Download FACTSHEET - Altervest Smart Volatility

FACTSHEET - Altervest Smart Volatility
Strategy Description
Altervest Smart Volatility is a quantitative absolute return investment strategy that generates alpha through volatility movements. The product’s
main objective is long-term capital appreciation with a focus on capital preservation. In order to minimize the frequency and the amplitude of
drawdowns, the strategy mainly takes hedged positions. When the risk reward dynamic is extremely advantageous it also combines uncorrelated
strategies that have hedged market exposure. Our approach is designed to produce positive returns during quiet as well as turbulent market
conditions. The strategy tends to deliver strong positive performance in times of crisis when volatility rises. Its negative correlation to the S&P Total
return index makes it a great investment diversification tool.
Cumulative investment $100,000
$500,000.00
Backtest 2007 to 2015
$2006-12
2007-12
2008-12
2009-12
2010-12
Altervest Smart Volatility
2011-12
Eureka
2012-12
2013-12
S&P TR
2014-12
2015-12
- All statistics and data are back tested using monthly data and returns are reported net of 2/20 fees with a hurdle of LIBOR + 3%. Reported in US dollars.
Altervest Smart Volatility
2015 Eureka
Outperformance
Altervest Smart Volatility
2016 Eureka
Outperformance
Altervest Smart Volatility
2017 Eureka
Outperformance
Jan
-2.76%
-0.20%
-2.56%
-0.39%
-0.54%
0.15%
1.54%
0.58%
0.96%
Altervest Smart Volatility - Monthly Performance
Feb
Mar
Apr
May
June
July
Aug
4.01% -0.29% 1.93% 2.22% 1.52% -3.52% 9.09%
1.86% 0.60% 1.06% 0.57% -0.38% 1.40% -2.19%
2.16% -0.89% 0.87% 1.65% 1.90% -4.92% 11.28%
-3.10% 0.39% -0.17% 3.70% -6.76% 2.76% 0.74%
0.93% 2.00% 0.69% 1.49% -0.27% 1.09% 0.73%
-4.03% -1.61% -0.86% 2.21% -6.49% 1.67% 0.01%
-2.11% 1.47% -1.57%
-0.44% 0.70% 0.85%
-1.67% 0.77% -2.42%
Sept
1.40%
-0.21%
1.61%
3.88%
0.56%
3.32%
Oct
1.49%
2.38%
-0.89%
0.10%
0.25%
-0.15%
Nov
-2.66%
0.02%
-2.67%
-1.19%
-0.03%
-1.16%
Dec
YTD
-3.94% 8.05%
-0.53% 4.40%
-3.41% 3.65%
0.73% 0.20%
1.39% 8.58%
-0.66% -8.37%
-0.72%
1.70%
-2.42%
Key strengths
Investment Team

Performs well in risk-on or risk-off environment
Geneviève Blouin, CFA, CMT, is the President and founder of Altervest and

Tends to perform better when volatility is high
Portfolio Manager of the strategy. Madam Blouin specializes in tactical asset

Great diversification tool focused on capital preservation
management for the firm. She has more than 19 years of experience in derivatives
and asset management.
Jim Campasano, Director of Quantitative Strategies, is the architect of the
Altervest Smart Volatility strategy. Mr. Campasano has acquired 20 years of experience in derivatives and specializes in quantitative strategy development. He is a
volatility expert and co-published an article in the Journal of Derivatives (The VIX Futures Basis: Evidence and Trading Strategies). He is also a Doctoral candidate at the
Isenberg School of Management at the University of Massachusetts.
Strategy launched June 2015 for managed accounts. Available in fund as of January 2016.
FundServ Code: MAJ500