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 1.6
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 5.8
Allianz Volatility Strategy 4.3
Lupus alpha Volatility Invest (A) 4.0
Allianz Structured Alpha Strategy 3.9
Lumyna - Enhanced Equity Volatility Premium 2.9
FERI OptoFlex 2.6
BNP THEAM Quant - Volatility World Absolute 2.3
Fulcrum Equity Dispersion Fund 2.0
Assenagon Alpha Premium 1.4
Athena UI 0.6

Bottom Funds YTD

YTD
IAM True Partner Volatility UCITS -6.3
Amundi Absolute Volatility Euro Equities -3.8
Amundi Absolute Volatility World Equities -3.2
Assenagon Alpha Volatility -2.6
THEAM Quant Dispersion US -1.1
Athena UI 0.6
Assenagon Alpha Premium 1.4
Fulcrum Equity Dispersion Fund 2.0
BNP THEAM Quant - Volatility World Absolute 2.3
FERI OptoFlex 2.6

Largest New Launches (12M)

AUM
Fulcrum Equity Dispersion Fund £118m

Strategy AUM

31 December 2020
£4.6b 3% YOY

Largest Volatility Arbitrage Funds

AUM
FERI OptoFlex £1.4b
Allianz Volatility Strategy £1.1b
Assenagon Alpha Volatility £665m
IAM True Partner Volatility UCITS £407m
Amundi Absolute Volatility World... £349m

Largest Inflows (Q4'20 - Q4'19)

Change AUM
FERI OptoFlex £266m £1.4b
IAM True Partner Volatility UCITS £235m £407m
Allianz Volatility Strategy £231m £1.1b
Athena UI £12m £15m
Amundi Absolute Volatility World... £9m £349m

Largest Outflows (Q4'20 - Q4'19)

Change AUM
Assenagon Alpha Volatility £-102m £665m
Lumyna - Enhanced Equity Volatil... £-58m £78m
THEAM Quant Dispersion US £-33m £56m
Lupus alpha Volatility Invest (A) £-21m £52m
BNP THEAM Quant - Volatility Wor... £-8m £5m

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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.