Allianz Volatility Strategy


Fund Strategy Volatility Arbitrage
Fund Geography Global
Investment Advisor Allianz GI
Portfolio Manager Rahul Malhotra, Mikhail Krayzler
Fund Currency EUR
Fund AUM €995.7m
Fund AUM (GBP) £870m
Fund AUM as of 25 September 2019
Fund Inception 27 April 2010
Fund Indices AH Volatility Arbitrage UCITS Index

Fund Objective

The fund invests in derivative financial instruments whose value is dependent on price fluctuations(volatility) on the stock market. In particular, variance swaps are employed that rise in value, if the realized volatility (more precisely: the variance) is lower than the volatility implied in the swap agrement. The success of the investment strategy does not depend on the direction of the market trend but on the actual development of volatility relative to the implied one. The assets that are not held in derivatives are invested in a portfolio with a risk-reward profile similar to the euro money market. The investment objective is long-term capital growth.


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