Lupus alpha Dynamic Return (C)
Lupus alpha Dynamic Return (C)
Lupus alpha Return (I)
The Lupus alpha Return enables investors to profit from changes in global stock markets. The diversifikation of return drivers and the active management of portfolio risks aim to limit losses while simultaneously enhancing the risk-return profile of the fund.8 The strategy is implemented with exchange-traded derivatives (futures, options). A portfolio of liquid, high-grade bonds is used as a base portfolio.
- Participation in global volatility and stock markets
- Asymmetric risk-return profile
- Long track record (since 2007)
- Active management of portfolio risk with the intention to limit losses over the calender year
- Investment in liquid, stock-exchange-listed derivates ( equity index futures & options) only
Lupus alpha Return is characterised by a long-standing track record ( launch date: 2007). The management team did not change since inception of the fund. While the investment case remaining unchanged, the strategy and its implementation are subject to continuous further development. Moreover, the responsible fund management team may rely on the proven expertise of Lupus alpha in the field of Derivative Solutions.
EXPERIENCED TEAM
... from 10+ specialists with an average of 15+ years of experience
PROPRIETARY VALUATION MODEL
... for the assessment of opportunities and risks
INHOUSE QUANTITATIVE MODELS
... for data and scenario analyses
BACKTESTING METHODS
... which are constantly critically scrutinized and further developed
Lupus alpha Return: Risk-conscious investing
While traditional equity investments offer attractive returns over the long run, they might be accompanied by untenable, short-term risk that not all investors might be willing to take on. The strategy of the Lupus alpha Return addresses that point. It allows risk-conscious investors to participate in the return potential of global stock markets – while actively managing portfolio drawdown risks to a maximum of 10% of the invested capital per calendar year.8 The fund uses exchange-listed derivatives on global equities and equity indices (in particular, futures and options) for this purpose. High quality, liquid bonds serve as a basis for this strategy.
The equity exposure is managed actively by the responsible portfolio managers. This enables global allocations without taking the "full" risk of the respective markets. The equity sensitivity of the portfolio ranges between 0% and 80% and is set regularly based on analyses of the market, of the volatility structure, and of the distance to the minimum value constraint. At the same time, the minimum value constraint allows the portfolio management to take on enough risks to generate or outperform its target return instead of being forced to prematurely reduce its risk exposure.
Being globally oriented, the portfolio does not only offer attractive return potentials, but also significant diversification benefits.
The objective of the fund is to participate in the attractive stock markets. Active management of portfolio risks intents to limit calendar year losses due to negative market environments to -10%.
Experienced fund managers
As Portfolio Manager and Head of quantitative analysis in the Derivative Solutions division, Marvin Labod is responsible for value protection concepts, overlay mandates and derivative volatility strategies. The team is expanded by Alexander Raviol, who is a partner at Lupus alpha and responsible for portfolio management in the Derivative Solutions division. He brought many years of capital market experience with him when he joined Lupus alpha in 2006. The team is supported by Mark Ritter, who has been with Lupus alpha since 2004. He has broad experience in portfolio management and portfolio implementation. Stephan Steiger completes this team with his international experience in managing derivatives portfolios. He is responsible for volatility strategies and value protection concepts.
