Volatility Arbitrage
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:
1) Equity Dispersion strategies implemented either with a fixed or a dynamic equal vega or equal theta allocation;
2) 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
30 September 2023
£6.2b
-16.7% 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 | 0.4 | 0.4 | 0.5 | 0.1 | 0.7 | 0.7 | 7.5 | ||
| 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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Index Constituents
| 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 75/25 Volatility UCITS Fund | Oct 2021 | US | £38m | 1.50% | 20% | No | 25,000,000 | Daily | 0.7 | 21.8 | -27.8 | 0.9 | 5.9 | 3.8 | 4.3 | 18.8 | -6.9 | IE00BLH1SR55 | Daily | Ireland | ABR Dynamic Funds, LLC | Taylor Lukof, David Skortal | No | No | Article 6 | No | N/A | N/A | |||||||||
| ABR Dynamic Blend Equity and Volatility Fund | Feb 2017 | US | 1.75% | 0% | No | 1,000,000 | Daily | 0.0 | IE00BD0G4171 | Daily | Ireland | ABR Dynamic Funds, LLC | Taylor Lukof, David Skortal | No | No | Article 6 | No | N/A | N/A | ||||||||||||||||||
| ABR Enhanced Short Volatility Fund | Dec 2017 | Global | £2m | 1.75% | 17.5% | 1,000,000 | Daily | 2.6 | 55.0 | -42.4 | 2.1 | 9.8 | 11.4 | 10.3 | 61.3 | 4.4 | 28.9 | IE00BF47LT76 | Daily | Ireland | ABR Dynamic Funds, LLC | Taylor Lukof, David Skordal | 31 | 98 | 20 | 0 | 15 | ||||||||||
| Allianz Volatility Strategy | Apr 2010 | Global | £497m | 0.50% | 100,000 | Daily | 0.2 | 6.8 | -3.8 | 0.2 | 1.2 | 1.7 | 3.2 | 6.2 | 4.7 | 12.5 | LU1597245650 | Daily | Luxembourg | Allianz GI | Rahul Malhotra, Mikhail Kra... | Article 6 | 81 | 71 | 16 | 39 | 86 | ||||||||||
| Amundi Absolute Volatility Euro Equities | Nov 2006 | Europe | £211m | 0.70% | 20% | 500,000 | Daily | 0.3 | -8.8 | 6.5 | 0.1 | -1.6 | -1.5 | -1.7 | -8.5 | -4.0 | -4.2 | LU0272941971 | Daily | Luxembourg | Amundi Asset Management | Gilbert Keskin | Article 6 | 38 | 14 | 60 | 88 | 21 | |||||||||
| Amundi Absolute Volatility World Equities | Nov 2007 | Global | £394m | 0.70% | 20% | 500,000 | Daily | 0.5 | -4.8 | 5.9 | 0.3 | -0.7 | -0.8 | -1.2 | -4.7 | -0.6 | -3.1 | LU0319687124 | Daily | Luxembourg | Amundi Asset Management | Gilbert Keskin | Article 6 | 46 | 11 | 59 | 88 | 37 | |||||||||
| Aquantum Active Range | Jul 2021 | US | £282m | 0.95% | 15% | No | 500,000 | Daily | 0.3 | 5.2 | 13.3 | 0.2 | -0.1 | 4.1 | 6.2 | 5.8 | 19.4 | DE000A2QSF56 | Daily | Germany | Maik Kaminski & Portfolio M... | Yes | Yes | Article 6 | No | N/A | N/A | ||||||||||
