Amundi Funds Absolute Volatility World Equities - AU
Asset class / Geographical area:Absolute Return / World Benchmark:None Minimum recommend investment period:3 years
Share Class Launch Date11/15/2007
Data as of 27 August 2015
Reference Currency : USD
Other dealing currency : EUR
Net assets (in M) : 815.59
NAV acc. share : 114.38
NAV distr. share : 102.59
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 27 August 2015
Net assets (in M)
NAV acc. share
NAV distr. share
NAV in USD as of 08/17/2015 to 08/27/2015
Net assets (in M)
Equity markets volatility decreased significantly in July after a spike at the beginning of the month. This movement is attributed to the agreement found on the Greek issue as well as the measures taken by the Chinese government to stop the dropping of the equity market in China. Equity markets ended the month of July in positive territory as the MSCI World increased by 1.73%. As a consequence, equity volatility normalised after a brief spike at the beginning of July. The VSTOXX volatility index (same indicator as the VIX but for the Euro Stoxx 50) finished the month at 19.3%, a decrease of 40%, after reaching 33.9% on the 7th of July, its highest intraday level over the last 3 years. The VIX lost 33% and finished at 12.1%.
The S&P 500 1yr IV decreased from 16.40% to 15.25%, the Euro Stoxx 50 from 21.20% to 18.85% and the Nikkei 225 by 35 basis points to 18.55%. Overall, the volatility of our global basket decreased by 130 basis points to 17.00%. In this context, due to our long volatility position with an average vega exposure of 1.48% during the month, the directional engine detracted from performance. Regarding the 1 month realised volatilities, the Euro Stoxx 50 dropped over 200 basis points to 23.5%, whereas the Nikkei 225 (18.7% vs. 17.3%) and the S&P 500 (11.9% vs. 11.6%, still very steady) were slightly up. The combination of reasonable vol of vol over the month, term structures less steepened than usual, and sufficient realised volatility in Asia and in Europe, compensated implementation costs. Hence, the second engine made a slightly positive contribution. Finally, our third engine of performance (geographical allocation) had a positive impact in July, due to our under exposure to the Euro Stoxx 50.
We continued to actively manage the fund, by slowly increasing our volatility exposure from +1.46% to +1.55% over the month. We may continue to increase this exposure in the event of another drop of volatility. Furthermore, we increased our exposure to the HSI and Nikkei 225 thus reducing the relative weight of the S&P 500. The current market conditions are similar to what we experienced during the last quarter of 2014 and are in line with our central scenario for the current year. We will thus continue to focus on 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.
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