Fact sheet: Allianz Volatility Strategy

Fund information
Fund name
Allianz Volatility Strategy P2 NAV EUR
Fund manager company
Allianz Global Investors GmbH
Fund type
No data available.
Fund managers
  • Thiemo Krinksince 30/09/2015
  • Dr.. Bernhard Brunnersince 10/11/2016
Fund objective
The objective of the investment policy is to generate long-term capital growth. To this end, fund management will enter into derivatives on variance in the equity markets using a quantitative approach and a core portfolio with a risk/return profile similar in all other respects to the Euro money market. Depending on market conditions, the above-mentioned derivatives may have different weightings, expressed in terms of the nominal value, in the overall orientation of the Fund.
Benchmark
  • No Specified Index
Investment style
Volatility Arbitrage
Investment method
Equity
Quick stats
1 Year return
5.1%
1 Year rank in sector
35/107
Sector
FO Hedge/Stru Prod - Equity
Yield
-
Ongoing charge (OCF)
?A fund’s ongoing charges figure (OCF) is similar to the old-style total expense ratio. It reflects the annual charge to investors in the fund, in percentage terms, but does not include extra performance-related fees (where these are levied) or the fund’s trading expenses on its underlying investments.
1.24%
Fund size
£681m (£491m last year)
FE Risk score
?FE Risk Scores measure the riskiness of instruments relative to the FTSE 100 index of shares. Weekly volatility is measured over three years with recent behaviour counting more heavily than earlier behaviour. Cash-type investments will have scores close to zero. Funds will tend to have scores in the 0-150 range. The FTSE 100 is always scored at 100. There is no upper limit.
68
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Performance snapshot

