Assenagon Alpha Volatility

Investment Objective

The Assenagon Alpha Volatility fund exploits volatility as a source of return and aims for a market-neutral positive return after costs of 4.0% p.a. above money market rates. In order to achieve this goal, the portfolio management invests in different volatility strategies, capitalising primarily on relative spreads. The entire investment process is subject to a stringent risk management. Predefined risk budgets are implemented on both fund and individual strategy level. The low correlation of the various strategies ensures a well diversified portfolio.

Latest Meeting Note

Meeting 25 Jun 2020

Assenagon Alpha Volatility trades equity volatility pairs across both single stocks and indices with the aim of profiting from the persistency of the volatility premium whereby implied volatilities tends to be higher than realised volati... Read more

Assenagon Alpha Volatility trades equity volatility pairs across both single stocks and indices with the aim of profiting from the persistency of the volatility premium whereby implied volatilities tends to be higher than realised volatilities most of the time. By selling index volatility (whose volatility premium is higher due to investors demand for hedging) and buying volatilities across the index constituents (the single stock volatility premium is often lower due to the selling pressures of structured products, etc) the fund creates a source of returns with embedded risk mitigation characteristics i.e. long volatility bias. In addition, the portfolio is designed to have positive carry which help the fund to ‘stay afloat’ in stable market environments. The investable universe includes approximately 600 stocks and 50 indices, which are used to construct pairs (e.g. buy 1y vol JPM ATM and sell 1Y vol S&P500). The portfolio is actively managed (PNL crystallization), with trades implemented via plain vanilla options and volatility swaps. At the time of writing, single stock implied correlations are very high and persistent, leading to a strong opportunity set for the strategy on a forward looking basis.

Performance

JAN FEB MAR APR MAY JUN JUL AUG SEP OCT NOV DEC YTD
2019 0.4 0.7 1.0 0.8 0.4 0.9 1.0 0.1 0.7 0.4 0.2 0.3 0.1
2018 0.2 0.2 0.5 0.9 0.5 0.2 0.6 0.4 0.4 0.7 0.8 0.5 0.3

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