Lupus alpha Volatility Risk-Premium C
Lupus alpha Volatility Risk-Premium C
Lupus alpha Volatility Risk-Premium C
Lupus alpha Volatility Risk-Premium C 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.
- Opportunity to collect an alternative risk premium
- Investments made exclusively in liquid and listed instruments (no OTC risk)
- The fund has little correlation with other asset classes, making it exceptionally well-suited to portfolio diversification
With its Implied Realised Spread volatility strategy, the fund collects the volatility risk premium and builds upon more than a decade of Lupus alpha's proven expertise in Alternative 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
Volatility strategy – volatility risk premium as an alternative source of returns
Lupus alpha Volatility Risk-Premium uses a short volatility strategy with the objective of collecting the attractive volatility risk premium 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 options('strips of options') in order to harvest the volatility risk premium. The systematic sale of options enables the fund to sell implied volatility, which corresponds to the volatility expected by the market (ex ante).
The realized 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 realized 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. This strategy is implemented on several global equity indices and bond futures, with the structure of the respective markets and a high degree of liquidity proving particularly crucial.
In market phases with extreme volatility - i.e. phases in which volatility rises sharply - the portfolio's tail hedge takes effect. This is realized by buying call options on the VIX index.
For equities, the strategy is currently being applied to 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.
Lupus alpha Volatility Risk Premium’s short volatility strategy can exploit the attractive volatility risk premium to improve the risk-return profile of a portfolio. This investment concept is characterized by quicker recovery periods and can help reduce drawdowns in high-risk portfolios. Active expiry management and the addition of a tail-risk hedge against extreme volatility spikes can further reduce risk.
The basic Lupus alpha Volatility Risk Premium 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.
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.
Performance (gross in EUR)¹:
| 2022 | 2023 | 2024 | |
|---|---|---|---|
| Jan | -2.30 % | 1.96 % | 0.34 % |
| Feb | -1.68 % | 0.12 % | 1.02 % |
| Mar | 1.57 % | 1.12 % | 0.86 % |
| Apr | -2.33 % | 1.29 % | -0.54 % |
| May | 0.86 % | 0.69 % | 1.28 % |
| Jun | -2.18 % | 1.83 % | 0.48 % |
| Jul | 3.12 % | 0.75 % | 0.12 % |
| Aug | -1.20 % | 0.46 % | 0.85 % |
| Sep | -2.41 % | -0.42 % | 0.14 % |
| Oct | 3.10 % | 0.65 % | -0.36 % |
| Nov | 1.45 % | 1.68 % | n.a. |
| Dec | -0.63 % | 1.02 % | n.a. |
| Year | -2.84 % | 11.72 % | n.a. |
| from | to | Lupus alpha Volatility Risk-Premium C | |
|---|---|---|---|
| 1 month | 30.09.2024 | 31.10.2024 | -0.36 % |
| 90 days | 02.08.2024 | 31.10.2024 | 3.20 % |
| 1 year | 31.10.2023 | 31.10.2024 | 7.09 % |
| 3 years | 29.10.2021 | 31.10.2024 | 14.31 % |
| 5 years | 31.10.2019 | 31.10.2024 | 17.00 % |
| this year | 29.12.2023 | 31.10.2024 | 4.25 % |
| since inception | 31.08.2015 | 31.10.2024 | 35.04 % |
| since inception p.a. | 31.08.2015 | 31.10.2024 | 3.33 % |
| 12-month-timeframe (gross) | Lupus alpha Volatility Risk-Premium C |
|---|---|
| 31.10.2023 - 31.10.2024 | 7.09 % |
| 31.10.2022 - 31.10.2023 | 9.64 % |
| 31.10.2021 - 31.10.2022 | -2.64 % |
| 31.10.2020 - 31.10.2021 | 17.81 % |
| 31.10.2019 - 31.10.2020 | -12.96 % |
| 31.10.2018 - 31.10.2019 | 2.97 % |
| 31.10.2017 - 31.10.2018 | -2.72 % |
| 31.10.2016 - 31.10.2017 | 7.63 % |
| 31.10.2015 - 31.10.2016 | 1.98 % |
Key Statistics³:
| as of | Lupus alpha Volatility Risk-Premium C | |
|---|---|---|
| Volatility p.a. | 31.10.2024 | 7.61 % |
| Maximum Draw Down 90 Days | 31.10.2024 | -28.15 % |
| VaR 95 - 10 | 31.10.2024 | -3.24 % |
| VaR 99 - 10 | 31.10.2024 | -4.58 % |
| Sharpe Ratio | 31.10.2024 | 0.39 |
| Distribution | 14.12.2023 | 2.06 € |
Correlations¹° as of 31/10/2024
| S&P 500 | 0.74 |
| EURO STOXX® 50 | 0.68 |
| iBoxx € Eurozone Sovereign OA TR | 0.10 |
| REXP | -0.10 |
Asset Allocation as of 31/10/2024
Chances:
- Attractive return contribution by harvesting the volatility risk premium.
