RP Vega IL

Fund Investment Objectives

The RP VEGA Strategy aims to exploit the volatility risk premium over various asset classes for investors in a fully regulated UCITS IV framework. The fund investors effectively act as underwriters of capital market portfolio insurance, thereby earning the so-called volatility risk premium, which we define as then return captured by spreading implied volatility vs. realized volatility. The volatility risk premium is the remuneration one earns for assuming event risk. The volatility risk premium is considered to be the most attractive amongst all systematic capital market risk premiums (e.g. equity and interest beta). We are convinced that the provision of capital market risk insurance will remain an attractively compensated service, making our source of returns stable, persistent and uncorrelated to equities and bonds - ideal for absolute return strategies. In recognition to the fact that the volatility risk premium is the remuneration of an insurance provision, the Fund is run like an insurance business. Applying risk management techniques established in the insurance industry: a) diversification across various insurance business units (the volatility risk premium can be earned in all asset classes for which there exists insurance demand; equities, bonds, currencies, commodities) and b) the active management of an re-insurance portfolio to safeguard against large tail events.