Performance (gross in EUR)¹:
| 2022 | 2023 | 2024 | |
|---|---|---|---|
| Jan | -1.57 % | 2.48 % | 1.08 % |
| Feb | -2.14 % | -0.71 % | 3.30 % |
| Mar | 0.46 % | 1.62 % | 2.35 % |
| Apr | -1.52 % | -0.44 % | -2.51 % |
| May | 0.04 % | -0.12 % | 2.16 % |
| Jun | -3.50 % | 2.91 % | 1.68 % |
| Jul | 1.73 % | 2.22 % | 0.64 % |
| Aug | -1.74 % | -2.25 % | 1.05 % |
| Sep | -1.50 % | -2.57 % | 1.58 % |
| Oct | 0.47 % | -2.99 % | -0.76 % |
| Nov | 0.79 % | 6.44 % | 2.59 % |
| Dec | -1.27 % | 2.26 % | n.a. |
| Year | -9.43 % | 8.76 % | n.a. |
| from | to | Lupus alpha Return (I) | |
|---|---|---|---|
| 1 month | 31.10.2024 | 29.11.2024 | 2.59 % |
| 90 days | 30.08.2024 | 29.11.2024 | 3.42 % |
| 1 year | 29.11.2023 | 29.11.2024 | 16.85 % |
| 3 years | 29.11.2021 | 29.11.2024 | 13.73 % |
| 5 years | 29.11.2019 | 29.11.2024 | 25.70 % |
| this year | 29.12.2023 | 29.11.2024 | 13.83 % |
| since inception | 10.10.2007 | 29.11.2024 | 77.07 % |
| since inception p.a. | 10.10.2007 | 29.11.2024 | 3.39 % |
| 12-month-timeframe (gross) | Lupus alpha Return Institutionelle Kunden |
|---|---|
| 30.11.2023 - 30.11.2024 | 16.85 % |
| 30.11.2022 - 30.11.2023 | 5.01 % |
| 30.11.2021 - 30.11.2022 | -6.18 % |
| 30.11.2020 - 30.11.2021 | 4.52 % |
| 30.11.2019 - 30.11.2020 | 4.88 % |
| 30.11.2018 - 30.11.2019 | 5.21 % |
| 30.11.2017 - 30.11.2018 | 0.42 % |
| 30.11.2016 - 30.11.2017 | 7.80 % |
| 30.11.2015 - 30.11.2016 | 0.93 % |
| 30.11.2014 - 30.11.2015 | 2.90 % |
Key Statistics³:
| as of | Lupus alpha Return (I) | |
|---|---|---|
| Volatility p.a. | 29.11.2024 | 5.22 % |
| Maximum Draw Down 90 Days | 29.11.2024 | -7.71 % |
| VaR 95 - 10 | 29.11.2024 | -3.34 % |
| VaR 99 - 10 | 29.11.2024 | -4.73 % |
| Sharpe Ratio | 29.11.2024 | 0.53 |
| Distribution | 22.11.2024 | 2.01 € |
Equity Exposure as of 29/11/2024
Top ten holdings as of 29/11/2024
| Rating⁷ | Coupon | Maturity Date | % Fund | |
|---|---|---|---|---|
| Berlin Hyp AG 22/25 | AAA | 1.25 % | 25.08.2025 | 3.05 % |
| National Bank of Canada | AAA | 0.75 % | 13.03.2025 | 3.02 % |
| Jyske Realkredit A/S 19/25 | AAA | 0.38 % | 01.04.2025 | 3.01 % |
| Bank of Nova Scotia/The | AAA | 0.01 % | 18.03.2025 | 3.01 % |
| Muenchener Hypothekenbank eG | AAA | 0.50 % | 14.03.2025 | 3.01 % |
| Kuntarahoitus Oyj | AA+ | 0.00 % | 22.04.2025 | 3.01 % |
| DZ HYP AG | AAA | 0.50 % | 13.11.2025 | 2.98 % |
| Achmea Bank NV | AAA | 0.01 % | 16.06.2025 | 2.65 % |
| Credit Agricole Home Loan SFH | AAA | 4.00 % | 16.07.2025 | 2.63 % |
| Santander Consumer Bank AG | AAA | 0.25 % | 05.12.2024 | 2.60 % |
Chances:
- The fund benefits from allocating funds to well-performing stock markets. Ascents within those selected stock markets promise consistently improving annual returns with limited risk levels.
- The fund structure enables to dampen downturns and to limit potential losses. Maximum losses calculated on an annual basis amount to 10% of the previous years's closing price.
Risks:
- Equity risk: In the past, stocks displayed major price movements and therefore a risk of price declines.
- Interest rate risk: Investing in fixed-rate securities comes along with the risk of changing market interest rates during the holding period.
- Capital market risk: The development of prices and the market of financial products is dependent on the development of the capital markets, which are, in turn, influenced by the state of the global economy as well as economical and political environments in the respective countries.
- Currency risks: Fund assets can be denoted in another currency than the fund currency. If this currency depreciates relative to the fund currency, the fund value will decrease.
- Counterparty default risk: The fund's value might be reduced if a counterparty or issuer, with liabilities towards the fund, defaults.
- Liquidity risks: The fund can invest into securities which are neither listed on a exchange nor in any similar market.
- Risks from using derivatives: The fund uses derivatives for both investment and hedging purposes. Elevated chances are accompanied by elevated loss risks.
- Target fund risks: The fund invests in target fund structures in order to replicate specific markets, regions and themes. Individual target funds may underperform their respective markets.
