Performance from 05 October 2005 to 06 September 2010 ( EUR )
Amundi Funds Arbitrage Inflation - C ( 6.57% over the period)
100 % EONIA COMPOUNDED ( 12.99% over the period)
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| Sliding performance as of 06 September 2010 ( EUR ) |
| |
YTD |
1 week * |
1 Month * |
1 Year * |
3 Years * |
5 Years * |
|
Fund
|
-1.82% | 0.20% | -0.22% | -1.80% | 5.11% | -- |
|
Benchmark
|
0.26% | 0.01% | 0.04% | 0.37% | 6.36% | -- |
|
Calendar performance ( EUR )
|
|
2006 |
2007 |
2008 |
2009 |
| Fund |
0.62% |
2.56% |
4.40% |
1.40% |
| Benchmark |
2.91% |
4.01% |
4.00% |
0.72% |
| Risk indicators as of 06 September 2010 |
| |
1 Year |
3 Years |
5 Years |
Volatility
(Volatility) |
1.28%
(0.01%)
|
1.47%
(0.24%)
|
-
(-)
|
|
Tracking Error Ex Post
|
1.28% |
1.44% |
- |
|
Information Ratio
|
-1.70 |
-0.28 |
- |
|
Sharpe ratio
|
-1.70 |
-0.27 |
- |
* Rolling performance : for funds that have been launched since less than 1 year or 3 years or 5 years, the performance showed in the table in the 1 year or 3 years or 5 years column is the performance since incentive of the fund.
All performance figures are calculated in your selected currency based NAV to NAV with gross income accumulated.
Past performance does not guarantee future returns. The value of an investment can rise or fall with market fluctuations, and you may lose the amount originally invested. The material is based upon information that we consider reliable as of the date shown, but we do not represent that it is accurate, complete, valid or timely, in particular any data communicated to us by a third party, and it should not be relied on as such for any particular purpose. All material is subject to change.
The fund performance is calculated net of investment management fees including commissions and custody fees. The benchmark performances are calculated with net dividend reinvested when applicable. Both performances for funds and benchmarks are calculated using internal software fed by external sources (predominantly Datastream).
The exchange rates used to convert the benchmark and investment funds are the rates published by WM/Reuters at 16:00 (London time) on the last day of the month.
Management comment
The net performance of CAAM Funds Arbitrage Inflation from 30/06/2010 to 31/07/2010 was +0.03%, compared to +0.04% of the capitalized EONIA.
Factors with a negative influence on performance: the short position in the nominal Japanese 10-year rate, with -2 bp, and the long position in the Australian 10-year rate, also with -2 bp.
Factors with a positive influence on performance: the position in short-term breakevens in the Eurozone, with 1 bp.
The market remains extremely volatile in a context of strong uncertainties about the potential for recovery of the world economy, about worsening liquidity in the summer and the presence of two opposing forces: deleveraging of banks, consumers, companies, etc., on the one hand, and economic stimulus policies, on the other. Tracking capital movements and market positioning continue to be essential elements for trading in this market.
These market uncertainties do not place in question our scenario of rising inflation forecasts in the medium term. However, the present crisis of confidence has generated volatility not only in the asset class, but also a grave worsening in liquidity conditions. In this setting, we stopped long breakeven positions in the United States in May 2010.
In July, we took profits in our long position in the Australian 10-year rate, with a sensitivity of 0.30 (entry at 5.64% and exit at +5.20%).
In the medium term, diminishing worries about the situation in the Eurozone should favor a rebound in breakevens owing to rising interest rates and thus increase liquidity. This, in turn, should be quite favorable to indexed bonds.
