Assenagon Volatility EN

In fact, it must.

Volatility markets are global, transparent, liquid and efficiently accessible to both institutional and private investors. Despite the large number of market participants and high trading volumes, there are structural imbalances in volatility markets that allow sophisticated investment approaches to generate persistent returns.

For example, the consistently high demand for equity index derivatives for portfolio hedging purposes (e.g. hedging against falling stock prices) gives rise to the well-known volatility risk premium. In contrast, the market for volatility on single stocks is not characterised by a comparable need for hedging. Here, other effects play a dominant role: For example, the continuous issuance of equity-linked notes leads to lower volatility risk premia on single stocks as compared to volatility risk premia on indices.

In our actively managed volatility strategies, we specialise in exploiting these structural imbalances in volatility markets by combining individual stock volatility and index volatility. Within this so-called "dispersion trading"-approach, which in the past was primarily feasible only for investment banks, individual stock volatility is bought and index volatility is sold in the course of a stringent investment process. Our goal is to create robust volatility strategies that qualify as an important building block in the strategic asset allocation process of our investors.

We implemented our specialised investment approach in two differently structured UCITS funds:

Our long-volatility strategy in the Assenagon Alpha Volatility
Our short-volatility strategy in the Assenagon Alpha Premium

ASSENAGON VOLATILITY

Should an investment provide relaxation?

This is a marketing communication. Please refer to the prospectus of the fund and to the key information document or key investor information document before making any final investment decisions. No responsibility is taken for the correctness of this information. For additional information please refer to the most recent sales prospectus, the most recent semi-annual or annual report and for UCI funds the key information document or key investor information document. Only the above mentioned relevant fund documentation is legally binding. A summary of investor rights can be viewed in the Assenagon Complaints Handling Policy. Please note that past performance of the fund is no guarantee for future success. The target return is not guaranteed. Information on sustainability-relevant aspects, if applicable, is provided at www.assenagon.com/en/funds. The management company may revoke distribution licenses of individual funds and sub-funds at any time at its own discretion in compliance with the legal requirements.

We are happy to answer any questions you may have.

Disclaimer

Past performance does not predict future returns. (28.12.12 - 31.03.25)

Assenagon Alpha Volatility vs Peergroup

ASSENAGON ALPHA VOLATILITY

Benefiting from rising volatility.

Volatility. Actively managed.

CONTACT

The Assenagon Alpha Volatility pursues a long-volatility strategy. While for traditional investment strategies rising volatility primarily means an increased potential for losses, we aim for positive returns in turbulent market phases. Since the implementation of the investment strategy at the end of 2012, we have consistently outperformed our peer group (CBOE® Eurekahedge Long Volatility Index) and were awarded as "Best Performing Volatility Fund" by the Hedge Fund Journal for the year 2018.

Source: Assenagon Equity Derivatives Database, Bloomberg, CBOE®

Assenagon Alpha Volatility in the portfolio context

The Assenagon Alpha Volatility makes a valuable contribution to the optimisation of a strategic asset allocation. The significantly positive effect is evident in the portfolio context with equities – the combination of equities and volatility shows more robust investment results than the individual asset classes considered separately.

Past performance does not predict future returns. (28.12.12 - 31.03.25)

* 50% Assenagon Alpha Volatility + 50% iShares MSCI World EUR Hedged (IBCH GY Equity)
Source: Assenagon Equity Derivatives Database, Bloomberg

Rewards

Risks

No guarantee of success of the active fund management.
Possibly less participation in the potential of individual investment instruments.
Using derivatives may lead to increased volatility (fluctuation in value).
Risk of high volatility of the asset class volatility, possible price losses. The volatility of the fund unit value may increase.

Active portfolio management and profit-taking increase return potential

Diversification across multiple investment instruments.
High return potential through the use of derivatives, volatility as source of return.
Positive asymmetric return potential in very volatile market phases: substantial upside potential in particular during market phases of increased volatility.

TO PRODUCT

ASSENAGON ALPHA PREMIUM

Harvesting the volatility premium with protection.

The Assenagon Alpha Premium pursues a short-volatility strategy with protection. We improved the concept of a conventional short-volatility strategy (i.e. classic volatility premium approach) in favour of a more robust short-volatility approach. We take advantage of the fact that stock indices generally have a significantly higher volatility premium than the individual securities they contain. For this reason, it is worthwhile to sell index volatilities and buy the corresponding individual stock volatilities as a hedge. Consequently, we significantly improved the risk/return profile in our more robust short-volatility approach through the consistent use of individual stock volatility as compared to conventional short-volatility strategies.

Assenagon Alpha Premium vs Peergroup

Past performance does not predict future returns. (10.12.19 - 31.03.25)

Source: Assenagon Equity Derivatives Database, Bloomberg

Rewards

Risks

Active portfolio management and profit-taking increase return potential
Diversification across multiple investment instruments.
High return potential through the use of derivatives, volatility as source of return.
Positive return target in the medium term by harvesting the core volatility premium as an alternative to traditional income strategies.

No guarantee of success of the active fund management.
Possibly less participation in the potential of individual investment instruments.
Using derivatives may lead to increased volatility (fluctuation in value).
Risk of high volatility of the asset class volatility, possible price losses. The volatility of the fund unit value may increase.

TO PRODUCT

PORTFOLIO MANAGER

Our portfolio managers possess many years of international capital market experience and a distinctive investment expertise.

Daniel Danon

Head of Volatility Portfolio Management, Assenagon Asset Management S.A.

Tobias Knecht