* 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 29 April 2016
Net assets (in M)
NAV acc. share
NAV distr. share
NAV in USD as of 04/18/2016 to 04/29/2016
Net assets (in M)
Communications by central banks triggered a new euphoria for risky assets reflected by good performance from both corporate bonds (strong credit spread tightening) as well as equity markets. Thus the MSCI World index rose in excess of 6.5% over the month. In this context realised volatilities of equity indices receded in March (18.6% vs 34.4% in February for the Euro Stoxx 50, 21.0% vs 43.4% for the Nikkei 225 and 9.0% vs 19.4% for the S&P 500). The short term implied volatility indices followed the same downward trend (VIX at 13.95% vs 20.55%, VSTOXX at 23.45% vs 29.75% and VNKY at 22.7% vs 34.85%). In line with these, 1yr implied volatilities also featured a steady decline. The implied volatility of our Global basket fell from 22.1% to 18.8% at the end of the month, which is below the level at the start of the year. Thus the directional engine was the main detractor to performance (-2.64%) due to our long volatility exposure of +0.8 on average. The steady decline of implied volatility did not allow us to generate a positive performance through the second engine. Costs of carry and costs of maintaining an average maturity of 1yr remained contained and have only marginally affected the fund this month. As volatility returned to lower levels, we significantly increased the volatility exposure from +0.61 to +1.05, mainly by adding on Europe and Asia. This results in an underweight US at 45%, while Europe is at 31% and Asia at 24%. The first quarter highlighted how nervous markets can be and that an active management of the volatility exposure is necessary to generate positive performance over the medium term. This is what we aim to achieve by regularly modifying our vega exposure up- and downward to capture volatility spikes induced by market stress. We maintain our central scenario and stick to our active management.
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.
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