Volatility Arbitrage

Strategy Research, 15 Apr 2020

Index Research Funds

AH Volatility Arbitrage UCITS Index

JAN FEB MAR APR MAY JUN JUL AUG SEP OCT NOV DEC YTD
2021 -1.5 0.9 2.3 -0.2 0.4 0.3 0.1 0.2 2.4
2020 -0.4 -1.2 -0.8 1.3 1.5 -1.5 1.4 1.3 0.0 -1.2 3.2 0.3 3.8
2019 -0.2 0.0 0.2 -0.2 0.2 0.2 0.0 0.5 -0.5 -0.2 -0.3 -0.6 -0.9
2018 -0.1 -1.0 0.2 -1.0 0.0 0.3 -0.2 0.2 0.0 0.0 0.4 0.8 -0.6
2017 -0.3 -0.2 -0.7 -0.1 0.0 -0.4 -0.4 0.4 -0.4 -0.3 -0.2 -0.3 -2.8
2016 0.4 0.1 0.1 0.2 0.6 0.4 0.0 0.5 0.2 0.1 -0.1 -0.3 2.3
2015 0.0 -0.5 0.4 0.1 -0.4 0.3 -0.3 -0.5 1.0 -0.7 0.5 0.2 0.0
2014 0.1 -0.6 0.0 -0.6 -0.7 -0.6 0.5 -0.8 0.1 -0.2 0.2 0.8 -1.7
2013 -2.2 0.0 0.0 -0.8 -0.5 -0.1 -0.8 0.8 -1.1 -0.9 -0.2 -0.8 -6.4
2012 0.3 -0.1 -0.5 0.2 1.4 -0.4 -0.2 0.0 -1.1 -0.7 -0.3 0.8 -0.6
2011 -0.6 -0.9 1.5 -0.8 -0.4 0.5 0.4 1.2 -0.9 1.0 0.3 1.0 2.2
2010 -0.5 0.0 -0.6 1.3 3.1 0.4 0.4 0.5 0.0 -0.4 0.4 -0.4 4.1
Download Index Return Series

Top Funds YTD

YTD
Lupus alpha Volatility Risk-Premium 11.1
Allianz Volatility Strategy 7.8
Lupus alpha Volatility Invest (A) 7.6
Lumyna - Enhanced Equity Volatility Premium 7.1
Allianz Structured Alpha Strategy 6.7
Dominicé Funds - Cassiopeia UCITS 6.5
FERI OptoFlex 5.5
Assenagon Alpha Premium 0.2
Athena UI 0.1
Fulcrum Equity Dispersion Fund -0.4

Bottom Funds YTD

YTD
IAM True Partner Volatility UCITS -9.2
Assenagon Alpha Volatility -8.8
Amundi Absolute Volatility World Equities -4.1
THEAM Quant Dispersion US -3.7
Amundi Absolute Volatility Euro Equities -3.3
Fulcrum Equity Dispersion Fund -0.4
Athena UI 0.1
Assenagon Alpha Premium 0.2
FERI OptoFlex 5.5
Dominicé Funds - Cassiopeia UCITS 6.5

Strategy AUM

30 June 2021
£5.2b 11% YOY

Largest Volatility Arbitrage Funds

AUM
FERI OptoFlex £1.9b
Allianz Volatility Strategy £888m
Assenagon Alpha Volatility £821m
Amundi Absolute Volatility World... £483m
IAM True Partner Volatility UCITS £326m

Largest Inflows (Q2'21 - Q2'20)

Change AUM
FERI OptoFlex £523m £1.9b
Assenagon Alpha Volatility £200m £821m
Amundi Absolute Volatility World... £157m £483m
IAM True Partner Volatility UCITS £52m £326m
Athena UI £11m £18m

Largest Outflows (Q2'21 - Q2'20)

Change AUM
Allianz Volatility Strategy £-212m £888m
Allianz Structured Alpha Strategy £-143m £6m
Assenagon Alpha Premium £-48m £64m
Lupus alpha Volatility Risk-Premium £-47m £128m
Lupus alpha Volatility Invest (A) £-33m £49m

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Close Current Site Absolute Hedge is a market leading UCITS research database providing proprietary research on funds, themes and strategies in the UCITS space. Kepler Trust Intelligence is produced by the investment companies team at Kepler Partners and is the UK’s premier source of detailed qualitative research on investment trusts. Kepler Liquid Strategies is a Dublin domiciled UCITS fund platform featuring a number of best-of-breed fund managers. Kepler Partners is a corporate advisory and asset raising boutique specialising in the regulated funds market in Europe and investment trusts in the UK.