Over a minimum investment horizon of three years, CAAM Funds Volatility World Equities aims to achieve an annualised performance of 7% (before fees) within a framework of controlled risk. To reach this objective, the management team sets up an exposure to volatility of the world equity markets: positive when volatility is low and negative when volatility is high. Moreover, they have some leeway to adjust its exposure according to its expectations. The risk of the portfolio is monitored and managed through a Value at Risk. The portfolio is continuously managed so as not to exceed a maximum estimated yearly VaR of 35%. This means that, statistically and under normal market conditions, the portfolio is constructed so as not to record variations higher than 35% over one year with a probability of 95%.
In order to be exposed to the volatility of the North American, the Euro zone and the Asian equity markets, the management team sets up a pure exposure to the 1-year implied volatility of these 3 areas through options.
A fund for trading world equity volatility
CAAM Funds Volatility World Equities USD
From the information sheet:
Over a minimum investment horizon of three years, CAAM Funds Volatility World Equities aims to achieve an annualised performance of 7% (before fees) within a framework of controlled risk. To reach this objective, the management team sets up an exposure to volatility of the world equity markets: positive when volatility is low and negative when volatility is high. Moreover, they have some leeway to adjust its exposure according to its expectations. The risk of the portfolio is monitored and managed through a Value at Risk. The portfolio is continuously managed so as not to exceed a maximum estimated yearly VaR of 35%. This means that, statistically and under normal market conditions, the portfolio is constructed so as not to record variations higher than 35% over one year with a probability of 95%.
In order to be exposed to the volatility of the North American, the Euro zone and the Asian equity markets, the management team sets up a pure exposure to the 1-year implied volatility of these 3 areas through options.
Click for: Infosheet, reporting factsheet (Oct09) ; source. Morningstar returns (ISIN: LU0319687124).
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