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
2021 -1.5 0.9 2.3 -0.2 1.4
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
Lupus alpha Volatility Risk-Premium 6.3
Allianz Structured Alpha Strategy 5.0
Allianz Volatility Strategy 4.4
Lupus alpha Volatility Invest (A) 4.4
Lumyna - Enhanced Equity Volatility Premium 3.3
FERI OptoFlex 2.9
BNP THEAM Quant - Volatility World Absolute 2.3
Dominicé Funds - Cassiopeia UCITS 2.1
Athena UI 0.1
Assenagon Alpha Premium -0.2

Bottom Funds YTD

YTD
IAM True Partner Volatility UCITS -6.7
Assenagon Alpha Volatility -6.3
Amundi Absolute Volatility World Equities -3.6
Amundi Absolute Volatility Euro Equities -3.4
THEAM Quant Dispersion US -3.1
Fulcrum Equity Dispersion Fund -2.3
Assenagon Alpha Premium -0.2
Athena UI 0.1
Dominicé Funds - Cassiopeia UCITS 2.1
BNP THEAM Quant - Volatility World Absolute 2.3

Largest New Launches (12M)

AUM
Fulcrum Equity Dispersion Fund £122m

Strategy AUM

31 March 2021
£4.8b 5% YOY

Largest Volatility Arbitrage Funds

AUM
FERI OptoFlex £1.6b
Allianz Volatility Strategy £995m
Assenagon Alpha Volatility £637m
Amundi Absolute Volatility World... £452m
IAM True Partner Volatility UCITS £348m

Largest Inflows (Q1'21 - Q1'20)

Change AUM
FERI OptoFlex £135m £1.6b
Amundi Absolute Volatility World... £91m £452m
IAM True Partner Volatility UCITS £72m £348m
Athena UI £12m £15m
Amundi Absolute Volatility Euro ... £4m £135m

Largest Outflows (Q1'21 - Q1'20)

Change AUM
Allianz Structured Alpha Strategy £-157m £10m
Assenagon Alpha Volatility £-86m £637m
Allianz Volatility Strategy £-73m £995m
Lupus alpha Volatility Risk-Premium £-30m £132m
Lupus alpha Volatility Invest (A) £-23m £50m

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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.