Lutetia Volatility Advantage II - Solys

Lutetia Volatility Advantage II - Solys - A EUR - LU1097458803


NAV : 98.78 € on 2019-08-21

Source: Lutetia Capital. The figures relating to past periods are not a reliable indicator of future results.


Lutetia Volatility Advantage II - Solys is a Sub-Fund of a SICAV registered in Luxembourg.

The Sub-Fund seeks to provide over a recommended investment period of 5 years an exposure to the Lutetia Volatility Advantage II Index.

The Strategy is based on a quantitative approach which permits the Management Company to select long/short futures positions on the CBOE Volatility Index VIX. The aim is to provide an exposure to futures contracts on the VIX index in order to capture the carry premium. The strategy may also provide a partial hedge against downside risks in equity markets.

Based on a set of proprietary market indicators, Lutetia Volatility Advantage II-Solys builds Long only or Long/Short positions on VIX futures to maximize benefits from volatility trends and from the volatility term structure.

The strategy has three modes:

Risk Off: short positions are taken on VIX futures to capture the positive carry while keeping a long exposure to implied volatility.

Risk On: long only positions are taken on VIX futures to capture significant upside from a potential volatility spike.

Risk Zero: no positions taken.