This portfolio is an absolute return portfolio using volatility instruments as its core investment strategy. The portfolio may carry a net long, net short, or net flat/relative value positions in volatility at any one time. The Trust may also be fully invested in cash where there are limited opportunities for profit to be taken. The portfolio’s investment strategy monitors cross-asset risk signals, derived from within the equity derivatives market as well as other asset classes such as credit and foreign exchange, to assess the overall market pricing of risk. By monitoring a range of signals for signs of emerging risk, the portfolio aims to position itself to profit from these flows.
The Perennial Volatility Alpha Trust invests in futures and options on the CBOE S&P 500 VIX index with the aim to produce an absolute return with a bias towards generating the strongest returns when there are large equity market drawdowns.
Investors with a long term time horizon, seeking exposure to a concentrated portfolio of volatility assets that aims to provide an absolute return over cash. This Trust is only open to wholesale investors, as defined under S7619 in the Corporations Act 2001.