Volatility Arbitrage

Strategy Research, 17 Oct 2022

Index Research Funds

AH Volatility Arbitrage UCITS Index

JAN FEB MAR APR MAY JUN JUL AUG SEP OCT NOV DEC YTD
2022 -1.3 -0.3 0.6 -2.0 0.0 -1.5 1.9 -0.7 -1.9 1.2 1.5 -2.6
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
Download Index Return Series

Top Funds YTD

YTD
THEAM Quant Dispersion US 13.0
Fulcrum Equity Dispersion Fund 12.2
Aquantum Active Range 12.0
THEAM Quant – Europe Target Premium 10.7
Amundi Absolute Volatility Euro Equities 6.1
Athena UI 5.8
Amundi Absolute Volatility World Equities 5.7
Assenagon Alpha Volatility 5.0
FVC Equity Dispersion Fund 3.1
Assenagon Alpha Premium 2.0

Bottom Funds YTD

YTD
ABR Enhanced Short Volatility Fund -42.0
Neuberger Berman US Equity Index PutWrite ... -8.7
Lumyna - Enhanced Equity Volatility Premium -8.6
THEAM Quant Dynamic Volatility Carry -7.9
FERI OptoFlex -6.0
One River Dynamic Convexity UCITS -5.3
Allianz Volatility Strategy -3.2
THEAM Quant – Equity US Premium Income -2.0
Lupus alpha Volatility Invest (A) -1.9
Lupus alpha Volatility Risk-Premium -1.8

Strategy AUM

30 September 2022
£6.4b 16% YOY

Largest Volatility Arbitrage Funds

AUM
FERI OptoFlex £1.9b
Assenagon Alpha Volatility £906m
Amundi Absolute Volatility World... £809m
Allianz Volatility Strategy £807m
Neuberger Berman US Equity Index... £553m

Largest Inflows (Q3'22 - Q3'21)

Change AUM
Amundi Absolute Volatility World... £332m £809m
Amundi Absolute Volatility Euro ... £314m £438m
Neuberger Berman US Equity Index... £276m £553m
Aquantum Active Range £156m £175m
Fulcrum Equity Dispersion Fund £108m £305m

Largest Outflows (Q3'22 - Q3'21)

Change AUM
FERI OptoFlex £-137m £1.9b
Assenagon Alpha Volatility £-115m £906m
IAM True Partner Volatility UCITS £-103m £210m
Allianz Volatility Strategy £-25m £807m
Lupus alpha Volatility Risk-Premium £-5m £115m

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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.