Investment 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.
Performance
JAN | FEB | MAR | APR | MAY | JUN | JUL | AUG | SEP | OCT | NOV | DEC | YTD | ||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
2023 | 0.9 | 0.8 | 1.0 | 0.5 | 0.3 | 0.6 | 0.3 | 0.7 | 0.7 | 0.4 | 0.8 | 0.3 | 0.8 | |
2022 | 0.4 | 0.5 | 0.2 | 0.2 | 0.1 | 0.4 | 0.4 | 1.0 | 0.5 | 0.1 | 0.6 | 1.0 | 0.7 |