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Volatility, a source of protection and diversification.
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| Investment Objective |
| The objective is to provide for an investment horizon of 3 years an exposure to volatility of equity markets of the European Community countries. |
| Investment Strategy |
The fund applies various buying or selling directional strategies in order to be exposed to volatility.
The overall exposure to volatility is always positive. This exposure is implemented through investments offering a specific exposure to volatility: index options, stock options and any other instruments of volatility (Variance Swap, etc…).
The sensitivity to volatility is measured by the Vega. A Vega of 0.50 means that for an increase (or drop) of 1% in volatility, the value of the portfolio will increase (or fall) of 0.5%.
The Vega of the fund is a range of 1 to 4.5, but might be between 0 and 1 under exceptional market conditions. |
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Portfolio Managers & Advisors
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| Brice Perin | Jean-Philippe COLLIN |
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| Investment Universe |
| The fund is buyer of volatility mainly on Euro Zone equity indexes. A marginal diversification is possible on Japan and US markets. |
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| Management Parameters |
• Benchmark index: nil
• Equity risk exposure: -10% to + 10%
• Rate sensitivity: -0.5 to + 0.5
• Vega: 0 to 4.5
• Vega management:
- 70% to 100 % : Exposure to long
volatility
- 0% to 30%: Diversification
• Investment period: 3 years |
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Performances as of 3/11/2010
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| Return Since Inception | 2010 | 2009 | 1-Year Return | 3-Year Return | 5-Year Return | 52-Week Volatility |
| LFP Long Vol | 20.05% | -4.01% | -2.41% | -7.45% | - | - | 4.78 % |
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Key Figures
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| Net Asset Value | EUR 1,200.49 |
| AUM | EUR 55,710,692.55 |
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Fund Features
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| ISIN Code | FR0010500371 |
| Category | Diversifiés |
| Ticker Bloomberg | LFPLVOL FP Equity |
| Currency | EUR |
| Creation date | 23/08/2007 |
| Valuation Frequency | Daily |
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