| Assenagon Alpha Premium | Dec 2019 | Global | £70m | 0.75% | 15% | Yes | 125,000 | Daily | 0.2 | 4.7 | 3.9 | 0.0 | 0.6 | 1.5 | 1.1 | 6.7 | 10.3 | 13.9 | LU2053560707 | Daily | Luxembourg | Assenagon Asset Management ... | Daniel Danon, Tobias Knecht | Yes | Yes | Article 6 | No | N/A | N/A | 91 | 88 | 46 | 54 | 84 | |||
| Assenagon Alpha Volatility | Dec 2012 | Global | £1.1b | 0.80% | 15% | Yes | 500,000 | Daily | 0.2 | -0.6 | 5.9 | -0.3 | -3.0 | -3.1 | -4.2 | -0.1 | 3.4 | -7.3 | LU0575255335 | Daily | Luxembourg | Assenagon Asset Management ... | Daniel Danon, Tobias Knecht | Yes | Yes | Article 6 | No | N/A | N/A | 23 | 11 | 89 | 98 | 21 | |||
| Athena UI | Jun 2008 | Global | £39m | 0.95% | 20% | 250,000 | Daily | 0.2 | 6.3 | 4.9 | 0.3 | 0.9 | 3.0 | 4.5 | 5.3 | 10.5 | 11.2 | DE000A0Q2SF3 | Daily | Germany | Conservative Concept Portfo... | Horst Gerstner, Steffen Kern | Article 6 | 90 | 51 | 100 | 80 | 98 | |||||||||
| Atlantic House Uncorrelated Strategies Fund | May 2022 | Global | £108m | 0.75% | 20% | Yes | 10,000 | Daily | 0.1 | 7.8 | -0.1 | -0.6 | 1.4 | 4.8 | 7.9 | IE00BNTJ5P80 | Daily | Ireland | Other | Tom Boyle (lead), Mark Gree... | Yes | Yes | Article 6 | No | N/A | No | |||||||||||
| Dominicé Funds - Cassiopeia UCITS | Jun 2015 | Global | £81m | 2.00% | 20% | 10,000 | Weekly | 6.8 | 2.9 | -0.1 | 0.1 | 1.2 | 4.7 | 8.3 | 11.3 | 15.7 | IE00BWXT8475 | Weekly | Ireland | Dominicé | Pierre de Saab, Alain Dos S... | 79 | 64 | 61 | 77 | 64 | |||||||||||
| Empureon Volatility One Fund | Jul 2023 | US | £245m | 0.70% | 15% | Yes | 1,000,000 | Daily | 0.1 | 0.1 | 1.1 | 1.9 | DE000A3D9GL3 | Daily | Germany | Empureon Capital Management... | No | Yes | Article 6 | No | N/A | N/A | |||||||||||||||
| FERI OptoFlex | Dec 2012 | Global | £1.2b | 0.70% | 15% | 3M EURIBOR | 1,000,000 | Daily | 0.0 | 10.6 | -6.5 | 0.1 | 1.0 | 2.0 | 4.1 | 10.1 | 4.8 | 12.4 | LU0834815101 | Daily | Luxembourg | FERI Trust GmbH | 56 | 67 | 4 | 17 | 35 | ||||||||||
| Fulcrum Equity Dispersion Fund | Jul 2020 | Global | £433m | 1.00% | 10% | No | 1,000,000 | Weekly | 5.2 | 13.2 | 0.0 | 0.0 | 1.7 | 3.8 | 6.2 | 20.2 | 23.8 | LU2164655123 | Weekly | Luxembourg | Fulcrum Asset Management LLP | Stephen Crewe | Yes | Yes | Article 6 | No | N/A | N/A | 91 | 84 | 80 | 91 | 83 | ||||
| FVC Equity Dispersion Fund | Nov 2021 | Global | £88m | 0.80% | 0% | No | 5,000,000 | Daily | 0.2 | 4.8 | -1.6 | 0.3 | -0.4 | 0.8 | 3.3 | 2.0 | 1.8 | IE00BNRK6Y98 | Daily | Ireland | Future Value Capital | Yes | Yes | Article 6 | Yes | N/A | Yes | ||||||||||
| IAM True Partner Volatility UCITS | Jul 2019 | Global | £52m | 1.25% | 17.5% | No | 1,000,000 | Daily | 0.3 | 1.0 | -5.2 | 0.3 | -0.9 | 0.9 | 1.0 | 1.3 | -5.2 | -15.4 | IE00BKLFY670 | Daily | Ireland | International Asset Management | Ralph van Put, Govert Heijb... | Yes | Yes | Article 6 | No | N/A | N/A | 11 | 2 | 62 | 64 | 31 | |||
