The fund aims to collect option premiums of significantly overvalued put options using an innovative hedging framework, investing in derivatives on the US stock market and US equity volatility, as well as EUR denominated bonds with floating interest rates and high investment grade ratings, and money market instruments.
Fund Exposure
The fund is exposed to derivatives on the US stock market and US equity volatility, as well as EUR denominated bonds and money market instruments. The strategy focuses on exploiting the mispricing of out-of-the-money put options on stock indices like the S&P 500, with an additional hedge for protection in case of extreme equity market turbulence.
Risks
The fund is subject to market risks, credit risk, liquidity risk, counterparty risk, derivatives risk, custody risk, and operational risk. Market prices of the portfolio's assets may fluctuate significantly, and the fund's value may decrease if the issuer of a bond defaults. Additionally, the tradability of instruments may be limited, and engaging in transactions with various counterparties poses risks of insolvency or pecuniary difficulties. The use of derivatives for speculative purposes increases return potential but also comes with increased risk. The safekeeping of assets is subject to risks, and operational risks include fraud, human errors, system errors, inadequate procedures, and external events.