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
2020 -0.4 -1.2 -0.8 1.3 1.5 -1.5 1.4 1.3 0.0 1.5
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
Amundi Absolute Volatility World Equities 26.7
Amundi Absolute Volatility Euro Equities 22.3
Assenagon Alpha Volatility 15.9
Athena UI 7.8
FERI OptoFlex 4.8
Warrington Strategic UCITS 1.5
THEAM Quant Dispersion US -2.6
Lupus alpha Volatility Invest (A) -5.8
Allianz Volatility Strategy -6.9
Lumyna - Enhanced Equity Volatility Premium -9.7

Bottom Funds YTD

YTD
Berenberg DyMACS Volatility Premium -26.1
BNP THEAM Quant - Volatility World Absolute -19.1
Lupus alpha Volatility Risk-Premium -12.1
Lumyna - Enhanced Equity Volatility Premium -9.7
Allianz Volatility Strategy -6.9
Lupus alpha Volatility Invest (A) -5.8
THEAM Quant Dispersion US -2.6
Warrington Strategic UCITS 1.5
FERI OptoFlex 4.8
Athena UI 7.8

Strategy AUM

30 June 2020
£4.4b 5% YOY

Largest Volatility Arbitrage Funds

AUM
FERI OptoFlex £1.4b
Allianz Volatility Strategy £1.1b
Assenagon Alpha Volatility £621m
Amundi Absolute Volatility World... £326m
Lupus alpha Volatility Risk-Premium £176m

Largest Inflows (Q2'20 - Q2'19)

Change AUM
FERI OptoFlex £236m £1.4b
Allianz Volatility Strategy £229m £1.1b
Lupus alpha Volatility Risk-Premium £128m £176m
Lupus alpha Volatility Invest (A) £13m £82m
Athena UI £4m £7m

Largest Outflows (Q2'20 - Q2'19)

Change AUM
Berenberg DyMACS Volatility Premium £-192m £36m
Amundi Absolute Volatility Euro ... £-134m £132m
Amundi Absolute Volatility World... £-104m £326m
Assenagon Alpha Volatility £-57m £621m
Lumyna - Enhanced Equity Volatil... £-54m £81m

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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.