Smart Volatility Plus

Tail Hedge Combined with Long-term Profitability

Pure tail-hedge strategies like long volatilty offer a hedge for risk assets in periods of severe market stress. In the much longer periods of average volatility, on the other hand, they generate high costs. Due to the overall negative expectancy, typical long volatility products are to be closed worthless at some point and be relaunched - they are therefore only suitable for short-term use. FTC's SMART VOLATILITY PLUS offers a tail hedge for stress scenarios such as the Lehman bankruptcy in the fall of 2008 or the Corona pandemic in 2020 and an alternative equity exposure during average market phases. The combination leads to a positive long-term expectancy.

 

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Volatility Long & Short

SMART VOLATILITY PLUS applies two quantitative and systematic strategy groups that trade volatility futures: In most market environments, those strategies are active which skim risk premiums through short volatility exposure. In stress phases, which are always characterized by backwardation in the term structure of volatility futures, short-term and highly weighted long volatility exposure is built up. In combination, we expect a highly positive correlation to the equity market in average market phases and negative correlation and high excess returns in stress markets.

Smart Volatility Plus - backtested monthly returns

Figure: Distribution of the back-tested monthly returns between 2007 and 2020 (sorted by performance). The simulated performance is no reliable indicator for future returns.

Hedging instrument and alternative solution to get equity exposure

With its overall positive expected return and expected asymmetric payout profile with high excess returns in pronounced stress markets, SMART VOLATILTY PLUS is suitable for hedging conventional equity investments against extreme market downturns. However, it can also be used as a (partial) substitute for the equity component in a diversified portfolio

 

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Price & Performance

Smart Volatility Plus
(EUR R01 T)

ISIN: AT0000A2SRK1

Smart Volatility Plus
(EUR I01 T)

ISIN: T0000A2SRF1

Smart Volatility Plus
(EUR I02 T)

ISIN: AT0000A2SRH7

as at 06.12.2021

95,85

as at 06.12.2021

96,01

as at 06.12.2021

96,03

Smart Volatility Plus
(EUR R01 VT)

ISIN: AT0000A2SRL9

Smart Volatility Plus
(EUR I01 VT)

ISIN: AT0000A2SRG9

Smart Volatility Plus
(EUR I02 VT)

ISIN: AT0000A2SRJ3

as at 06.12.2021

96,05

as at 06.12.2021

96,05

as at 06.12.2021

96,16

Investment Information

DOMICILE
Austria


LEGAL CONSTRUCTION
UCITS


INVESTMENT COMPANY
Erste Asset Management


CUSTODIAN
Erste Group Bank AG


MANAGER
FTC Capital GmbH


AUDITOR
Ernst & Young GmbH Vienna


 

LIQUIDITY
Daily


SHARE CLASSES | ISINs | BB TICKERS
EUR R01 T1 | AT0000A2SRK1 | SMPEREA
EUR R01 VT2 | AT0000A2SRL9 | SMPERRE
EUR I01 T1 | AT0000A2SRF1 | SMPEIIE
EUR I01 VT2 | AT0000A2SRG9 | SMPEIEA
EUR I02 T1 | AT0000A2SRH7 | SMPEII2
EUR I02 VT2 | AT0000A2SRJ3 | SMPEI2E
1accumulating;
2accumulating in complete extents for tax non-residents;


MINIMUM INITIAL | SUBSEQUENT INVESTMENT (EUR)
Class R01: No minimum
Class I01: 250.000,- | 25.000,-
Class I02: 1.000.000,- | 100.000,-