To this end, the fund uses a number of different option strategies, some of which are highly complex. In most cases, the investment horizon is relatively short (2-12 weeks).

The Portfolio Managers endeavour to achieve positive performance in every market situation. Their ambitious goal is a return of 10-15% per annum, with volatility below 10% and a maximum monthly loss of 3%. The fund invests primarily in liquid, traded derivatives. No restrictions are set as regards the underlying securities. The clear focus is currently on bonds. However, since the management company adopts a very active approach and wishes to remain highly flexible, this is liable to change if inefficiencies on other option markets are considered more attractive. The fund is also characterised by active interest management. It has very little correlation with other traditional investment classes.

Fund construction also differs from that of other absolute return products, in that the five Portfolio Managers each take responsibility for a certain proportion of the fund volume. Dependent on where the greatest market inefficiencies are considered to be, the Portfolio Managers independently implement those trading strategies that they believe will offer the greatest potential to generate positive performance. They use strategies they have developed themselves alongside familiar option strategies. The individual strategies employed during a particular market phase depend on the expectations of the Portfolio Managers in relation to future volatility. For example, long strangle or long straddle positions are used during market phases in which increasing volatility is anticipated. If volatility is expected to decline, butterfly spread strategies are used primarily. Most of the strategies are market neutral. However, if a Portfolio Manager expects the market to move in a particular direction, he may employ call or put spread strategies.

Since its launch at the beginning of 2007, the fund’s performance has been convincing, despite the difficult market environment, and it is one of the few products to have achieved a positive return in 2008. Viewed over a continuous 12 month period, the Sharpe ratio is clearly positive. If the fund outperforms its benchmark, a performance fee of 20% of the difference between the fund’s performance and the benchmark is levied in addition to the management fee.

Da Vinci Strategie UI Fonds is rated AA+.

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