Investment Objective
The Assenagon Alpha Volatility uses volatility as a source of returns and seeks positive results in the medium to long term. Particularly in market phases with increased volatility, the fund aims for an increase in value. For this purpose, portfolio management invests primarily in equity volatility pairs, consisting of long and short positions. When implementing the strategy, particular emphasis is placed on the use of derivative investment instruments which generally commit only a small proportion of the fund's liquid assets. In order to offer the highest possible degree of security, the available liquid assets are particularly invested in first-class government bonds.
Latest Meeting Note
Meeting 05 Oct 2021
Assenagon currently offer a suite of 3 volatility strategies - Alpha Volatility (long volatility bias), Alpha Premium (short volatility bias with embedded protection), and Assenagon EquiVol. Following the volatility compression seen in l...
Assenagon currently offer a suite of 3 volatility strategies - Alpha Volatility (long volatility bias), Alpha Premium (short volatility bias with embedded protection), and Assenagon EquiVol. Following the volatility compression seen in late 2020/early 2021 the team remain somewhat cautious on selling index volatility given mediocre volatility risk premium, however they are identifying interesting opportunities in correlation risk premium (the Alpha Premium funds harvests correlation and volatility risk premia). This is a key differentiating point in the Premium strategy, as they exercise judgement in where the best opportunity exists, rather than simply being constrained to selling vol. which may be uncomfortable at current levels with markets trading relatively elevated.
Performance
| JAN | FEB | MAR | APR | MAY | JUN | JUL | AUG | SEP | OCT | NOV | DEC | YTD | ||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2023 | 0.4 | 0.9 | 0.7 | 0.0 | 0.2 | 0.4 | 0.4 | 0.5 | 0.2 | 0.4 | 0.5 | 0.1 | 0.0 | |
| 2022 | 0.5 | 0.7 | 0.8 | 0.3 | 0.5 | 0.9 | 0.1 | 0.3 | 0.5 | 0.8 | 0.5 | 0.9 | 0.6 |
