This episode explores how long‑volatility strategies can act as both a stabilising and return‑enhancing component in institutional portfolios. Using the Assenagon Alpha Volatility Fund as a case study, the discussion highlights how such strategies perform during market dislocations — including the fund’s gain of over 40% during the Covid‑19 crisis — and why long volatility can serve as an effective hedge when traditional assets come under pressure.
Long‑volatility strategies aim to benefit from rising market uncertainty and sharp increases in implied volatility. In this episode, the speakers explain how these strategies are constructed, how they behave across different market regimes and why they can provide meaningful diversification when equities and bonds struggle simultaneously.
The Assenagon Alpha Volatility Fund serves as a practical example: UCITS‑compliant, over EUR 1 billion in size, and managed by the same team since 2012. The conversation outlines how systematic arbitrage, derivatives expertise and disciplined risk management contribute to the fund’s resilience in crisis periods. Listeners gain insight into when long volatility shines, where its risks lie and how it can complement broader portfolio construction.
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👤 Speakers:
Daniel Danon, Head of Volatility Portfolio Management, Assenagon
Tobias Knecht, Head of Volatility Portfolio Management, Assenagon
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📌 Further information on participating companies:
Assenagon Asset Management – https://www.assenagon.com