Fulcrum Equity Dispersion Fund

Investment Objective

The Fulcrum Equity Dispersion Fund seeks returns from investing in a range of derivative strategies to gain exposure to the volatility of global equity markets. The Fund will aim to deliver persistent long-term attractive returns whilst predominantly remaining long volatility.

Latest Meeting Note

Meeting 22 Dec 2021

The Fulcrum Equity Dispersion fund provides investors with exposure to pure equity dispersion on large cap global indices while targeting an annualised return of cash + 6-8%, with a volatility of 8-12%. The strategy has an inherent long ... Read more

The Fulcrum Equity Dispersion fund provides investors with exposure to pure equity dispersion on large cap global indices while targeting an annualised return of cash + 6-8%, with a volatility of 8-12%. The strategy has an inherent long volatility bias and targets a positive carry during most of the economic cycle. The strategy aims to exploit pricing inefficiencies in the equity volatility markets with particular reference to the correlation dynamics associated with equity index volatilities and their underlying and related single stock volatility components. The process is mainly focused on discretionary analysis of the derivatives markets and constructs trades to benefit from positive carry opportunities. Once the ‘where’ and ‘when’ discretionary decisions have been taken, the systematic single stock selection process constructs the portfolio the team wish to trade. The portfolio is constructed so that it has an excess long volatility exposure to single stock volatility most of the time and the PM choose’s to express their views through OTC structures. The fund is structured so that it aims to add alpha to a diversified portfolio, whilst contributing little additional risk as a result of its structurally low correlation to equities and bonds.

Performance

JAN FEB MAR APR MAY JUN JUL AUG SEP OCT NOV DEC YTD
2023 0.9 0.6 0.8 0.0 0.0 0.8 0.9 0.8 0.7 0.3 0.6 0.7 0.6
2022 0.9 0.5 0.1 0.9 0.1 0.2 0.9 0.2 0.6 0.6 0.5 0.5 0.6

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