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 27 May 2016
Reference Currency : USD
Other dealing currency : EUR
Net assets (in M) : 1 315.30
NAV acc. share : 115.32
NAV distr. share : 103.43
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 May 2016
Net assets (in M)
NAV acc. share
NAV distr. share
NAV in USD as of 05/17/2016 to 05/27/2016
Net assets (in M)
Risk appetite has been fairly volatile over the month. While there was a strong rebound around mid-April, it was preceded and followed by investor concerns about the global economic environment. Market sentiment was mostly driven by the evolution of exchange rates versus the US Dollar. Ultimately equity markets ended in positive territory for the second month in a row (MSCI World +1.4%). One month realised volatilities were up across the board (22.2% vs 18.6% in March for the Euro Stoxx 50, 32.6% vs 21% for the Nikkei 225 and 10.3% vs 9% for the S&P 500) and thus also pushed short term implied volatilities higher (VIX at 15.7% vs 13.95%, VSTOXX at 24.05% vs 23.45% and VNKY at 27.55% vs 22.7%). The 1-year implied volatility of our global basket followed suit rising from 18.8% to 19.5% in April (+75bps for the S&P 500, +50bps for the Euro Stoxx 50 and +95bps on the Nikkei 225). Our long exposure to volatility with an average sensitivity of +1.05 benefitted from the overall rise in risk aversion. Hence the directional engine generated a performance of +0.74%. The up and down fluctuations of volatility (min/max range of 1.2 points) allowed us to frequently adjust our exposure and thus to capture these swings providing for a positive contribution of the second performance engine. The volatility sensitivity stands at +1.07 at end of April, fairly in line with the level at the end of March. The average maturity of our exposure has been slightly increased as we sold our residual December 2016 positions and replaced them with longer maturities. The overweight on Asia and Europe remains, with Japan representing 25% and the Euro Stoxx 50 33%. This choice had a marginal impact on the performance of the third engine this month (+0.01%). In the current environment, costs associated with the implementation of our exposure (cost of roll and cost of carry) remain negligible. Thus, in line with our central scenario, active management has been the main performance engine since the beginning of the year.
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