Volatility Arbitrage

AH Volatility Arbitrage UCITS Index

JAN FEB MAR APR MAY JUN JUL AUG SEP OCT NOV DEC YTD
2021 -1.5 0.9 2.3 -0.2 0.4 0.3 0.1 0.2 2.4
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

Largest Inflows (Q2'21 - Q2'20)

Change AUM
FERI OptoFlex £523m £1.9b
Assenagon Alpha Volatility £200m £821m
Amundi Absolute Volatility World... £157m £483m
IAM True Partner Volatility UCITS £52m £326m
Athena UI £11m £18m

Largest Outflows (Q2'21 - Q2'20)

Change AUM
Allianz Volatility Strategy £-212m £888m
Allianz Structured Alpha Strategy £-143m £6m
Assenagon Alpha Premium £-48m £64m
Lupus alpha Volatility Risk-Premium £-47m £128m
Lupus alpha Volatility Invest (A) £-33m £49m

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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.