Holdings snapshot

Performance vs Sector

Cumulative performance
 1 mth3 mth6 mth1 yr3 yr5 yr
Fund0.1%1.1%1.3%5.1%5.7%10.8%
Sector0.8%2.1%1.7%4.3%5.2%13.2%
Rank within sector85 / 12277 / 12564 / 12035 / 10734 / 7233 / 52
Quartile3rd3rd3rd2nd2nd3rd
Calendar performance
 YTD - 20172016201520142013
Fund0.7%3.4%1.2%0.3%2%
Sector1.5%-2%2.7%2.5%7.1%
Rank within sector81 / 12129 / 10854 / 8848 / 7052 / 64
Quartile3rd2nd3rd3rd4th
Risk statistics
Alpha
?Alpha is a measure of a fund's over- or under-performance by comparison to its benchmark. If the Alpha is 5, the fund has outperformed its benchmark by 5%; so the greater the Alpha, the greater the outperformance.
0.94
Beta
?Beta estimates a fund's volatility by comparison to that of its benchmark. A fund with a beta close to 1 means that the fund will move generally in line with the benchmark. Higher than 1 and the fund is more volatile than the benchmark and vice versa.
0.66
Sharpe
?This commonly-used measure calculates the level of return over and above the return of a notional risk-free investment, such as cash. The difference in returns is then divided by the fund's volatility. The resulting ratio is an indication of the amount of excess return generated per unit of risk.
-0
Volatility
?Volatility (or standard deviation), when applied to an investment fund, expresses its risk. It shows how widely a range of returns varied from the fund's average return over a particular period. For example, if a fund had an average return of 5%, and its volatility was 15, this would mean that the range of its returns over the period had swung between +20% and -10%.
3.15
Tracking error
?This measures the standard deviation of a fund's excess returns over the returns of an index or benchmark portfolio. As such, it can be an indication of 'riskiness' in the manager's investment style. A Tracking Error below 2 suggests a passive approach. At 3 and above the the manager will be deploying a more active investment style.
2.55
Information ratio
?This is a useful risk-adjusted measure of actively managed fund performance. It is calculated by deducting the returns of the fund's benchmark from the fund's overall returns, then dividing the result by its tracking error. The higher the Information Ratio the better. It is generally considered that a figure of 0.5 reflects a good performance, 0.75 very good, and 1.00 outstanding.
0.15
R-Squared
?An indication of how closely correlated a fund is to an index or a benchmark. Values for R-Squared range between 0 and 1, with 0 indicating no correlation at all and 1 showing a perfect match. Values upwards of 0.7 suggest that the fund's behaviour is increasingly linked to its benchmark.
0.47
Price movement
52 week high1140.79
52 week low1087.43
Current bid price-
Current offer price-
Current mid price1140.29
Region
No data available.
Industry sector
1Short dated bonds81.92%
2Very short dated bonds18.08%
Asset type
1Money Market100%
Individual holdings
1FRANCE(GOVT OF) 4.25% TB 25/10/17 EUR12.9%
2GERMANY(FEDERAL REPUBLIC OF) 3.75% BDS 04/01/17 EUR0.012.87%
3FRANCE(GOVT OF) 1% NTS 25/05/18 EUR12.85%
4EUROPEAN FINANCIAL STABILITY FACILT 1.125% MTN 30/11/17 EUR10002.81%
5BUNDESSCHATZANWEISUNGEN 0% 15/06/182.8%
6GERMANY(FEDERAL REPUBLIC OF) 0.5% BDS 13/10/17 EUR10002.8%
7BUNDESSCHATZANWEISUNGEN 0% 15/09/172.78%
8KREDITANSTALT FUER WIEDERAUFBAU KFW 0% BDS 07/12/18 EUR10002.25%
9SNCF RESEAU EMTN FIX 0.050% 23.10.20182.09%
Management
Fund manager group
No data available.
Fund manager company
Allianz Global Investors GmbH
Fund type
No data available.
Fund objective
The objective of the investment policy is to generate long-term capital growth. To this end, fund management will enter into derivatives on variance in the equity markets using a quantitative approach and a core portfolio with a risk/return profile similar in all other respects to the Euro money market. Depending on market conditions, the above-mentioned derivatives may have different weightings, expressed in terms of the nominal value, in the overall orientation of the Fund.
Benchmark
  • No Specified Index
Investment style
Volatility Arbitrage
Investment method
Equity
Fund managers
NameSinceBiography
Thiemo Krink30/09/2015Thiemo Krink is a Director at AllianzGI Multi Asset & Solutions and Co-Head of Multi Asset Alternatives and Hedging. He has performance responsibility for the Multi Asset liquid alternatives strategies and hedging strategies. Prior to joining the Multi Asset team in 2014, he was the European head of Portfolio Risk at Allianz Global Investors since 2012. Before that, he worked in the US, Germany, and Italy as an investment manager for Allianz Investment Management. Before joining Allianz in 2006 he was a tenured associate professor in Computer Science at the University of Aarhus in Denmark. He obtained his German degree in Computer Science (“Diplom Informatiker”) from the University of Hamburg and his Ph.D. in Computational Biology from the University of Aarhus
