Bellevue Option Premium

The fund’s objective is to generate a steady flow of income in the form of option premiums. Option premiums are systematically generated by writing puts on the S&P 500 index. Some of the option premiums received are used to purchase hedges against a sharp fall in the S&P 500 index and an increase in expected volatility (range of fluctuation). The hedging strategy entails the purchase of put options on the S&P 500 Index with a lower strike price and the purchase of call options on the CBOE Volatility Index (VIX). The resulting surplus premiums represent the fund's expected income. In addition to the hedging strategy, the timing risk of the put options is minimized by means of a proprietary rule-based approach. Disciplined implementation of this concept in the Bellevue Option Premium fund results in a steady, diversified flow of income in the form of option premiums. The underlying core portfolio consists of investment grade securities denominated in euro (AAA to BBB- based on the credit rating scale of Standard & Poor's and Fitch, and AAA to Baa3 based on the credit rating scale of Moody's). These securities are primarily sovereign bonds, country bonds, supranational bonds, bonds with government guarantees and covered bonds, and the fund has a small corporate bond allocation. The aim is to avoid credit risks to the maximum extent possible. The fund’s investment process for its core portfolio also takes ESG factors into consideration.
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