LGT Dynamic Protection UCITS

Investment Objective

The fund seeks to generate capital gains primarily in phases of elevated uncertainty across financial markets while preserving capital under normal market conditions. The portfolio will be allocated on a strategic basis to a diverse set of underlying rule-based trading strategies, covering equity, commodity, fixed income, interest rate and currency markets or their volatility, through the use of permitted instruments. The level of volatility may vary significantly over time.

Latest Meeting Note

Meeting 16 Jun 2021

The LGT Dynamic Protection fund targets cost-efficient equity drawdown mitigation through a systematic approach that dynamically invests across the most liquid exchange-trade futures (volatility, equities, commodities, bonds and currenci... Read more

The LGT Dynamic Protection fund targets cost-efficient equity drawdown mitigation through a systematic approach that dynamically invests across the most liquid exchange-trade futures (volatility, equities, commodities, bonds and currencies) while avoiding the high costs related to options. The fund aims to exploit cause-effect linkages during periods of market stress (e.g. flight to quality) or rising implied volatility through a multi-asset approach, a stance that is required to reduce the risk of missing out asset specific risk-off moves. The portfolio consists of a diversified set of eight sub-strategies which are clustered into two categories: safe heaven strategies (government bonds hedge, money market hedge, safe-haven currencies hedge, commodities hedge and gold hedge) and long volatility strategies (VIX hedge, equity contrarian short bias and tactical short). Each sub-strategy receives an equal risk budget. However its risk usage is dependent on the underlying signal strength, with the strategy allocation process following a dynamic framework that is tied to equity market volatility. As a result, the strategy acts akin to a pressure valve in the portfolio that switches exposures to a more defensive asset mix during turbulent periods (by overweighting long vol biased strategies) and then back to a less defensive mix during calm periods. The target portfolio is computed overnight and adjusted daily.

Performance

JAN FEB MAR APR MAY JUN JUL AUG SEP OCT NOV DEC YTD
2020 0.4 0.2 0.9 0.8 0.0 0.8 0.2 0.9 0.4 0.1 0.3 0.1 0.0
2019 0.9 0.3 0.0 0.1 0.9 0.2 0.1 0.9 0.8 0.4 0.3 1.0 1.0

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Close Current Site Absolute Hedge is a market leading UCITS research database providing proprietary research on funds, themes and strategies in the UCITS space. Kepler Trust Intelligence is produced by the investment companies team at Kepler Partners and is the UK’s premier source of detailed qualitative research on investment trusts. Kepler Liquid Strategies is a Dublin domiciled UCITS fund platform featuring a number of best-of-breed fund managers. Kepler Partners is a corporate advisory and asset raising boutique specialising in the regulated funds market in Europe and investment trusts in the UK.