Systematic - Long Volatility

Fund Portrait

The Fund’s target is to keep up with the S&P in good markets AND adding significant value via volatility driven alpha in times of crisis. It is long-only and notionally-unleveraged. The Fund can buy 0–100% in S&P 500 futures, or, in extraordinary situations, be 100% in cash or US treasuries. For long volatility exposure, the Fund can also invest 0–50% in VIX futures. An algorithm is used to build the positions, following a set of indicators signalling hope, euphoria, fear and panic. The strategy could deliver "crisis alpha", i.e insurance when you most need it, in March 2020 during the Covid crisis. 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 Dynamic Blend Equity & Volatility Fund
TYPE STRUCTURE Ireland, ICAV (Open-Ended) UCITS V
DOMICILE Ireland
LAUNCH DATE February 10, 2017
DISTRIBUTOR SWITZERLAND OpenFunds Investment Services AG (Switzerland)
AUDITOR PriceWaterhouseCoopers, Ireland
CUSTODIAN Northern Trust
PAYING AGENT SWISS Società Bancaria Ticinese SA
GEOGRAPHY US
SHARE CLASSES Investor and Institutional
CURRENCY USD
INITIAL CHARGES 0%
MINIMUM SUBSCRIPTIONS Investor share class: USD 125,000; Institutional share class: USD 1,000,000
LIQUIDITY Daily
MANAGEMENT FEE Investor share class 2.25% / Institutional share class 1.75%
PERFORMANCE FEE None
ISIN Please refer to the factsheets
SFDR CLASSIFICATION Art. 6