Amundi Funds Absolute Volatility World Equities - AU
Asset class / Geographical area:Absolute Return / World Minimum recommend investment period:3 years
Share Class Launch Date11/15/2007
Data as of 20 November 2014
Reference Currency : USD
Other dealing currency : EUR
Net assets (in M) : 1 024.84
NAV acc. share : 116.07
NAV distr. share : 104.12
Country of registration:Austria, Belgium, Czech Republic, Finland, France, Germany, Greece, Ireland, Italy, Japan, Luxembourg, Netherlands, Norway, Portugal, Singapore, South Korea, Spain, Sweden, Switzerland, United Kingdom
Sliding performance as of 20 November 2014 ( USD )
1 week *
1 Month *
1 Year *
3 Years *
5 Years *
Calendar performance ( USD )
Risk indicators as of 20 November 2014
* 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 inception 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.
Value as of 20 November 2014
Net assets (in M)
NAV acc. share
NAV distr. share
NAV in USD as of 11/10/2014 to 11/20/2014
Net assets (in M)
The markets were very active in October. Risk appetite completely evaporated in the first half of the month. The Euro Stoxx 50 thus fell 10% in the first half while the S&P500 returned to its May levels; this decline was accompanied by a sharp rise in short-term underlying volatilities (the VIX rose from 16% to 26%) but also in the one-year maturity where the volatility of the basket rose by 2.5% to a high of 19.6%. Investors returned to equities in the second half of the month, with a more than 8% rebound in the European index and the US index back to its all-time highs. As a result, risk aversion fell and the basket's one-year implied volatility was 17.2%, back near the levels observed at the beginning of the month, i.e., up only 0.1%.
The directional driver therefore made only a small contribution despite our average exposure of 1.34 for the month. However, this was a good time for active management.
The second driver was thus the main source of performance. Following the rise in volatilities, we sharply reduced our sensitivity from 1.76 to a low of 1. This enabled us to crystallize performance and feel less pain during the second half of the month. We also took advantage of the inversion of the volatility term structure – first, to increase the portfolio's average maturity and, second, to reduce carrying costs by selling some short-term volatility. The fund's sensitivity was increased at the end of the month and stands at 1.47 (mainly on the Dec 2015 maturity).
The third driver enabled us to improve performance due to our slight overweight on the US, which has had the most responsive volatility.
We maintain our scenario of a highly variable volatility regime in the coming months and continue to favor active management. The fund's exposure will therefore be increased again on any further decline in volatilities.
Over a minimum investment horizon of three years, the sub-fund aims to achieve a gross performance of 7% per annum within a framework of controlled risk. To reach this objective, the management team sets up an exposure to volatility of the world equity markets: positive when volatility is low and negative when volatility is high.
Distr. share : 15 November 2007
Acc. share : 15 November 2007
Amundi Luxembourg SA
CACEIS BANK LUXEMBOURG
Tax Category on Redemption
Tax Category on Distribution
Country of registration :
Austria , Belgium , Switzerland , Czech Republic , Germany , Spain , Finland , France , Greece , Luxembourg , Netherlands , Norway , Singapore , Sweden , United Kingdom , Ireland
Prices expressed in a currency other than the base currency of the portfolio are available for information purposes only.
Nothing contained in this site constitutes a solicitation or offer by any member of the Amundi to provide any investment advice or service or to purchase or sell any financial instruments. The information it contains aims to inform the subscriber by providing information on the UCITS supplemental to that appearing in the Information Memorandum. The material provided on this site is presented as of the date shown and "as is". Amundi does not expressly or impliedly warrant the accuracy of the information provided on this site and expressly disclaims any warranties of fitness of this site for any particular purpose. This material reflects the opinion of the management company at the date of printing. The material is based upon information that we consider reliable, but we do not represent it is accurate, complete, valid or timely and it should not be relied on as such for any particular purpose. Any subscription should be based solely on the Information Memorandum provided to subscribers prior to the subscription and/or available upon request.
Institutional Sub-Class (Sub-Class I): Shares of this sub-class are only available to institutionals subscribing for their own account or within the framework of a collective savings or any comparable scheme, as well as UCITS. As such this Sub-Class benefits from the reduced "taxe d abonnement" of 0,01%. The minimum investment in this Sub-Class is USD 500,000. Classic Sub-Class (Sub-Class C): Share of this sub-class are available to all investors. There is no minimum investment requirement in this sub-class.
Source : Amundi