Lupus alpha Volatility Invest (A)

Overview

Fund Strategy Volatility Arbitrage
Fund Geography Global
Investment Advisor Lupus alpha Asset Management AG
Portfolio Manager Mark Ritter, Stephan Steiger
Fund Currency EUR
Fund AUM €59.4m
Fund AUM (GBP) £52m
Fund AUM as of 31 July 2018
Fund Inception 15 October 2007
Fund Indices AH Volatility Arbitrage UCITS Index

Fund Objective

The Lupus alpha Volatility Invest is based on a smart option strategy that aims at harvesting the volatility risk premium (implied-realised spread). The risk premium is economically justifiable, sustainable and is collected via short-selling exchange-traded equity-index-options with short maturities. 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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