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 1.4 1.3 0.0 -1.2 0.3
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 24.4
Amundi Absolute Volatility Euro Equities 20.0
Assenagon Alpha Volatility 15.1
Athena UI 8.1
FERI OptoFlex 6.0
Warrington Strategic UCITS 1.3
THEAM Quant Dispersion US -1.4
Lupus alpha Volatility Invest (A) -4.6
Allianz Volatility Strategy -6.6
Lupus alpha Volatility Risk-Premium -10.6

Bottom Funds YTD

YTD
Berenberg DyMACS Volatility Premium -24.5
BNP THEAM Quant - Volatility World Absolute -19.1
Lumyna - Enhanced Equity Volatility Premium -13.2
Lupus alpha Volatility Risk-Premium -10.6
Allianz Volatility Strategy -6.6
Lupus alpha Volatility Invest (A) -4.6
THEAM Quant Dispersion US -1.4
Warrington Strategic UCITS 1.3
FERI OptoFlex 6.0
Athena UI 8.1

Largest New Launches (12M)

AUM
Fulcrum Equity Dispersion Fund £102m

Strategy AUM

30 September 2020
£4.7b 5% YOY

Largest Volatility Arbitrage Funds

AUM
FERI OptoFlex £1.4b
Allianz Volatility Strategy £1.2b
Assenagon Alpha Volatility £714m
IAM True Partner Volatility UCITS £403m
Amundi Absolute Volatility World... £375m

Largest Inflows (Q3'20 - Q3'19)

Change AUM
IAM True Partner Volatility UCITS £318m £403m
Allianz Volatility Strategy £283m £1.2b
FERI OptoFlex £109m £1.4b
Assenagon Alpha Volatility £33m £714m
Athena UI £4m £8m

Largest Outflows (Q3'20 - Q3'19)

Change AUM
Berenberg DyMACS Volatility Premium £-207m £5m
Amundi Absolute Volatility Euro ... £-71m £158m
Lumyna - Enhanced Equity Volatil... £-52m £86m
THEAM Quant Dispersion US £-37m £59m
Amundi Absolute Volatility World... £-33m £375m

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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.