Lupus alpha Volatility Risk-Premium


Fund Strategy Volatility Arbitrage
Fund Geography Global
Investment Advisor Lupus alpha Asset Management AG
Portfolio Manager Stephan Steiger, Mark Ritter
Fund Currency EUR
Fund AUM €45m
Fund AUM (GBP) £39m
Fund AUM as of 28 December 2018
Fund Inception 31 August 2015
Fund Indices AH Volatility Arbitrage UCITS Index

Fund Objective

The Lupus alpha Volatility Risk-Premium is based on a smart option strategy that aims at collecting the volatility risk premium (implied-realised spread). The risk premium is economically justifiable, sustainable and can be collected via exchange-traded equity-index-options. The core portfolio consists of short-dated euro bonds with a high quality rating. The strategy is implemented on various equity markets worldwide.


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