Goal
The fund aims to protect investors’ portfolios during significant market crashes by generating substantial returns in such events, while keeping the cost of this protection low during normal market conditions. It is designed as a tail risk protection fund for professional investors who wish to be insured against severe equity market downturns at all times. There is no assurance that this objective will be achieved.
Investment Strategy
The fund invests exclusively in an underlying fund, a segregated portfolio of a Cayman Islands segregated portfolio company that feeds into a Cayman master fund, and holds cash. The underlying fund combines two strategies. A tail-hedging strategy holds options and other derivatives, such as calls on volatility futures and exchange-traded products as well as put options on equity indices and sectors, that pay off in a highly convex manner during sharp market crashes. Positions are spread across different maturities to reduce the risk of having to buy protection only after volatility has already spiked. A proprietary flow-trading strategy trades US equities and equity derivatives over short horizons, with the aim of generating returns that help to pay for the cost of the tail hedge.
Portfolio Profile
The underlying fund is managed by an independent manager that combines a proprietary trading background with a tail risk hedging operation and uses quantitative strategies with a discretionary overlay. The tail hedge is designed to respond to sharp drawdowns caused by a major market shock rather than to prolonged, orderly declines, and it is not reactive under normal market conditions. Each trade of the flow-trading strategy is accompanied by a stop order or an offsetting option position that defines its maximum risk, and the manager does not sell naked options. The fund is a sub-fund of a Liechtenstein AIF OpenFunds SICAV, is open to professional investors only and is offered in USD, EUR and CHF share classes, with the EUR and CHF classes hedged against the USD.
Liquidity Management
Shares can be subscribed and redeemed monthly at net asset value, subject to notice periods, with a longer notice period for redemptions. Investors receive monthly reporting. The tail positions consist of exchange-traded derivatives and exchange-traded products, and most positions of the flow-trading strategy are closed at the end of the trading day. Volatility-based instruments can nevertheless become illiquid, volatile and difficult to value, in particular in stressed markets.
Factsheets
Factsheets documenting performance and composition are available on request. The Private Placement Memorandum is available to professional investors upon request.
Parties Involved
Cura & Senectus Investment AG
Cura & Senectus Investment AG acts as investment manager of the fund. The company is a licensed asset manager based in Vaduz, Liechtenstein, supervised by the Financial Market Authority (FMA) Liechtenstein.
Accuro Fund Solutions AG
Accuro Fund Solutions AG acts as alternative investment fund manager and administrator of the fund. It is an independent company licensed and supervised by the FMA Liechtenstein and part of the Accuro Group.
Liechtensteinische Landesbank AG
Liechtensteinische Landesbank AG (LLB) acts as custodian of the fund. The Principality of Liechtenstein is its main shareholder.
PricewaterhouseCoopers
PricewaterhouseCoopers (PwC) acts as auditor of the fund.
OpenFunds Investment Services AG
OpenFunds Investment Services AG acts as legal representative and distributor in Switzerland. It is licensed and supervised by FINMA as legal representative of foreign collective investment schemes and has offices in Zurich and Lugano.
Società Bancaria Ticinese SA
Società Bancaria Ticinese SA acts as paying agent in Switzerland.
Risk Notice
The fund is a highly speculative alternative investment fund for professional investors within the meaning of MiFID and is not suitable for all investors. Its primary objective is to provide protection against severe equity market downturns, not to generate profits, and there is no assurance that this objective will be achieved. The fund may experience losses, which can be significant, and may never generate positive returns. It will likely not profit from gradual market declines, and carrying costs accumulated during calm market periods may lead to a meaningful loss of capital. Derivatives are subject to leverage, illiquidity, valuation and counterparty risk, and losses on them can greatly exceed the amount initially invested in them. Fees and expenses reduce returns. Past performance is not a reliable indicator of future results. This page is a marketing communication for professional investors only. It does not constitute an offer, investment advice or a recommendation. Subscriptions are made solely on the basis of the Private Placement Memorandum and the subscription documents.