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

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

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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.