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 1.5
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 27.7
Amundi Absolute Volatility Euro Equities 23.5
Assenagon Alpha Volatility 17.6
Athena UI 8.3
FERI OptoFlex 3.1
Warrington Strategic UCITS 1.1
THEAM Quant Dispersion US -5.9
Lupus alpha Volatility Invest (A) -7.3
Allianz Volatility Strategy -8.5
Lumyna - Enhanced Equity Volatility Premium -13.2

Bottom Funds YTD

YTD
Berenberg DyMACS Volatility Premium -26.3
BNP THEAM Quant - Volatility World Absolute -19.1
Lupus alpha Volatility Risk-Premium -14.1
Lumyna - Enhanced Equity Volatility Premium -13.2
Allianz Volatility Strategy -8.5
Lupus alpha Volatility Invest (A) -7.3
THEAM Quant Dispersion US -5.9
Warrington Strategic UCITS 1.1
FERI OptoFlex 3.1
Athena UI 8.3

Largest New Launches (12M)

AUM
Fulcrum Equity Dispersion Fund £102m

Strategy AUM

30 June 2020
£4.4b 5% YOY

Largest Volatility Arbitrage Funds

AUM
FERI OptoFlex £1.4b
Allianz Volatility Strategy £1.2b
Assenagon Alpha Volatility £714m
Amundi Absolute Volatility World... £375m
Amundi Absolute Volatility Euro ... £158m

Largest Inflows (Q2'20 - Q2'19)

Change AUM
IAM True Partner Volatility UCITS £318m £0m
Allianz Volatility Strategy £283m £1.2b
FERI OptoFlex £236m £1.4b
Allianz Volatility Strategy £229m £1.2b
Lupus alpha Volatility Risk-Premium £128m £138m

Largest Outflows (Q2'20 - Q2'19)

Change AUM
Berenberg DyMACS Volatility Premium £-207m £5m
Berenberg DyMACS Volatility Premium £-192m £5m
Amundi Absolute Volatility Euro ... £-134m £158m
Amundi Absolute Volatility World... £-104m £375m
Amundi Absolute Volatility Euro ... £-71m £158m

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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.