Lupus alpha Sustainable Return R
Lupus alpha Sustainable Return R
The Lupus alpha Sustainable Return enables investors to profit from changes in global stock markets - without compromising sustainability. The diversification of return drivers and the active management of portfolio risks aim to limit losses while simultaneously enhancing the risk-return profile of the fund.10 The strategy is implemented with stocks and exchange-traded derivatives (futures, options). A portfolio of liquid, high-grade bonds is used as a base portfolio.
- Participation in global stock markets - without compromising sustainability
- Asymmetric risk-return profile
- Sustainable implementation of the successful strategy of Lupus alpha Return
- Active management of portfolio risk with the intention to limit intrayear losses10
- Investment in liquid, exchange-traded stocks and derivatives only
Lupus alpha Sustainable 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 remained 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 Alternative 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 Sustainable Return: Risk-conscious and responsible investing
Generating target returns is severely challenged by the expansive monetary policy of the ECB and Fed. Traditional equity investments might offer some relief in this regard, but might be accompanied by untenable risks.
The strategy of the Lupus alpha Sustainable Return addresses that point. It allows risk-conscious investors to participate in the return potential of global stock and volatility markets - while actively managing portfolio risks and considering a broad range of ESG criteria. For doing so, the fund is using exchange-traded stocks andderivatives on global stock indices (especially futures and options). 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 65% and is set regularly based on analyses of the market, of the volatility structure, and of the distance to the minimum value constraint. Being globally oriented, the portfolio does not only offer attractive return potentials, but also significant diversification benefits.
When participating in volatility markets, Lupus alpha relies on its long-standing experience with volatility strategies.
The strategy is augmented by managing a minimum value constraint of 90%. This prevents larger losses (>10% of invested capital) with a high level of confidence.10 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.
The objective of the fund is to participate in the attractive volatility and stock markets while considering a broad range of ESG criteria. 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 | -2.23 % | 1.91 % | 1.14 % |
| Feb | -2.42 % | -1.29 % | 2.82 % |
| Mar | -0.13 % | 0.48 % | 1.42 % |
| Apr | -1.25 % | -0.64 % | -2.62 % |
| May | -0.70 % | -0.36 % | 1.63 % |
| Jun | -2.19 % | 1.09 % | 1.29 % |
| Jul | 1.58 % | 1.85 % | 0.76 % |
| Aug | -1.73 % | -1.81 % | 1.09 % |
| Sep | -1.19 % | -1.97 % | 0.74 % |
| Oct | -0.12 % | -1.74 % | -0.36 % |
| Nov | 0.81 % | 6.17 % | n.a. |
| Dec | -0.72 % | 2.98 % | n.a. |
| Year | -9.90 % | 6.54 % | n.a. |
| from | to | Lupus alpha Sustainable Return R | |
|---|---|---|---|
| 1 month | 30.09.2024 | 31.10.2024 | -0.36 % |
| 90 days | 02.08.2024 | 31.10.2024 | 3.18 % |
| 1 year | 31.10.2023 | 31.10.2024 | 18.18 % |
| 3 years | n.a. | n.a. | n.a. |
| 5 years | n.a. | n.a. | n.a. |
| this year | 29.12.2023 | 31.10.2024 | 8.10 % |
| since inception | 15.11.2021 | 31.10.2024 | 2.88 % |
| since inception p.a. | 15.11.2021 | 31.10.2024 | 0.96 % |
| 12-month-timeframe (gross) | Lupus alpha Sustainable Return R |
|---|---|
| 31.10.2023 - 31.10.2024 | 18.18 % |
| 31.10.2022 - 31.10.2023 | -2.48 % |
Key Statistics³:
| as of | Lupus alpha Sustainable Return R | |
|---|---|---|
| Volatility p.a. | 31.10.2024 | 5.83 % |
| Maximum Draw Down 90 Days | 31.10.2024 | -6.33 % |
| VaR 95 - 10 | 31.10.2024 | -2.86 % |
| VaR 99 - 10 | 31.10.2024 | -4.04 % |
| Sharpe Ratio | 31.10.2024 | n.a. |
| Distribution | 14.12.2023 | 1.60 € |
Equity Exposure as of 31/10/2024
Top ten holdings as of 31/10/2024
| Rating⁷ | Coupon | Maturity Date | % Fund | |
|---|---|---|---|---|
| Berlin Hyp AG 22/25 | AAA | 1.25 % | 25.08.2025 | 3.24 % |
| Achmea Bank NV | AAA | 0.01 % | 16.06.2025 | 3.23 % |
| Dexia Credit Local SA | AA- | 1.25 % | 26.11.2024 | 2.81 % |
| Norddeutsche Landesb 22/25 | AAA | 1.38 % | 03.11.2025 | 2.78 % |
| DZ HYP AG | AAA | 0.05 % | 06.12.2024 | 2.73 % |
| Stadshypotek AB | AAA | 0.38 % | 06.12.2024 | 2.62 % |
| United Overseas Bank Ltd | AAA | 0.39 % | 17.03.2025 | 2.32 % |
| BPCE SFH SA | AAA | 0.40 % | 24.04.2025 | 2.32 % |
| Toronto-Dominion Bank/The | AAA | 0.63 % | 06.06.2025 | 2.31 % |
Chances:
- Participation in global stock markets with reduced risks – without compromising sustainability.