| Lupus alpha Volatility Risk-Premium | Aug 2015 | Global | £85m | 0.70% | 20% | Yes | 500,000 | Daily | 0.2 | 10.8 | -2.8 | 0.4 | 1.3 | 2.2 | 4.2 | 10.2 | 9.6 | 22.7 | DE000A1J9DU7 | Daily | Germany | Lupus alpha Asset Managemen... | Stephan Steiger, Mark Ritter | No | No | Article 6 | No | N/A | N/A | 91 | 87 | 14 | 23 | 82 | |||
| MontLake Volatility Arbitrage UCITS Fund | Sep 2023 | US | £23m | 0.90% | 18% | Yes | 3,000,000 | Daily | 0.3 | 0.4 | 0.7 | IE0005RLJ1N2 | Daily | Ireland | Fortune Financial Strategie... | Simon Khalili | No | No | Article 6 | No | No | No | |||||||||||||||
| Neuberger Berman US Equity Index PutWrite Fund | Dec 2016 | US | £525m | 0.60% | 0% | No | 2,500,000 | Daily | 0.3 | 13.0 | -10.6 | 0.3 | 2.3 | 1.2 | 3.5 | 12.4 | 3.7 | 21.6 | IE00BDDWG831 | Daily | Ireland | Neuberger Berman | Derek Devens | Yes | Yes | Article 6 | No | N/A | N/A | 49 | 92 | 1 | 5 | 27 | |||
| One River Dynamic Convexity UCITS | Aug 2021 | Global | £126m | 2.00% | 20% | 500,000 | Daily | 0.0 | -3.0 | -5.7 | 0.1 | -0.2 | -0.7 | -1.6 | -3.4 | -9.6 | LU2346976256 | Daily | Luxembourg | One River Asset Management | Stephen Prajna, Ryan McRandal | Article 6 | |||||||||||||||
| THEAM Quant Dispersion US | May 2018 | US | £110m | 0.50% | 1,000,000 | Daily | 0.2 | 0.1 | 15.9 | 0.9 | -1.5 | -1.1 | -0.2 | 2.0 | 16.7 | 19.5 | FR0013331907 | Daily | France | BNP Paribas Asset Management | DEHARBONNIER Solène | Article 6 | 74 | 82 | 94 | 93 | 73 | ||||||||||
| THEAM Quant Dynamic Volatility Carry | Jul 2021 | US | £99m | 0.75% | 0% | No | 100,000 | Daily | 0.1 | 6.1 | -7.9 | 0.2 | 0.7 | 1.2 | 2.9 | 6.8 | -4.2 | 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 | £21m | 0.76% | 0% | No | 100,000 | Daily | -0.1 | 8.4 | -2.0 | -0.1 | 0.9 | 1.6 | 5.2 | 8.8 | 7.8 | 15.2 | LU1480597480 | Daily | Luxembourg | BNP Paribas Asset Management | Yes | Yes | Article 6 | No | N/A | N/A | 85 | 79 | 9 | 29 | 79 | ||||
| THEAM Quant – Europe Target Premium | Nov 2019 | Europe | £246m | 0.76% | 0% | No | 100,000 | Daily | 0.1 | 14.6 | 11.1 | 0.2 | 0.8 | 3.4 | 5.9 | 15.1 | 30.9 | 45.0 | LU2051090053 | Daily | Luxembourg | BNP Paribas Asset Management | Yes | Yes | Article 6 | No | N/A | N/A | 98 | 96 | 49 | 73 | 85 | ||||
| UI Systematic Dispersion Fund | Nov 2022 | Europe | £216m | 0.49% | 0% | No | 500,000 | Daily | 0.0 | DE000A3DQ2R9 | Daily | Germany | Universal-Investment-Gesell... | No | No | Article 8 | No | N/A | N/A |
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