Investment Objective
The Assenagon Alpha Premium fund uses volatility as a source of return. The fund aims to generate a positive return in the medium term. The fund harvests risk premiums in the volatility market. The portfolio management primarily uses relative price differences between equity index volatilities and the volatilities of the individual stocks in the index.
Latest Meeting Note
Meeting 08 Dec 2022
Assenagon specialises in trading equity volatility. The Assenagon Alpha Premium strategy invests in volatility market globally and aims to harvest the volatility premium by selling index volatility and simultaneously purchasing weighted ...
Assenagon specialises in trading equity volatility. The Assenagon Alpha Premium strategy invests in volatility market globally and aims to harvest the volatility premium by selling index volatility and simultaneously purchasing weighted single stock volatility for hedging purposes. Typically, not all index constituents are included but only a predefined subset of stocks which result from an optimisation process (the goal is to replicate 50% to 100% of the reference index). The portfolio is actively managed and leverages a number of proprietary systematic screens to identify market opportunities, with the team employing a counter cyclical investment approach. They generally build exposure when the volatility premia is ‘rich’, which tends to be observed during periods of stress in the market, and vice versa.
Performance
| JAN | FEB | MAR | APR | MAY | JUN | JUL | AUG | SEP | OCT | NOV | DEC | YTD | ||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2024 | 0.3 | 0.9 | 0.0 | 0.3 | 0.3 | 0.7 | 0.0 | 0.0 | 0.4 | 0.8 | 0.3 | 0.2 | 0.7 | |
| 2023 | 0.5 | 0.2 | 0.4 | 0.1 | 0.6 | 0.4 | 0.8 | 0.7 | 0.3 | 0.5 | 0.1 | 0.5 | 0.0 |
