Volatility Arbitrage

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AH Volatility Arbitrage UCITS Index

Volatility Arbitrage is small sub-set of the broader alternative UCITS universe with managers generally employing one of two approaches: those that aim to harvest the volatility risk premium (short volatility bias); those who apply a relative value approach to volatility (long volatility bias in a carry efficient way). Within the latter cohort we have identified two sub-sectors of managers: Equity Dispersion strategies (implemented either with a fixed or a dynamic equal vega or equal theta allocation); Multi-Strategy proposition who blend together multiple volatility strategies with the aim to shelter the portfolio from the high cost of carry associated with being long volatility.

Strategy AUM
31 March 2023
£6.6b
-1.2% YoY

Performance

Monthly Returns

JAN FEB MAR APR MAY JUN JUL AUG SEP OCT NOV DEC YTD
2023 1.7 0.4 0.3 1.0 1.1 4.5
2022 -1.3 -0.3 0.6 -2.0 0.0 -1.5 1.9 -0.7 -1.9 1.2 1.3 0.3 -2.4
2021 -1.5 0.9 2.3 -0.2 0.4 0.3 0.1 0.2 -0.2 0.7 0.2 0.7 3.8
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
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  • Region Global
  • Currency Local Currency
  • Frequency Monthly Rebalancing
  • Methodology Equally Weighted
  • Download Index Return Series

