Lupus alpha Volatility Invest A



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 4annually
Portfolio managers Mark Ritter, Stephan Steiger
Performance fee 720% of Outperformance
Administration fee 6currently p.a. 0.5 %
Hurdle Rate 83M-Euribor + 2% p.a.
Subscription fee 54 %
High-Watermark yes
Unit price determined daily
Unit redemption possible daily
Fund price publication
  • 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

Performance since 01.07.2014: +1.75 %
As of: 31.07.2014

Performance (gross in EUR):¹

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.

fromtoLupus alpha Volatility Invest A
1 month 30.08.201930.09.20190.23 %
90 days 02.07.201930.09.2019-0.69 %
1 year 28.09.201830.09.2019-0.54 %
3 years 30.09.201630.09.20196.21 %
5 years 30.09.201430.09.20197.44 %
this year 28.12.201830.09.20194.03 %
since inception 15.10.200730.09.201927.41 %
since inception p.a. 15.10.200730.09.20192.04 %

12-month-timeframe (gross)Lupus alpha Volatility Invest A
30.09.2018 - 30.09.2019-0.54 %
30.09.2017 - 30.09.20181.60 %
30.09.2016 - 30.09.20175.18 %
30.09.2015 - 30.09.20165.92 %
30.09.2014 - 30.09.2015-4.50 %
30.09.2013 - 30.09.20143.73 %
30.09.2012 - 30.09.2013-1.23 %
30.09.2011 - 30.09.20128.78 %
30.09.2010 - 30.09.2011-5.29 %
30.09.2009 - 30.09.20102.64 %

Key Risk ratios (gross):³

as ofLupus alpha Volatility Invest A
Volatility p.a. 30.09.20194.79 %
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 30.09.20190.33
Distribution 02.01.20180.11 €
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

  • 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)

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.


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 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 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.


Alternative Investments Award 2018FWW FundStars® 5 Sterne

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.



Mark Ritter
CFA, CAIA, Portfolio Management Alternative Solutions

Stephan Steiger
CFA, CAIA, Portfolio Management Alternative Solutions