdowns.

The basic Lupus alpha Volatility Invest 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.

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.

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.