Volatility Arbitrage

Strategy Research, 09 Nov 2021

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 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
Athena UI 2.0
Assenagon Alpha Volatility 1.6
Fulcrum Equity Dispersion Fund 1.0
Amundi Absolute Volatility World Equities 0.6
Amundi Absolute Volatility Euro Equities 0.4
Dominicé Funds - Cassiopeia UCITS 0.3
Allianz Volatility Strategy -0.4
Lupus alpha Volatility Invest (A) -1.0
Lupus alpha Volatility Risk-Premium -1.2
Assenagon Alpha Premium -1.4

Bottom Funds YTD

YTD
ABR Enhanced Short Volatility Fund -15.3
Neuberger Berman US Equity Index PutWrite ... -5.6
Lumyna - Enhanced Equity Volatility Premium -2.1
THEAM Quant Dispersion US -1.9
FERI OptoFlex -1.5
Assenagon Alpha Premium -1.4
Lupus alpha Volatility Risk-Premium -1.2
Lupus alpha Volatility Invest (A) -1.0
Allianz Volatility Strategy -0.4
Dominicé Funds - Cassiopeia UCITS 0.3

Strategy AUM

30 September 2021
£5.5b 10% YOY

Largest Volatility Arbitrage Funds

AUM
FERI OptoFlex £2.1b
Assenagon Alpha Volatility £987m
Allianz Volatility Strategy £778m
Amundi Absolute Volatility World... £478m
Neuberger Berman US Equity Index... £351m

Largest Inflows (Q3'21 - Q3'20)

Change AUM
FERI OptoFlex £620m £2.1b
FERI OptoFlex £614m £2.1b
Assenagon Alpha Volatility £321m £987m
Assenagon Alpha Volatility £307m £987m
Neuberger Berman US Equity Index... £202m £351m

Largest Outflows (Q3'21 - Q3'20)

Change AUM
Allianz Volatility Strategy £-338m £778m
Allianz Volatility Strategy £-300m £778m
IAM True Partner Volatility UCITS £-146m £313m
Neuberger Berman US Equity Index... £-111m £351m
IAM True Partner Volatility UCITS £-90m £313m

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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.