Current fund data as of 12/20/2024
Lupus alpha Return (I) WKN : A0MS72 | ISIN: DE000A0MS726 | |
|---|---|
Redemption price
| 139,04 |
Fund volume
| 114,16 Mio. |
Launch date
| 10. October 2007 |
Minimum investment amount
| 100.000 |
Distribution frequency
| annually |
Portfolio managers
| Marvin Labod, Alexander Raviol, Mark Ritter, Stephan Steiger |
Administration fee
| 0,52 % |
Subscription fee
| up to 5 % |
Total expense ratio (TER)
| 0.64 % (as of 31.08.2020) |
Current fund data as of 12/20/2024
Lupus alpha Return (R) WKN : A0MS73 | ISIN: DE000A0MS734 | |
|---|---|
Redemption price
| 65,31 |
Fund volume
| 114,16 Mio. |
Launch date
| 10. October 2007 |
Minimum investment amount
| none |
Distribution frequency
| annually |
Portfolio managers
| Marvin Labod, Alexander Raviol, Mark Ritter, Stephan Steiger |
Administration fee
| 1,04 % |
Subscription fee
| up to 5.0 % |
Total expense ratio (TER)
| 1.46 % (as of 31.08.2020) |
This fund information is provided for general information purposes. This information is not designed to replace the investor‘s own market research nor any other legal, tax or financial information or advice. The information presented does not constitute an invitation to buy or sell or investment advice. It does not contain all key information required to make important economic decisions and may differ from information and estimates provided by other sources or market participants. We accept no liability for the accuracy, completeness or topicality of this information. All statements are based on our assessment of the present legal and tax situation. All opinions reflect the current views of the portfolio manager and can be changed without prior notice. Full details of our funds and their licenses of distribution can be found in the relevant current sales prospectus and, where appropriate, Key Investor Information Document , supplemented by the latest audited annual report and/or half-year report. The relevant sales prospectus and Key Investor Information Documents prepared in German are the sole legally-binding basis for the purchase of funds. You can obtain these documents free of charge from Monega Kapitalanlagegesellschaft mbH, Stolkgasse 25-45, 50667 Köln, telephone: +49 (0)221 390 95-0, fax: +49 (0)221 390 95-400, email: info@monega.de, website; www.monega.de. Fund units can be obtained from banks, savings banks and independent financial advisors.
Lupus alpha Asset Management AG
Speicherstraße 49 -51
D-60327 Frankfurt am Main
- Source: Lupus alpha; gross performance (BVI method): The gross performance considers all costs incurred at Fund level (e. g. management fee) and assumes reinvestment of any distributions. Costs incurred at customer level such as sales charge and securities account costs are not included. Unless otherwise specified, all indicated performance data show the gross performance. Please note: Past performance is not a reliable indicator the future performance.
- Source: Lupus alpha; the net performance assumes a model calculation based on an invested amount of EUR 1,000, the maximum sales charge and a redemption charge (see master data). It does not include individual costs of the investor, such as a securities account fee. (To this effect, please refer to the price list of your securities account provider.) Please note: Past performance is not a reliable indicator for future performance.
- Volatility is the range of variation of a security price or index around its mean value over a fixed period of time. A security is regarded as volatile if its price fluctuates heavily. The tracking error describes the standard deviation (volatility) between the Fund's performance and the performance of the benchmark index. The higher the tracking error, the more the performance of the Fund deviates from the performance of the benchmark index. The investment ratio means the part of the Fund that is not invested in cash. Delta: measures the sensitivity of the convertible bond price on changes to the underlying equity price. A delta of 0,4 means that the price of the convertible rises 4% if the underlying equity price rises 10%. Current yield is a bond's annual return based on its annual coupon payments and current price (as opposed to its original price or face). The formula for current yield is a bond's annual coupons divided by its current price. Interest rate sensitivity is a measure of how much the price of a fixed-income asset will fluctuate as a result of changes in the interest rate environment.
- The sales charge is the difference between the sales price and the unit value. The sales charge varies depending on the type of the Fund and the distribution channel and usually covers the advisory and distribution costs. The Distributor will demand the sales charge at its own discretion.
- The management fee is the fee for managing the Fund and taken from the Fund's assets; it is paid to Lupus alpha for the management and administration of the Fund
- The hurdle rate means a specific minimum interest and/or profit threshold a Fund has to achieve in order to allow the investment company to participate in the Fund's prof
- Intern Ratings
- Distributing Funds do not reinvest the generated income, they pay out the income to the invest
- Loss protection, capital preservation or conformity with the minimum value constraint cannot be guaranteed or warranted at any point in time. Buying within the calendar year might result in increased risks.
Please find the information on sustainability-related disclosures on the website of the investment management company (Monega): https://www.monega.de/fonds/DE000A0MS726