Dr.. Bernhard Brunner10/11/2016Dr. Bernhard Brunner is Managing Director at AllianzGI Multi Asset & Solutions and Co-Head of Multi Asset Alternatives and Hedging. He has performance responsibility for the Multi Asset liquid alternatives strategies and hedging strategies. His main field of expertise is within option pricing and volatility trading where he also published several articles in renowned professional journals. In 2003, he received the Best Paper Award from the Swiss Society for Financial Market Research. Bernhard joined the Company in 2004. Before joining he participated in several consultancy projects in the field of risk management and financial engineering. He graduated with a master’s degree in business mathematics. In 2004, he received his Ph.D. in finance on market-consistent option pricing from the Economics Department at the University of Augsburg.
Compliance
Transparent for Austrian Tax, Transparent for German Tax, UCITS V Compliant
Domicile
No data available.
Fund for sale in
Austria, Switzerland, Germany, Spain, France, United Kingdom, Italy, Luxembourg, Offshore
Allianz Volatility Strategy I EUR
Initial charge-
Annual charge0.7%
Min single investment£1,000,000
Min regular saving£0
Available in ISANo
Ongoing charge (OCF)0.7%
Total expense ratio (TER)0.7%
Bid price1332.85
Offer price1332.85
Mid price-
CurrencyEUR
Price updated17/02/2017
TypeIncome
Institutional or retail classInstitutional
Domicile-
Citi codeF4N2
Allianz Volatility Strategy I NAV EUR
Initial charge-
Annual charge0.7%
Min single investment£1,000,000
Min regular saving£0
Available in ISANo
Ongoing charge (OCF)0.7%
Total expense ratio (TER)0.7%
Bid price-
Offer price-
Mid price1332.85
CurrencyEUR
Price updated17/02/2017
TypeIncome
Institutional or retail classInstitutional
Domicile-
Citi codeF7AE
Allianz Volatility Strategy IT EUR
Initial charge-
Annual charge0.7%
Min single investment£1,000,000
Min regular saving£0
Available in ISANo
Ongoing charge (OCF)0.7%
Total expense ratio (TER)0.7%
Bid price1191.33
Offer price1191.33
Mid price-
CurrencyEUR
Price updated17/02/2017
TypeAccumulation
Institutional or retail classInstitutional
Domicile-
Citi codeMJM9
Allianz Volatility Strategy IT NAV EUR
Initial charge-
Annual charge0.7%
Min single investment£1,000,000
Min regular saving£0
Available in ISANo
Ongoing charge (OCF)0.7%
Total expense ratio (TER)0.7%
Bid price-
Offer price-
Mid price1191.33
CurrencyEUR
Price updated17/02/2017
TypeAccumulation
Institutional or retail classInstitutional
Domicile-
Citi codeF7AG
Allianz Volatility Strategy P EUR
Initial charge-
Annual charge0.7%
Min single investment£100,000
Min regular saving£0
Available in ISANo
Ongoing charge (OCF)0.75%
Total expense ratio (TER)0.75%
Bid price1187.36
Offer price1187.36
Mid price-
CurrencyEUR
Price updated17/02/2017
TypeIncome
Institutional or retail classInstitutional
Domicile-
Citi codeIXJ9
Allianz Volatility Strategy P NAV EUR
Initial charge-
Annual charge0.7%
Min single investment£100,000
Min regular saving£0
Available in ISANo
Ongoing charge (OCF)0.75%
Total expense ratio (TER)0.75%
Bid price-
Offer price-
Mid price1187.36
CurrencyEUR
Price updated17/02/2017
TypeIncome
Institutional or retail classInstitutional
Domicile-
Citi codeF7AH
Allianz Volatility Strategy P2 EUR
Initial charge2%
Annual charge1.2%
Min single investment£50,000
Min regular saving£0
Available in ISANo
Ongoing charge (OCF)1.24%
Total expense ratio (TER)1.24%
Bid price1140.29
Offer price1163.1
Mid price-
CurrencyEUR
Price updated17/02/2017
TypeIncome
Institutional or retail classInstitutional
Domicile-
Citi code0L86
Allianz Volatility Strategy P2 NAV EUR
Initial charge2%
Annual charge1.2%
Min single investment£50,000
Min regular saving£0
Available in ISANo
Ongoing charge (OCF)1.24%
Total expense ratio (TER)1.24%
Bid price-
Offer price-
Mid price1140.29
CurrencyEUR
Price updated17/02/2017
TypeIncome
Institutional or retail classInstitutional
Domicile-
Citi codeF7AI
Allianz Volatility Strategy P3 EUR
Initial charge-
Annual charge0.7%
Min single investment£100,000
Min regular saving£0
Available in ISANo
Ongoing charge (OCF)0.75%
Total expense ratio (TER)-
Bid price101.44
Offer price101.44
Mid price-
CurrencyEUR
Price updated17/02/2017
TypeIncome
Institutional or retail classInstitutional
Domicile-
Citi codeC0IE
Allianz Volatility Strategy P3 NAV EUR
Initial charge-
Annual charge0.7%
Min single investment£100,000
Min regular saving£0
Available in ISANo
Ongoing charge (OCF)0.75%
Total expense ratio (TER)-
Bid price-
Offer price-
Mid price101.44
CurrencyEUR
Price updated17/02/2017
TypeIncome
Institutional or retail classInstitutional
Domicile-
Citi codeC0ID
Allianz Volatility Strategy PT2 EUR
Initial charge2%
Annual charge1.2%
Min single investment£50,000
Min regular saving£0
Available in ISANo
Ongoing charge (OCF)1.24%
Total expense ratio (TER)1.24%
Bid price1134.97
Offer price1157.67
Mid price-
CurrencyEUR
Price updated17/02/2017
TypeAccumulation
Institutional or retail classInstitutional
Domicile-
Citi code0OI7
Allianz Volatility Strategy PT2 NAV EUR
Initial charge2%
Annual charge1.2%
Min single investment£50,000
Min regular saving£0
Available in ISANo
Ongoing charge (OCF)1.24%
Total expense ratio (TER)1.24%
Bid price-
Offer price-
Mid price1134.97
CurrencyEUR
Price updated17/02/2017
TypeAccumulation
Institutional or retail classInstitutional
Domicile-
Citi codeF7AJ
Data provided by

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