Date Annual Return ** Net Asset Value Traded in
2017-11-30  2.53 %  91.59984 SEK

CORRELEATION WITH MARKET INDEX

Index Värde

SIX Return -0.04
MSCI World -0.10
OMRX-TBOND 0.36
Swedish state treasury rate 3M 0.51

HISTORICAL RETURN 2017-11-30**

Period Value

Last Month 0.69 %
Annual Return 2.53 %
Last 12 Months N/A %
Since Inception 2.53 %
Average Annual Return 5.12 %

RISKMEASURES AND OTHER KEY FIGURES 2017-11-30**

Key Figures Value

Standard deviation 1.86 %
Max Accumulated Drawdown -0.33 %
Sharpe Ratio (RFR 0%) 2.53
Percentage of positive months 83 %

INVESTING IN THE FUND

Orientation Type Minimum Investment * Additional Deposit *

Fund Custodian 100 000 kr 100 kr
Investment Savings Account 100 000 kr 100 kr
Endowment 100 kr 100 kr
Endowment & IPS 100 kr 100 kr
Direct Investment 100 000 kr 100 kr

*These conditions are valid from May 2014

MANAGEMENT FEES

Fee: Maxmum 1,5 %
Performance fee: 20 % with high watermark

 

**Alfa Sigma Op. has replaced Alfa Saga Fund from June 2017. For complete history of Alfa Saga Fund please click on “History”.

REPORTS

Select Year:

OTHER

ISIN: SE0005936721

Montly Performance % (in SEK net of all fees)

Fund Strategy

Investments are made primarily in options and futures instruments traded on exchanges around the world. The allocation between markets is constantly changing depending on the business opportunities offered.

Invest in volatility – ASO aim is to trade and capitalize on the volatility in the equity and bond market. An investment in the strategy is an investment in volatility as an asset class.

High risk-adjusted return and low correlation –  The strategy aims to achieve an annual target return of 10-15% at a lower risk than the equity market and should exhibit low correlation with equity and bond markets.

Efficient diversifier – A direct exposure to volatility can deliver low correlated performance against the equity market as well as other asset classes. An investment in Sigma Opportunities can reduce the overall risk in a portfolio and provide a better return than traditional asset classes.

Alfa Sigma Opportunities is a quantitative hedge fund.

HISTORICAL RETURNS ARE NO GUARANTEE FOR FUTURE RESULTS.

Management

Alfa Sigma Opportunities is a specialty fund according to the Investment Funds Act (2004:46). The Fund is a quantitative short volatility hedge fund focused on trading options and futures on the global futures exchanges. The underlying assets are, but not limited to, equity indices and interest rate instruments. The Fund is denominated in SEK.

The Fund’s objective is to achieve sustained high risk-adjusted returns. In addition, the Fund exhibits a low correlation with equity and bond markets. This means that the Fund value can increase or decrease regardless of the movements on the stock and bond markets.

The Fund’s average annual return target is 10 to 15 percent. It seeks a level of risk at about 5 to 10 percent, as measured by annual standard deviation of monthly price movements (KIID 4). Hence, the Fund is considered to be a ‘medium risk fund’.

The Fund’s assets may be invested in transferable securities, money market instruments, mutual funds, derivatives and on accounts of credit institutions. The Fund’s assets may be invested in such derivative instruments, where the underlying asset consists of commodities, securities, money market instruments, financial indices, interest rates, exchange rates and/or foreign currencies. The Fund, however, is not allowed to take derivative positions to physical delivery.

The investment decisions in various markets are based on quantitative decision models. Accordingly, all investments are made purely on objective grounds. Decision models aim to analyze different market price movements. Risk management, as the limitation of maximum loss for each investment, is an important part of the decision-making models construct. The objective of the decision-making models is to create as smooth return as possible.

The fund is a hedge fund and should not be compared with traditional equity,- interest,- or any other mix fund .

For a broader explanation of the risk involved in the fund, please read the “Information Brochure “.

Risk

The Fund is a specialty fund. That means that the fund differs from traditional equity-, interest- or mixed funds. The Fund shall therefore not be seen as an alternative to these fund types.

The investment strategy is a short-term model driven trading strategy focused on global options and futures. Positions have an average holding period of 5-10 days. A short time frame for trading, and in highly liquid instruments, reduces volatility and downside risk. Our risk management system is designed to produce consistent returns with controlled volatility instead of periodically enlarged profits. Our proprietary quantitative trading models are a big driver of alpha. We also put liquidity as top priority. Continuous development of current, as well as new, models is an important part of the operations within Sigma Opportunities.

The Fund assumes so-called market risk, as it invests in future contracts with underlying assets being commodities, stock indexes, interest-related instruments and currencies. Other risks that the Fund is exposed to include, for example, credit risks, liquidity risks and currency risks.

As an investment in the Fund is to be considered long term, it is not possible to predict the short-term development of the Funds unit value. The value of an investment in the Fund may both rise and fall. Thus, an investor in the Fund may, when redeeming the units, get back less money than he had invested.

For a broader explanation of the risk involved in the fund, please read the “Information Brochure “.