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.