Volatility Arbitrage
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 |
Top Funds YTD
Bottom Funds YTD
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 |