- Attractive return contribution using global volatility markets
- Smaller drawdowns compared to common stock.
- Attractive performance even in sideways moving markets.
Risks:
- Counterparty default risk: If counterparties and issuers do not fulfill or only partially fulfill their contractual payment obligations, this can result in losses for the fund. Even when securities are carefully selected, losses caused by the financial collapse of issuers cannot be ruled out.
- Concentration risk: If investment is concentrated on particular assets or markets, the fund becomes particularly heavily dependent on the performance of these assets or markets.
- Risks connected with derivatives transactions: Changes in the price of the underlying asset can devalue a derivative. If derivatives are used as part of the investment strategy, the Derivatives might have leverage effects that impact the fund more strongly than the underlying asset. When selling derivatives, there is the risk that the fund will suffer an indefinite loss amount.
- Operational risk: The fund can become the victim of fraud, criminal acts or errors by company employees or external third parties. Finally, management of the fund can be negatively impacted by external events such as fires, natural disasters or similar.
- Liquidity risk: If securities are traded in a relatively narrow market segment, it can be difficult to resell them in situations where there is insufficient liquidity.
- Market Risk: The performance of financial products depends on the development of the capital markets.
Current fund data as of 11/19/2024
Lupus alpha Sustainable Return R WKN : A2QNXM | ISIN: DE000A2QNXM0 | |
|---|---|
Currency
| EUR |
Issue price
| 107,86 |
Redemption price
| 102,72 |
Fund volume
| 21,66 Mio. |
Launch date
| 15. November 2021 |
Distribution frequency
| distributing |
Portfolio managers
| Marvin Labod, Alexander Raviol, Mark Ritter, Stephan Steiger |
Performance fee
| 20,0 |
Administration fee
| 1,00 % |
Hurdle Rate
| €STR+4% p.a. |
Subscription fee
| up to 5 % |
Current fund data as of 11/19/2024
Lupus alpha Sustainable Return C WKN : A2DTNX | ISIN: DE000A2DTNX3 | |
|---|---|
Currency
| EUR |
Issue price
| 120,89 |
Redemption price
| 115,13 |
Fund volume
| 21,66 Mio. |
Launch date
| 18. December 2020 |
Minimum investment amount
| 500.000 |
Distribution frequency
| annually |
Portfolio managers
| Marvin Labod, Alexander Raviol, Mark Ritter, Stephan Steiger |
Performance fee
| 20% |
Administration fee
| derzeit p.a. 0,60 % |
Hurdle Rate
| €STR + 4 % p.a. |
Subscription fee
| up to 5 % |
High-Watermark
| yes |
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 managed by Lupus alpha Investment GmbH. You can obtain these documents free of charge from Lupus alpha Investment GmbH, P.O. Box 1112 62, 60047 Frankfurt am Main, Germany, upon request by calling +49 69 365058-7000, by e-mailing service@lupusalpha.de or via our website www.lupusalpha.de. If funds are licensed for distribution in Austria the respective sales prospectus, Key Investor Information Document and the latest audited annual report or half-year report are available from the Austrian paying and information agent UniCredit Bank Austria AG based in Rothschildplatz 1, 1020 Vienna, Austria. Fund units can be obtained from banks, savings banks and independent financial advisors.
Neither this fund information nor its contents or a copy thereof may be amended, reproduced or transmitted to third parties in any way without the prior written consent of Lupus alpha Investment GmbH. By accepting this document, you declare your consent to comply with the aforementioned provisions. Subject to change without notice.
Lupus alpha Investment GmbH
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 performance fee is a performance-related remuneration depending on the performance or the achievement of specific objectives such as a better performance compared to a benchmark. The costs may also be levied if a pre-defined minimum performance has been achieved.
- Intern Ratings.
- Distributing Funds do not reinvest the generated income, they pay income to the invest
- 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 profit
- 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.
- Performance fees of investment companies are frequently bound by a high watermark - the all-time high of the Fund. This means that a commission entitlement arises only if that mark has been exceeded.
Summary
The fund enables investors to make a global and risk-controlled investment in volatility and equities. It promotes environmental and social characteristics in accordance with Article 8 of the EU Disclosure Regulation (Regulation (EU) 2019/2088) but does not aim for sustainable investments. Investments are made in securities selected based on sustainability principles. This involves applying exclusion criteria related to environmental (E), social (S), and governance (G) aspects. The fund does not invest in securities of companies engaged in controversial business sectors (e.g., controversial weapons), that violate international norms (e.g., OECD Guidelines), or have significant adverse impacts on specific sustainability factors (PAIs) (e.g., activities negatively affecting biodiversity-sensitive areas). Additionally, the ESG rating of companies is considered using a best-in-class approach, and influence on relevant ESG topics is exerted through an active engagement policy (voting rights).
Sustainability indicators are measured and evaluated based on external ESG data from MSCI. Data gaps are addressed using alternative data sources. Lupus alpha has integrated the relevant sustainability aspects of the strategy into its existing due diligence procedures for the selection and monitoring of investments to ensure compliance with the promoted characteristics.
More information is provided in the RTS template of the fund’s annual report, which can be found here.
History of Change
Initial version