Allianz Structured Alpha Strategy

Investment Objective

The Sub-Fund seeks to generate superior risk adjusted returns through a complete market cycle. The investment policy is geared towards generating appropriate annualised returns while taking into account the opportunities and risks on the global equity, equity options and bond markets (absolute return approach). The Fund assets are invested in a money market/bond portfolio, including, but not limited to, short term euro denominated French and German government bonds. Using all or a portion of the underlying money market/bond portfolio as collateral, the Fund utilizes a proprietary model to construct equity option spreads, typically buying and selling put options and call options including, without any limitation, on U.S. equity indices, U.S. equity index futures, U.S. equity market related volatility indices, U.S. equity market related volatility futures, and exchange traded funds based on U.S. equity indices.

Performance

JAN FEB MAR APR MAY JUN JUL AUG SEP OCT NOV DEC YTD
2020 0.3 0.5 0.7 0.2 0.0 0.1 0.5 0.3 0.3 0.3 0.2 0.7 0.9
2019 0.3 0.8 0.3 0.7 0.8 0.9 0.5 0.6 0.8 0.9 0.2 0.9 0.1

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