Berenberg DyMACS Volatility Premium

Overview

Fund Strategy Volatility Arbitrage
Fund Geography Global
Investment Advisor Joh. Berenberg, Gossler & Co. KG
Portfolio Manager Tom Pansegrau, Christian Schröder
Fund Currency EUR
Fund AUM €289.3m
Fund AUM (GBP) £254m
Fund AUM as of 13 September 2018
Fund Inception 10 March 2010
Fund Indices AH Volatility Arbitrage UCITS Index

Fund Objective

The fund invests in a market neutral option strategy on equity indices and interest rates. The option strategy is systematically structured based on the current volatility environment and a multi-factor model which incorporates fundamental, technical and sentiment indicators. The model gives a positive or negative market assessment which influences the structure of the option strategy. The cash portfolio is invested in high quality bonds with short duration.

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