Volatility Arbitrage

Strategy Research, 23 May 2018

Index Research Funds

AH Volatility Arbitrage UCITS Index

JAN FEB MAR APR MAY JUN JUL AUG SEP OCT NOV DEC YTD
2019 -0.2 0.0 0.2 -0.2 0.2 0.2 0.0 0.5 -0.5 -0.2 -0.3 -0.3
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
FERI OptoFlex 10.2
Lupus alpha Volatility Risk-Premium 7.3
Lupus alpha Volatility Invest (A) 4.5
Allianz Volatility Strategy 3.4
Lumyna - Enhanced Equity Volatility Premium 1.2
THEAM Quant Dispersion US -0.1
BNP THEAM Quant - Volatility World Absolute -1.4
Athena UI -2.2
LGT Dynamic Protection UCITS -2.7
Berenberg DyMACS Volatility Premium -4.2

Bottom Funds YTD

YTD
Assenagon Alpha Volatility -9.7
Amundi Absolute Volatility Euro Equities -8.6
Amundi Absolute Volatility World Equities -8.4
Berenberg DyMACS Volatility Premium -4.2
LGT Dynamic Protection UCITS -2.7
Athena UI -2.2
BNP THEAM Quant - Volatility World Absolute -1.4
THEAM Quant Dispersion US -0.1
Lumyna - Enhanced Equity Volatility Premium 1.2
Allianz Volatility Strategy 3.4

Largest New Launches (12M)

AUM
Warrington Strategic UCITS £39m

Strategy AUM

30 September 2019
£4.5b -2% YOY

Largest Volatility Arbitrage Funds

AUM
FERI OptoFlex £1.3b
Allianz Volatility Strategy £887m
Assenagon Alpha Volatility £682m
Amundi Absolute Volatility World... £408m
Amundi Absolute Volatility Euro ... £229m

Largest Inflows (Q3'19 - Q3'18)

Change AUM
Assenagon Alpha Volatility £198m £682m
Amundi Absolute Volatility Euro ... £170m £229m
Amundi Absolute Volatility World... £163m £408m
Lupus alpha Volatility Risk-Premium £96m £139m
THEAM Quant Dispersion US £46m £96m

Largest Outflows (Q3'19 - Q3'18)

Change AUM
Allianz Volatility Strategy £-250m £887m
FERI OptoFlex £-52m £1.3b
Berenberg DyMACS Volatility Premium £-48m £211m
BNP THEAM Quant - Volatility Wor... £-19m £14m
LGT Dynamic Protection UCITS £-3m £180m

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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.