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
2020 -0.4 -0.4
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
Download Index Return Series

Top Funds YTD

YTD
LGT Dynamic Protection UCITS 1.4
THEAM Quant Dispersion US 0.8
Lumyna - Enhanced Equity Volatility Premium 0.7
Lupus alpha Volatility Risk-Premium 0.6
FERI OptoFlex 0.6
Lupus alpha Volatility Invest (A) 0.5
Allianz Volatility Strategy 0.2
Berenberg DyMACS Volatility Premium 0.1
Warrington Strategic UCITS 0.1
BNP THEAM Quant - Volatility World Absolute 0.0

Bottom Funds YTD

YTD
Amundi Absolute Volatility Euro Equities -3.2
Amundi Absolute Volatility World Equities -2.8
Assenagon Alpha Volatility -0.2
Athena UI -0.1
BNP THEAM Quant - Volatility World Absolute 0.0
Warrington Strategic UCITS 0.1
Berenberg DyMACS Volatility Premium 0.1
Allianz Volatility Strategy 0.2
Lupus alpha Volatility Invest (A) 0.5
FERI OptoFlex 0.6

Strategy AUM

31 December 2019
£4.4b 1% YOY

Largest Volatility Arbitrage Funds

AUM
FERI OptoFlex £1.2b
Allianz Volatility Strategy £847m
Assenagon Alpha Volatility £767m
Amundi Absolute Volatility World... £340m
LGT Dynamic Protection UCITS £276m

Largest Inflows (Q4'19 - Q4'18)

Change AUM
Assenagon Alpha Volatility £232m £767m
LGT Dynamic Protection UCITS £105m £276m
Lupus alpha Volatility Risk-Premium £97m £137m
THEAM Quant Dispersion US £33m £89m
Amundi Absolute Volatility World... £27m £340m

Largest Outflows (Q4'19 - Q4'18)

Change AUM
Allianz Volatility Strategy £-291m £847m
Amundi Absolute Volatility Euro ... £-261m £156m
FERI OptoFlex £-189m £1.2b
Berenberg DyMACS Volatility Premium £-55m £209m
BNP THEAM Quant - Volatility Wor... £-14m £13m

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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.