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 October 2016
Reference Currency : USD
Other dealing currency : EUR
Net assets (in M) : 1 274.87
NAV acc. share : 114.40
NAV distr. share : 102.61
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
* 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 October 2016
Net assets (in M)
NAV acc. share
NAV distr. share
NAV in USD as of 10/06/2016 to 10/20/2016
Net assets (in M)
In September stock markets went through a series of up and down swings and ended the month without any clear trend (+0.4% for the MSCI World). Nevertheless the realised volatility of the various indices did rise versus end of August levels (15.2% for the S&P 500, 17.1% for the Euro Stoxx 50 and 16.1% for the Nikkei 225). Implied volatilities in turn remained rather stable on both, short maturities (VIX -0.1 points to 13.3%, VStoxx +0.4 points at 19.8% and VNKY -0.6 points at 22.1%) and the medium term. Thus the 1-year implied volatility of our global basket receded to 18.2% (S&P 500 at 16.05%, Euro Stoxx 50 at 20.4%, Nikkei 225 at 20.35% and HSI at 19%). It has mostly been dragged down by the Japanese index, for which volatility lost 1.3 points over the month. The directional engine (-0.39%) was one of the detractors, due to the average volatility exposure of 1.31 in September. Costs of carry also weighed on the performance. They penalised the strategy as realised volatility turned out to be lower than anticipated.
In light of the rather calm environment, we have once again increased the average maturity of our options portfolio although the shape of the term structure was less attractive than at the beginning of the year. Furthermore as implied volatility evolved in a narrow range (18.1% to 19.5% over the month), the environment has not been conductive to our active management. Consequently the volatility sensitivity of the fund did not move much (between 1.25 and 1.36) and did not allow us to compensate the costs with active management. Regarding the geographic allocation, the overweight Asia via the HSI has been marginally profitable (+0.03%). This position is being maintained at the expense of the US.
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 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