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
2022 -1.3 -0.3 0.6 -2.0 -3.0
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
THEAM Quant Dispersion US 14.3
Assenagon Alpha Volatility 14.2
Fulcrum Equity Dispersion Fund 9.0
Amundi Absolute Volatility Euro Equities 6.4
Amundi Absolute Volatility World Equities 5.4
Athena UI 3.2
Assenagon Alpha Premium 0.6
Lupus alpha Volatility Invest (A) -3.0
Dominicé Funds - Cassiopeia UCITS -3.3
Allianz Volatility Strategy -3.4

Bottom Funds YTD

YTD
ABR Enhanced Short Volatility Fund -46.3
Neuberger Berman US Equity Index PutWrite ... -9.8
FERI OptoFlex -5.3
Lumyna - Enhanced Equity Volatility Premium -4.3
Lupus alpha Volatility Risk-Premium -3.9
Allianz Volatility Strategy -3.4
Dominicé Funds - Cassiopeia UCITS -3.3
Lupus alpha Volatility Invest (A) -3.0
Assenagon Alpha Premium 0.6
Athena UI 3.2

Strategy AUM

31 March 2022
£6.1b 25% YOY

Largest Volatility Arbitrage Funds

AUM
FERI OptoFlex £2.1b
Allianz Volatility Strategy £894m
Assenagon Alpha Volatility £819m
Amundi Absolute Volatility World... £535m
Neuberger Berman US Equity Index... £469m

Largest Inflows (Q1'22 - Q1'21)

Change AUM
FERI OptoFlex £451m £2.1b
Neuberger Berman US Equity Index... £265m £469m
Assenagon Alpha Volatility £182m £819m
Fulcrum Equity Dispersion Fund £138m £260m
Amundi Absolute Volatility World... £83m £535m

Largest Outflows (Q1'22 - Q1'21)

Change AUM
IAM True Partner Volatility UCITS £-106m £242m
Allianz Volatility Strategy £-101m £894m
Lupus alpha Volatility Risk-Premium £-19m £114m
THEAM Quant Dispersion US £-18m £37m
Assenagon Alpha Premium £-16m £94m

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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.