Fund Portrait

The ABR 75/25 Volatility UCITS Fund has the objective of delivering Crisis Alpha in a daily traded UCITS fund.  The Fund’s strategy combines a long investment in US equities (via S&P futures) with a long/short strategy in VIX futures. In periods of very high volatility, the fund can go to 100% cash. An algorithm is used to build the positions, following a set of indicators signalling hope, euphoria, fear and panic. The fund was able historically to keep up with the returns of the S&P500 in good equity markets, as the short vol part of the strategy (i.e. selling insurance) helped returns during those times. The true strength is the delivery of "crisis alpha", i.e. insurance when you most need it, i.e., in market crashes, as best seen during 2008/2009 and during March 2020 (Covid crash). As the funds invests in some of the most liquid instruments out there like S&P futures and treasury futures, it can offer its investors daily liquidity.