Volatility Arbitrage

Strategy Research, 15 Apr 2020

Index Research Funds

AH Volatility Arbitrage UCITS Index

JAN FEB MAR APR MAY JUN JUL AUG SEP OCT NOV DEC YTD
2020 -0.4 -1.2 -0.8 1.3 1.5 -1.5 -1.1
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
Amundi Absolute Volatility World Equities 26.6
Amundi Absolute Volatility Euro Equities 19.6
Assenagon Alpha Volatility 17.0
Athena UI 5.7
FERI OptoFlex 2.1
Warrington Strategic UCITS 1.2
THEAM Quant Dispersion US -1.8
Lupus alpha Volatility Invest (A) -7.9
Allianz Volatility Strategy -10.1
Lupus alpha Volatility Risk-Premium -15.0

Bottom Funds YTD

YTD
Berenberg DyMACS Volatility Premium -25.4
BNP THEAM Quant - Volatility World Absolute -22.3
Lumyna - Enhanced Equity Volatility Premium -16.4
Lupus alpha Volatility Risk-Premium -15.0
Allianz Volatility Strategy -10.1
Lupus alpha Volatility Invest (A) -7.9
THEAM Quant Dispersion US -1.8
Warrington Strategic UCITS 1.2
FERI OptoFlex 2.1
Athena UI 5.7

Strategy AUM

31 March 2020
£4.6b 6% YOY

Largest Volatility Arbitrage Funds

AUM
FERI OptoFlex £1.5b
Allianz Volatility Strategy £1.1b
Assenagon Alpha Volatility £723m
Amundi Absolute Volatility World... £361m
Lupus alpha Volatility Risk-Premium £162m

Largest Inflows (Q1'20 - Q1'19)

Change AUM
Allianz Volatility Strategy £233m £1.1b
FERI OptoFlex £174m £1.5b
Assenagon Alpha Volatility £151m £723m
Lupus alpha Volatility Risk-Premium £117m £162m
THEAM Quant Dispersion US £13m £68m

Largest Outflows (Q1'20 - Q1'19)

Change AUM
Amundi Absolute Volatility Euro ... £-319m £131m
Berenberg DyMACS Volatility Premium £-195m £62m
Lumyna - Enhanced Equity Volatil... £-27m £86m
BNP THEAM Quant - Volatility Wor... £-19m £6m
Athena UI £-1m £3m

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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.