Volatility Arbitrage

Strategy Research, 09 Nov 2021

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 -0.2 0.7 0.2 3.1
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
Neuberger Berman US Equity Index PutWrite ... 14.8
Lupus alpha Volatility Risk-Premium 10.4
Lupus alpha Volatility Invest (A) 7.0
Allianz Structured Alpha Strategy 7.0
Allianz Volatility Strategy 6.6
FERI OptoFlex 6.4
Lumyna - Enhanced Equity Volatility Premium 5.0
Dominicé Funds - Cassiopeia UCITS 4.8
Assenagon Alpha Premium 2.8
Fulcrum Equity Dispersion Fund 2.8

Bottom Funds YTD

YTD
IAM True Partner Volatility UCITS -9.8
Assenagon Alpha Volatility -9.0
Amundi Absolute Volatility World Equities -2.8
Amundi Absolute Volatility Euro Equities -1.0
Athena UI 0.6
THEAM Quant Dispersion US 1.7
Fulcrum Equity Dispersion Fund 2.8
Assenagon Alpha Premium 2.8
Dominicé Funds - Cassiopeia UCITS 4.8
Lumyna - Enhanced Equity Volatility Premium 5.0

Strategy AUM

30 September 2021
£5.5b 10% YOY

Largest Volatility Arbitrage Funds

AUM
FERI OptoFlex £2.0b
Assenagon Alpha Volatility £1.0b
Allianz Volatility Strategy £832m
Amundi Absolute Volatility World... £477m
IAM True Partner Volatility UCITS £313m

Largest Inflows (Q3'21 - Q3'20)

Change AUM
FERI OptoFlex £614m £2.0b
Assenagon Alpha Volatility £307m £1.0b
Amundi Absolute Volatility World... £102m £477m
Fulcrum Equity Dispersion Fund £95m £197m
Athena UI £11m £18m

Largest Outflows (Q3'21 - Q3'20)

Change AUM
Allianz Volatility Strategy £-338m £832m
Neuberger Berman US Equity Index... £-111m £276m
IAM True Partner Volatility UCITS £-90m £313m
Allianz Structured Alpha Strategy £-82m £6m
Amundi Absolute Volatility Euro ... £-33m £124m

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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.