Lutetia Volatility Advantage II

Lutetia Volatility Advantage II - EUR - IND1LVA2

Presentation

NAV : 1 214.26 € on 2018-12-14

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

Performances
Description

Lutetia Volatility Advantage II Index is a systematic index with an absolute return objective. It is calculated daily and published by Standard & Poor's Dow Jones indices. The Lutetia Volatility Advantage II Index aims to protect protfolios from significant market dislocations and generate absolute performance in normal times ("carry" strategy). This systematic index replicates an investable strategy, taking Long or Short positions on VIX futures, depending on a Risk On/Risk Off indicator.

 

 

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

The Index 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.