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Ellipsis Low Vol Equity Fund JEUR

Ranked 1 out of 27 in - Volatility Trading over 3 months
All calculations are in EUR unless stated

Managed by

Philippe Daveau

Having earned a postgraduate degree in banking, money and finance from La Sorbonne University, Philippe Daveau started his career in 1989 in the tradable options market. In 1990, he joined the market-making options department of Finacor Action et Dérivés, which became the Exane Group in 1992. In 1995, he became responsible for European warrant portfolios, and in 1999 for listed derivatives. In 2004, he was appointed head of convertibles, event-driven and equity finance activities for Exane Group’s own account. He joined Ellipsis AM in February 2015 to strengthen the overlay expertise at the volatility division.

Alexandre Ryo

Alexandre Ryo joined Ellipsis AM in June 2013 as diversified Fund manager. He began his career at Exane Group in 2012 as an assistant index volatility trader. A graduate of ESIEA (Ecole Supérieure d'Informatique, d'Electronique et d'Automatisme), Ryo has an MSc in finance from ESSEC.

Objective

The investment objective is to generate, over a six-year investment horizon, a performance net of management fees close to that of the EURO STOXX 50 (dividends reinvested), while aiming to reduce the volatility of the EURO STOXX 50 by 25% on average, and to mitigate the impact of sharp daily falls of the EURO STOXX 50 in accordance with predefined stress scenarios. In order to achieve its investment objective, the fund will use derivatives to manage its exposure to the eurozone equity markets. Thus, the portfolio has: exposure to European equities through the purchase of futures on the EURO STOXX 50 and optional strategies to limit the fund's impact on the daily decline of the EURO STOXX 50 index.

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Performance

Volatility Trading over : 31/07/2017 - 31/10/2017
  • Rank 1/27 Total Return
  • Rank 26/27 Standard Deviation
  • Rank 21/27 Max Drawdown

Total Return

Quarterly Performance

to 29/09/2017 Annual Q1 Q2 Q3 Q4

Month by Month Performance

Returns Vs Risk

Registered For Sale In

  1. France

Fund Info

  • Launch date27/01/2017
  • Share Class size01Mn
  • Base currencyEUR
  • ISIN FR0013198009

Purchase Info

  • Min. initial investment0
  • Min. regular additional investment0

Charges

Performance is for the period shown (month end to month end, bid/bid, gross income reinvested, calculated in the currency and currencies indicated).