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 22 February 2017
Reference Currency : USD
Other dealing currency : EUR
Net assets (in M) : 942.35
NAV acc. share : 107.40
NAV distr. share : 96.34
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 21 February 2017 ( USD )
1 week *
1 Month *
1 Year *
3 Years *
5 Years *
Calendar performance ( USD )
Risk indicators as of 21 February 2017
* 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 22 February 2017
Net assets (in M)
NAV acc. share
NAV distr. share
NAV in USD as of 02/09/2017 to 02/22/2017
Net assets (in M)
Equity markets were largely trendless and barely volatile in January. The European index Euro Stoxx 50 was down 1.7% whereas the US market reached new highs (S&P 500 +1.9%) and Japan is almost flat (Nikkei 225 -0.4%). The strong dispersion of sector performances led to very low realised volatility of major indices this start of the year (S&P 500 at 6.1%, Euro Stoxx 50 at 10.2% and 16.4% for the Nikkei 225 in January). In this context, implied volatilities were down for all indices and across the entire maturity range. The VSTOXX ends down 0.7 points at 17.4% despite the market being down, while the VIX, for the US, sheds over 2 points at 12%. The 1-year implied volatility of our global basket dropped 1.1 points (S&P 500 -1.2% ; Euro Stoxx 50 -1.1% ; Nikkei 225 -0.7% ; HSI -1.6% ; HSCEI -1.95%) and reached near a 2 year low at 17.1%. Medium term volatilities remained resilient at the end of last year, sustained by strong demand, which came from investors massively seeking upside exposure via call options and from hedging activity in connection to maturing structured products. The start of the year showed the flipside, with the retracement of volatility significantly hurting the portfolio. The directional engine contributed negatively (-1.83%) due to our average Vega exposure of 1.66 over the month. The second engine ("active management") did not allow to offset the costs of being long volatility and thus increased the loss over the month. Indeed, the downward move of volatility was fairly regular and did not provide opportunities for active trading. Furthermore, replication costs rose due to extremely low realised volatility (high cost of carry) and due to the steepening of the term structure throughout the 4th quarter of 2016, which led to costs of roll (i.e. cost of maintaining a 1-year average maturity) penalising again performance. We took advantage of the rising risk appetite to increase slightly our volatility exposure at attractive levels. At the end of January the Vega stands at 1.71 after reaching 1.76 during the month. The geographic allocation did not change much this month, with Asia overweight at the expense of the US (37% US ; 34% Europe ; 29% Asia). Within Asia, we increased the weight of China to 9%, with a higher exposure to the HSCEI than the HSI. Indeed the former reached very attractive volatility levels from a historic perspective. So far markets do not seem wary of upcoming events in both Europe and the US. Nevertheless some investors seize the current low volatility levels to protect their equity portfolios. Rising uncertainties surround in particular the implementation of Trump's economic programme and the outcome of upcoming elections in various European countries. This reinforces our belief that markets are currently too complacent and that turmoil lies ahead, potentially in the coming weeks.
The sub-fund aims to achieve a positive return in any type of market condition (absolute return strategy). Specifically, the sub-fund seeks to outperform (after applicable fees) the USD LIBOR 1-month index + 3% a year over any given 3- year period, while offering controlled risk exposure.
Distr. share : 15 November 2007
Acc. share : 15 November 2007
Amundi Luxembourg SA
CACEIS Bank, Luxembourg Branch
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 Asset Management 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 Asset Management 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 Asset Management