Dynamic Volatility Strategy - 75% Long / 25% Short

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. 

 

 

INVESTMENT MANAGER ABR Dynamic Funds LLC (NYC)
LINKEDIN COMPANY PAGE ABR Dynamic Funds, LLC
FUND ABR 75/25 Volatility Fund
LONG TERM TRACK RECORD OF STRATEGY AS CALCULATED BY WILSHIRE ASSOCIATES Strategy factsheet
TYPE STRUCTURE Ireland, ICAV (Open-Ended) UCITS V
DOMICILE Ireland
LAUNCH DATE November 1, 2021
DISTRIBUTOR SWITZERLAND OpenFunds Investment Services AG (Switzerland)
AUDITOR KPMG, Ireland
CUSTODIAN Northern Trust
PAYING AGENT SWISS NPB Neue Privat Bank AG,
GEOGRAPHY US
SHARE CLASSES Institutional and Investor
CURRENCY USD
INITIAL CHARGES 0%
MINIMUM SUBSCRIPTIONS Institutional share class: USD 25,000,000; Investor share class: USD 1,000,000
LIQUIDITY Daily
MANAGEMENT FEE 2% Investor / 1.5% Institutional
PERFORMANCE FEE 20% Investor / 20% Institutional
ISIN Please refer to the factsheets
BLOOMBERG CODE Please refer to the factsheets