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
2022 -1.3 -0.3 0.6 -2.0 0.0 -1.5 1.9 -2.6
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
THEAM Quant Dispersion US 10.6
Fulcrum Equity Dispersion Fund 8.9
Assenagon Alpha Volatility 7.4
Amundi Absolute Volatility Euro Equities 6.0
Athena UI 5.2
Amundi Absolute Volatility World Equities 5.1
Assenagon Alpha Premium 1.2
Dominicé Funds - Cassiopeia UCITS -0.8
Lupus alpha Volatility Invest (A) -2.1
Lupus alpha Volatility Risk-Premium -2.4

Bottom Funds YTD

YTD
ABR Enhanced Short Volatility Fund -41.4
Lumyna - Enhanced Equity Volatility Premium -7.3
Neuberger Berman US Equity Index PutWrite ... -6.5
FERI OptoFlex -3.6
One River Dynamic Convexity UCITS -3.4
Allianz Volatility Strategy -2.7
Lupus alpha Volatility Risk-Premium -2.4
Lupus alpha Volatility Invest (A) -2.1
Dominicé Funds - Cassiopeia UCITS -0.8
Assenagon Alpha Premium 1.2

Largest New Launches (12M)

AUM
FVC Equity Dispersion Fund £154m

Strategy AUM

30 June 2022
£6.2b 20% YOY

Largest Volatility Arbitrage Funds

AUM
FERI OptoFlex £2.0b
Allianz Volatility Strategy £980m
Assenagon Alpha Volatility £791m
Amundi Absolute Volatility World... £727m
Neuberger Berman US Equity Index... £479m

Largest Inflows (Q2'22 - Q2'21)

Change AUM
Amundi Absolute Volatility World... £244m £727m
Amundi Absolute Volatility Euro ... £219m £336m
Neuberger Berman US Equity Index... £205m £479m
Fulcrum Equity Dispersion Fund £155m £285m
Allianz Volatility Strategy £92m £980m

Largest Outflows (Q2'22 - Q2'21)

Change AUM
IAM True Partner Volatility UCITS £-100m £226m
Assenagon Alpha Volatility £-29m £791m
Lupus alpha Volatility Risk-Premium £-13m £115m
Lumyna - Enhanced Equity Volatil... £-11m £65m
ABR Enhanced Short Volatility Fund £-4m £5m

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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.