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AMP Capital Equity Volatility Premium Fund

Seeking to deliver growth-like returns with a superior risk-reward trade-off

The Fund seeks to provide investors with access to equity volatility risk premia with downside risk management to deliver strong real returns over the medium to long term, with an imperfect to low correlation to equity returns.

  • Seeks to deliver growth-like returns over the medium to long-term

    Seeks to deliver growth-like returns over the medium to long-term

  • Seeks to provide better overall portfolio efficiency (lower volatility and better Sharpe ratio)

    Seeks to provide better overall portfolio efficiency (lower
    volatility and better Sharpe ratio)

  • Seeks to achieve smaller drawdown and quicker recovery than equities

    Seeks to achieve smaller drawdown and quicker recovery than equities

Insight paper

What is equity volatility risk premium and its benefits?

What are the risks?
All investments involve risk and you should consider investment risks before making an investment decision. The key risks of investing in the strategy include or are associated with:

Volatility Risk - The strategy aims to extract the difference between the implied volatility and realised volatility in global equity capital markets. For this reason, there is a market volatility risk where market realised volatility can exceed implied volatility.

International investments - The risk includes losses related to currency exchange rates, hedging, and changes in the state of the Australian and world economies.

Options Risk - An option is an agreement that, for a premium payment or fee, gives the option holder (the purchaser) the right but not the obligation to buy (a “call option”) or sell (a “put option”) the underlying asset (or settle for cash an amount based on an underlying asset, rate, or index) at a specified price (the “exercise price”) during a period of time or on a specified date. Investments in options are considered speculative. The prices of options are volatile and are influenced by, among other things, actual and anticipated changes in the value of the underlying instrument, or in interest or currency exchange rates, including the implied volatility, which in turn are affected by fiscal and monetary policies and by national and international political and economic events.

Swap Agreements Risk - Swap agreements involve the risk that the party with whom the Fund has entered into the swap will default on its obligation to pay the Fund.

Investment objective 5% p.a. above the AUD Cash rate over the medium to long term before fees
Investment goal Extracting volatility risk premium with systematic downside risk management
Liquidity Daily
Expected standard deviation* 5.5% - 7.5%
Expected Sharpe ratio* 0.75 - 1.50
Investment instruments

Listed & over-the-counter derivatives over global equity indices of less than 3 years expiry

Cash or term deposits, money market securities and investments of generally less than 12 months in maturity

* Over a 3 to 5 year investment time frame

Meet the team

A dedicated team of investment professionals with expertise in domestic and international equity derivatives, working together for over 10 years Trading is performed by a separate centralised dealing team which operates on a 24 hour basis from hubs in Sydney and London.

add Steve Hafey Head of Protected Growth Sydney, Australia
add Kathryn Greguric Senior Portfolio Manager Sydney, Australia
add Alexson Lee Senior Portfolio Manager Sydney, Australia

Please note that this strategy is currently only available to wholesale clients. If you are interested in investing, please contact us.

Important information:

AMP Capital Investors Limited (ABN 59 001 777 591, AFSL 232 497) (AMP Capital) is the trustee of the AMP Capital Equity Volatility Premium Fund (Fund) and the issuer of the units in the Fund. To invest in the Fund, Investors should consider the current information memorandum or other offering or placement memorandum (Offer Document) available from AMP Capital for the Fund. The Offer Document contains important information about investing in the Fund and it is important that investors read the Offer Document before making a decision about whether to acquire units in the Fund. Neither AMP Capital, AMPCFM nor any other company in the AMP Group guarantees the repayment of capital or the performance of any product or any particular rate of return referred to in this information. Past performance is not a reliable indicator of future performance. While every care has been taken in the preparation of this information, AMP Capital makes no representation or warranty as to the accuracy or completeness of any statement in it including without limitation, any forecasts. This content has been prepared for the purpose of providing general information, without taking account of any particular investor’s objectives, financial situation or needs. Investors should, before making any investment decisions, consider the appropriateness of this information, and seek professional advice, having regard to their objectives, financial situation and needs. This information is not intended for distribution or use in any jurisdiction where it would be contrary to applicable laws, regulations or directives and does not constitute a recommendation, offer, solicitation or invitation to invest.

Insight paper

What is equity volatility risk premium and its benefits?

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