27th February 2018

Manager’s commentary February 2018

The Fund launched at the beginning of February as markets began to sell off. The spike in short term volatility was dramatic and although the front end of the curve has come down, volatility remains above the recent lows, the increase in longer term volatility that drives the terms of the products that we buy has been more muted, but it is has been helpful. The fall in markets and the increase in volatility means that we have been able to structure new investments for the fund at attractive terms with lower strike levels.

We are investing the seed capital we have raised progressively so that we achieve a spread of strike levels and observation dates. The fund is now fully invested, and we are drawing down the additional seed that has been pledged as we identify additional attractive investment opportunities.

Managers Commentary February 2018