Volatility Arbitrage

Strategy Research, 17 Oct 2022

Index Research Funds

AH Volatility Arbitrage UCITS Index

JAN FEB MAR APR MAY JUN JUL AUG SEP OCT NOV DEC YTD
2022 -1.3 -0.3 0.6 -2.0 0.0 -1.5 1.9 -0.7 -1.9 1.2 1.3 0.3 -2.5
2021 -1.5 0.9 2.3 -0.2 0.4 0.3 0.1 0.2 -0.2 0.7 0.2 0.7 3.8
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
ABR Enhanced Short Volatility Fund 20.0
Neuberger Berman US Equity Index PutWrite ... 2.6
FERI OptoFlex 2.1
THEAM Quant – Europe Target Premium 1.7
Lupus alpha Volatility Risk-Premium 1.7
THEAM Quant Dynamic Volatility Carry 1.5
Allianz Volatility Strategy 1.0
Athena UI 0.6
THEAM Quant – Equity US Premium Income 0.6
Lumyna - Enhanced Equity Volatility Premium 0.4

Bottom Funds YTD

YTD
Amundi Absolute Volatility Euro Equities -3.8
Amundi Absolute Volatility World Equities -2.5
THEAM Quant Dispersion US -2.4
Assenagon Alpha Volatility -2.4
Fulcrum Equity Dispersion Fund -2.1
Aquantum Active Range -1.2
FVC Equity Dispersion Fund -0.6
Assenagon Alpha Premium -0.2
One River Dynamic Convexity UCITS -0.2
Dominicé Funds - Cassiopeia UCITS 0.1

Strategy AUM

31 December 2022
£7.0b 14% YOY

Largest Volatility Arbitrage Funds

AUM
FERI OptoFlex £1.9b
Assenagon Alpha Volatility £936m
Amundi Absolute Volatility World... £790m
Allianz Volatility Strategy £623m
Neuberger Berman US Equity Index... £562m

Largest Inflows (Q4'22 - Q4'21)

Change AUM
Amundi Absolute Volatility World... £313m £790m
Amundi Absolute Volatility Euro ... £302m £420m
Neuberger Berman US Equity Index... £211m £562m
Aquantum Active Range £188m £219m
THEAM Quant – Europe Target Premium £118m £230m

Largest Outflows (Q4'22 - Q4'21)

Change AUM
FERI OptoFlex £-174m £1.9b
IAM True Partner Volatility UCITS £-173m £88m
Allianz Volatility Strategy £-155m £623m
Lupus alpha Volatility Risk-Premium £-86m £34m
Assenagon Alpha Volatility £-51m £936m

or Register for Free

  • Access the full universe of UCITS Hedge Funds and Absolute Return Funds.
  • Build and curate a watchlist.
  • View the latest research.
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.