Volatility Arbitrage
AH Volatility Arbitrage UCITS Index
| JAN | FEB | MAR | APR | MAY | JUN | JUL | AUG | SEP | OCT | NOV | DEC | YTD | ||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2019 | -0.3 | -0.1 | 0.1 | -0.2 | 0.2 | 0.1 | -0.1 | 0.5 | -0.5 | -0.3 | -0.1 | |||
| 2018 | -0.2 | -1.1 | 0.2 | -1.1 | 0.0 | 0.2 | -0.3 | 0.2 | 0.0 | -0.1 | 0.3 | 0.8 | -0.6 | |
| 2017 | -0.3 | -0.3 | -0.8 | -0.1 | -0.1 | -0.4 | -0.4 | 0.3 | -0.5 | -0.3 | -0.2 | -0.3 | -2.9 | |
| 2016 | 0.4 | 0.1 | 0.0 | 0.1 | 0.5 | 0.4 | -0.1 | 0.5 | 0.1 | 0.1 | -0.2 | -0.4 | 2.2 | |
| 2015 | -0.1 | -0.6 | 0.3 | 0.0 | -0.4 | 0.3 | -0.4 | -0.5 | 0.9 | -0.7 | 0.4 | 0.1 | -0.1 | |
| 2014 | 0.1 | -0.7 | -0.1 | -0.6 | -0.7 | -0.6 | 0.4 | -0.8 | 0.1 | -0.2 | 0.1 | 0.8 | -1.8 | |
| 2013 | -2.2 | 0.0 | -0.1 | -0.8 | -0.5 | -0.1 | -0.9 | 0.7 | -1.1 | -1.0 | -0.2 | -0.8 | -6.4 | |
| 2012 | 0.2 | -0.1 | -0.6 | 0.2 | 1.4 | -0.5 | -0.2 | -0.1 | -1.2 | -0.7 | -0.4 | 0.7 | -0.6 | |
| 2011 | -0.7 | -0.9 | 1.4 | -0.9 | -0.4 | 0.4 | 0.4 | 1.2 | -0.9 | 0.9 | 0.2 | 1.0 | 2.2 | |
| 2010 | -0.6 | -0.1 | -0.7 | 1.2 | 3.0 | 0.4 | 0.4 | 0.4 | 0.0 | -0.5 | 0.4 | -0.4 | 4.0 |
Top Funds YTD
Bottom Funds YTD
Largest New Launches (12M)
| AUM | |
|---|---|
| Warrington Strategic UCITS | £39m |
Strategy AUM
30 September 2019
£4.5b
-2% YOY
Largest Volatility Arbitrage Funds
| AUM | |
|---|---|
| FERI OptoFlex | £1.3b |
| Allianz Volatility Strategy | £887m |
| Assenagon Alpha Volatility | £682m |
| Amundi Absolute Volatility World... | £408m |
| Amundi Absolute Volatility Euro ... | £229m |
Largest Inflows (Q3'19 - Q3'18)
| Change | AUM | |
|---|---|---|
| Assenagon Alpha Volatility | £198m | £682m |
| Amundi Absolute Volatility Euro ... | £170m | £229m |
| Amundi Absolute Volatility World... | £163m | £408m |
| Lupus alpha Volatility Risk-Premium | £96m | £139m |
| THEAM Quant Dispersion US | £46m | £96m |
Largest Outflows (Q3'19 - Q3'18)
| Change | AUM | |
|---|---|---|
| Allianz Volatility Strategy | £-250m | £887m |
| FERI OptoFlex | £-52m | £1.3b |
| Berenberg DyMACS Volatility Premium | £-48m | £211m |
| BNP THEAM Quant - Volatility Wor... | £-19m | £14m |
| LGT Dynamic Protection UCITS | £-3m | £180m |
