Our Volatility Strategy
Our active investment approach transforms volatility into a long-term, investable asset while enhancing portfolio diversification. By capitalizing on inefficiencies and structural imbalances in volatility markets, we create opportunities for investors to generate uncorrelated returns.
Understanding Volatility
Volatility measures the magnitude of price fluctuations in financial assets, such as stocks, over a given period. More than just a market phenomenon, volatility itself is actively traded in global, transparent, and highly liquid markets, attracting both institutional and private investors.
Despite substantial trading volumes, persistent inefficiencies create opportunities for specialized investment strategies. For example, the strong demand for equity index derivatives – primarily for portfolio hedging – results in the well-documented volatility risk premium. In contrast, single-stock volatility is shaped by distinct factors, such as the continuous issuance of equity-linked notes, which typically suppresses volatility risk premia on individual stocks relative to indices.
At Assenagon, our Volatility Portfolio Management team strategically combines individual stock and index volatility to capitalize on these structural imbalances. Our dispersion trading approach involves buying single-stock volatility while selling index volatility, allowing us to precisely target market inefficiencies.
Volatility as an Asset Class
We recognize volatility as a standalone asset class – one that requires deep expertise and specialized trading experience. Our team operates across global options and derivatives markets, actively managing exposure to implied volatility to unlock meaningful investment opportunities.
Volatility offers unique correlation characteristics, making it a strategic building block within a broadly diversified asset allocation.
Our infrastructure has been specifically designed for use in a global investment context. Its architecture is technically sophisticated, distinctive, and not easily replicable.
Two Volatility Funds
Which strategy is right for me?
Long Volatility-Strategy
Asymmetric return profile
Our Global Long Volatility Strategy offers significant return potential, particularly in market phases characterised by increased volatility – precisely when traditional components of an asset allocation are at risk of losses.
To achieve this, we selectively purchase single-stock volatility with strong alpha characteristics during periods of market stress, financing these positions by selling index volatility.
Our Premium Collector
Volatility as an asset class
There are many premium collectors in the volatility market. What sets our strategy apart is the targeted use of single-stock volatility to provide protection in times of rising volatility.
We harvest attractive index volatility premiums and hedge these positions through cost-efficient single-stock volatility exposures.
Our Investment Principles
Active fund management operates on the basis of a broad-based database
Our Volatility Portfolio Management team specializes in systematically combining single-stock and index volatility to precisely capitalize on structural market imbalances. In the dispersion trading approach, single-stock volatility is deliberately purchased while index volatility is sold.
With Assenagon's proprietary volatility database and a highly advanced trading infrastructure, we analyze historical volatility data from more than 600 underlying assets. This extensive data foundation enables us to continuously identify volatility positions with attractive valuation levels – both in core markets and niche segments.
Further Investment Areas
Multi Asset Strategy
A modern multi-asset portfolio offers far more than just a combination of equities and bonds. It leverages the full breadth of the capital markets — including side paths and niche segments.
Fixed Income Strategy
Our highly specialised fund management team has been successfully selecting bonds in the global fixed income market for decades, using a proprietary in-house rating model.
Equity Strategy
Discover more about our equity strategy, which combines a systematic, data-driven model with the decades-long experience of an active portfolio management team.