- Smaller losses and significalty faster recoveries compared to common stocks.
- Low correlation of return with traditional asste classes in the long term.
- Attractive performance even in sideways moving markets.
Risks:
- Counterparty default risk: If counterparties and issuers do not fulfill or only partially fulfill their contractual payment obligations, this can result in losses for the fund. Even when securities are carefully selected, losses caused by the financial collapse of issuers cannot be ruled out.
- Concentration risk: If investment is concentrated on particular assets or markets, the fund becomes particularly heavily dependent on the performance of these assets or markets.
- Risks connected with derivatives transactions: Changes in the price of the underlying asset can devalue a derivative. If derivatives are used as part of the investment strategy, the Derivatives might have leverage effects that impact the fund more strongly than the underlying asset. When selling derivatives, there is the risk that the fund will suffer an indefinite loss amount.
- Operational risk: The fund can become the victim of fraud, criminal acts or errors by company employees or external third parties. Finally, management of the fund can be negatively impacted by external events such as fires, natural disasters or similar.
- Liquidity risk: If securities are traded in a relatively narrow market segment, it can be difficult to resell them in situations where there is insufficient liquidity.
- Market Risk: The performance of financial products depends on the development of the capital markets.
Current fund data as of 11/19/2024
Lupus alpha Volatility Risk-Premium C WKN : A1J9DU | ISIN: DE000A1J9DU7 | |
|---|---|
Currency
| EUR |
Issue price
| 139,48 |
Redemption price
| 134,12 |
Fund volume
| 105,99 Mio. |
Launch date
| 31. août 2015 |
Minimum investment amount
| 500.000 |
Distribution frequency
| distributing |
Portfolio managers
| Marvin Labod, Alexander Raviol, Mark Ritter, Stephan Steiger |
Performance fee
| 20 % |
Administration fee
| 0,7 % |
Hurdle Rate
| 3 % p.a. |
Subscription fee
| up to 4 % |
High-Watermark
| yes |
Benchmark
| €STR (ESTRON Index) |
Unit price determined
| daily |
Unit redemption possible
| daily |
Fund price publication
| www.fundinfo.com |
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 1112 62, 60047 Frankfurt am Main, Germany, upon request by calling +49 69 365058-7000, by e-mailing 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 Rothschildplatz 1, 1020 Vienna, Austria. Fund units can be obtained from banks, savings banks and independent financial advisors.
Neither this fund information nor its contents or a copy thereof may be amended, reproduced or transmitted to third parties in any way without the prior written consent of Lupus alpha Investment GmbH. By accepting this document, you declare your consent to comply with the aforementioned provisions. Subject to change without notice.
Lupus alpha Investment GmbH
Speicherstraße 49–51
D-60327 Frankfurt am Main
- 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.
- 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 fees of investment companies are frequently bound by a high watermark - the all-time high of the Fund. This means that a commission entitlement arises only if that mark has been exceeded.
- 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 relation-ships.
