Lupus alpha Volatility Invest A

WKN: A0H HGG

ISIN: DE000A0HHGG2

Lupus alpha Volatility Invest opens up the risk premium of volatility³ 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 thus enables positive diversification effects.

Fund data

Current fund data as of 10/17/2019

Currency	EUR
Issue price	113.40
Redemption price	109.04
Fund volume	82.75 Mio.
Launch date	15 October 2007
Distribution frequency ⁴	annually
Portfolio managers	Mark Ritter, Stephan Steiger
Performance fee ⁷	20% of Outperformance
Administration fee ⁶	currently p.a. 0.5 %
Hurdle Rate ⁸	3M-Euribor + 2% p.a.
Subscription fee ⁵	4 %
High-Watermark	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.
Distributing Funds do not reinvest the generated income, they pay out the income to the investor.
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.
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 chart

1 month 6 months 1 year 5 years overall

Performance since 01.07.2014: +1.75 %

As of: 31.07.2014

Performance

Performance (gross in EUR):¹

	2017	2018	2019
Jan	0.43 %	0.20 %	2.40 %
Feb	0.42 %	-1.63 %	0.92 %
Mar	0.53 %	-0.52 %	0.14 %
Apr	0.28 %	0.71 %	0.64 %
May	0.37 %	-0.39 %	-0.82 %
Jun	-0.01 %	0.35 %	1.02 %
Jul	0.40 %	1.14 %	0.38 %
Aug	0.29 %	0.29 %	-0.92 %
Sep	0.47 %	0.55 %	0.23 %
Oct	0.43 %	-2.14 %	n.a.
Nov	0.26 %	0.83 %	n.a.
Dec	0.17 %	-3.10 %	n.a.
Year	4.12 %	-3.73 %	n.a.

	from	to	Lupus alpha Volatility Invest A
1 month	30.08.2019	30.09.2019	0.23 %
90 days	02.07.2019	30.09.2019	-0.69 %
1 year	28.09.2018	30.09.2019	-0.54 %
3 years	30.09.2016	30.09.2019	6.21 %
5 years	30.09.2014	30.09.2019	7.44 %
this year	28.12.2018	30.09.2019	4.03 %
since inception	15.10.2007	30.09.2019	27.41 %
since inception p.a.	15.10.2007	30.09.2019	2.04 %

12-month-timeframe (gross)	Lupus alpha Volatility Invest A
30.09.2018 - 30.09.2019	-0.54 %
30.09.2017 - 30.09.2018	1.60 %
30.09.2016 - 30.09.2017	5.18 %
30.09.2015 - 30.09.2016	5.92 %
30.09.2014 - 30.09.2015	-4.50 %
30.09.2013 - 30.09.2014	3.73 %
30.09.2012 - 30.09.2013	-1.23 %
30.09.2011 - 30.09.2012	8.78 %
30.09.2010 - 30.09.2011	-5.29 %
30.09.2009 - 30.09.2010	2.64 %

Key Risk ratios (gross):³

	as of	Lupus alpha Volatility Invest A
Volatility p.a.	30.09.2019	4.79 %
Maximum Draw Down 90 Days	30.09.2019	-6.71 %
VaR 95 - 10	30.09.2019	-1.43 %
VaR 99 - 10	30.09.2019	-2.03 %
Sharpe Ratio	30.09.2019	0.33
Distribution	02.01.2018	0.11 €

Fund structure

Correlations¹° as of 30/09/2019

EURO STOXX® 50	0.40
S&P500 Total Return Index	0.38
iBoxx € Eurozone Sovereign OA TR	-0.01
REXP	-0.09

Asset Allocation as of 30/09/2019

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 OTC risk)

Awards

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

Team expertise

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

Investment concept

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.

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

Current publications

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 Finanical Analyst has extensive experience in the field of portfolio management and implementation.