Index Constituents

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Overview Performance Return Attributes ESG Institutional Class Structure
Name Inception Date Sub-Strategy Geography AUM AMC Perf. Fee Hurdle Min Inv. Liquidity MTD YTD 2022 1W 1M 3M 6M 1Y 2Y 3Y ISIN Liquidity Domicile Inv. Adviser Portfolio Manager UN PRI Signatory Companywide ESG Policy SFDR ESG Data Integration Active Ownership ESG Exclusion List Return Consistency
Percentile Rank		 Performance
Percentile Rank		 Diversifier
Percentile Rank		 Downside Protection
Percentile Rank		 Low Risk
Percentile Rank
ABR Enhanced Short Volatility Fund Dec 2017 Global £3m 1.75% 17.5% 1,000,000 Daily 2.3 37.5 -42.4 4.9 8.6 11.2 36.4 48.4 -1.2 18.9 IE00BF47LT76 Daily Ireland ABR Dynamic Funds, LLC Taylor Lukof, David Skordal 17 52 25 0 1
Allianz Volatility Strategy Apr 2010 Global £543m 0.50% 100,000 Daily 0.1 3.5 -3.8 0.5 0.8 2.3 2.8 3.2 2.9 13.8 LU1597245650 Daily Luxembourg Allianz GI Rahul Malhotra, Mikhail Kra... Article 6 71 61 21 38 91
Amundi Absolute Volatility Euro Equities Nov 2006 Europe £307m 0.70% 20% 500,000 Daily -5.5 6.5 0.7 -1.7 -1.1 -5.1 -4.9 2.5 1.3 LU0272941971 Daily Luxembourg Amundi Asset Management Gilbert Keskin Article 6 45 32 62 88 39
Amundi Absolute Volatility World Equities Nov 2007 Global £550m 0.70% 20% 500,000 Daily -2.7 5.9 0.3 -0.2 -0.1 -2.4 -1.5 3.2 -1.6 LU0319687124 Daily Luxembourg Amundi Asset Management Gilbert Keskin Article 6 45 17 61 89 55
Aquantum Active Range Jul 2021 US £243m 0.95% 15% No 500,000 Daily -0.3 -0.7 13.3 -0.1 -0.8 -1.9 0.6 4.8 DE000A2QSF56 Daily Germany Maik Kaminski & Portfolio M... Yes Yes Article 6 No N/A N/A
Assenagon Alpha Premium Dec 2019 Global £73m 0.75% 15% Yes 125,000 Daily 0.4 3.3 3.9 1.8 1.6 2.6 5.3 6.4 10.2 22.4 LU2053560707 Daily Luxembourg Assenagon Asset Management ... Daniel Danon, Tobias Knecht Yes Yes Article 6 No N/A N/A 88 76 46 52 66
Assenagon Alpha Volatility Dec 2012 Global £959m 0.80% 15% Yes 500,000 Daily 0.3 4.4 5.9 0.6 1.6 6.7 5.3 0.3 5.6 -6.8 LU0575255335 Daily Luxembourg Assenagon Asset Management ... Daniel Danon, Tobias Knecht Yes Yes Article 6 No N/A N/A 13 6 90 97 21
Athena UI Jun 2008 Global £37m 0.95% 20% 250,000 Daily -0.1 1.7 4.9 0.4 0.1 0.6 0.9 3.7 6.1 8.2 DE000A0Q2SF3 Daily Germany Conservative Concept Portfo... Horst Gerstner, Steffen Kern Article 6 83 41 94 79 97
Dominicé Funds - Cassiopeia UCITS Jun 2015 Global £74m 2.00% 20% 10,000 Weekly 0.6 2.9 0.9 -0.2 2.1 6.6 4.5 4.2 IE00BWXT8475 Weekly Ireland Dominicé Pierre de Saab, Alain Dos S... 49 13 57 74 34
FERI OptoFlex Dec 2012 Global £1.8b 0.70% 15% 3M EURIBOR 1,000,000 Daily 0.1 6.0 -6.5 0.3 1.4 3.5 5.3 2.8 3.3 12.5 LU0834815101 Daily Luxembourg FERI Trust GmbH 48 56 3 15 36
Fulcrum Equity Dispersion Fund Jul 2020 Global £399m 1.00% 10% No 1,000,000 Weekly 1.4 13.2 3.3 3.4 2.6 2.3 7.0 21.0 LU2164655123 Weekly Luxembourg Fulcrum Asset Management LLP Stephen Crewe Yes Yes Article 6 No N/A N/A
FVC Equity Dispersion Fund Nov 2021 Global £114m 0.80% 0% No 5,000,000 Daily -0.3 2.0 -1.6 0.8 1.2 2.3 -1.4 -2.5 IE00BNRK6Y98 Daily Ireland Future Value Capital Yes Yes Article 6 Yes N/A Yes
IAM True Partner Volatility UCITS Jul 2019 Global £93m 1.25% 17.5% No 1,000,000 Daily 0.0 -5.2 0.1 0.0 0.0 0.1 -2.3 -8.8 -18.9 IE00BKLFY670 Daily Ireland International Asset Management Ralph van Put, Govert Heijb... Yes Yes Article 6 No N/A N/A 10 2 76 63 53
Lupus alpha Volatility Risk-Premium Aug 2015 Global £82m 0.70% 20% Yes 500,000 Daily 0.5 5.8 -2.8 0.6 1.4 3.5 4.6 6.7 8.2 26.2 DE000A1J9DU7 Daily Germany Lupus alpha Asset Managemen... Stephan Steiger, Mark Ritter No No Article 6 No N/A N/A 90 87 12 23 80
Neuberger Berman US Equity Index PutWrite Fund Dec 2016 US £517m 0.60% 0% No 2,500,000 Daily 0.7 9.0 -10.6 0.9 2.5 7.0 6.7 5.9 4.8 33.5 IE00BDDWG831 Daily Ireland Neuberger Berman Derek Devens Yes Yes Article 6 No N/A N/A 42 94 1 5 26
One River Dynamic Convexity UCITS Aug 2021 Global £130m 2.00% 20% 500,000 Daily -0.1 -1.5 -5.7 -0.3 -0.6 -1.3 -2.0 -4.2 LU2346976256 Daily Luxembourg One River Asset Management Stephen Prajna, Ryan McRandal Article 6
THEAM Quant Dispersion US May 2018 US £120m 0.50% 1,000,000 Daily 0.1 1.0 15.9 0.5 3.0 1.6 3.6 3.0 25.5 22.5 FR0013331907 Daily France BNP Paribas Asset Management DEHARBONNIER Solène Article 6 59 66 80 93 49
THEAM Quant Dynamic Volatility Carry Jul 2021 US £98m 0.75% 0% No 100,000 Daily 0.1 2.9 -7.9 0.3 0.8 0.8 2.9 1.1 FR0014003S23 Daily France BNP Paribas Asset Management Yes Yes Article 6 No N/A N/A
THEAM Quant – Equity US Premium Income Jul 2017 US £20m 0.76% 0% No 100,000 Daily 0.1 2.6 -2.0 0.1 0.3 1.5 2.6 5.1 4.5 19.2 LU1480597480 Daily Luxembourg BNP Paribas Asset Management Yes Yes Article 6 No N/A N/A 85 81 10 29 72
THEAM Quant – Europe Target Premium Nov 2019 Europe £217m 0.76% 0% No 100,000 Daily 0.6 7.6 11.1 0.0 1.9 4.6 8.0 14.3 27.8 49.8 LU2051090053 Daily Luxembourg BNP Paribas Asset Management Yes Yes Article 6 No N/A N/A 98 96 43 72 70
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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.