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 19 January 2017
Reference Currency : USD
Other dealing currency : EUR
Net assets (in M) : 1 003.99
NAV acc. share : 110.86
NAV distr. share : 99.43
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 19 January 2017
Net assets (in M)
NAV acc. share
NAV distr. share
NAV in USD as of 01/09/2017 to 01/19/2017
Net assets (in M)
The Italian constitutional referendum resulted - as anticipated - in the victory of the "No" camp. While this led to a new government, it did not trigger early elections. As a consequence the event did not cause any market turbulences. Similarly the expected 25bp rate hike by the FED did not take markets by surprise. Hence financial markets could focus on the positive news and ended the year on a very positive note. The European equity index Euro Stoxx 50 rose nearly 8%, its highest monthly gain of the year, which allowed to erase all the losses registered in the 1st semester. In this context, investor risk aversion assessed via the volatility of equity markets does not reflect any particular stress. Indeed the 1-month realised volatilities of the major indices remain very low (8.2% for the S&P 500, 11.1% for the Euro Stoxx 50 and 10.7% for the Nikkei 225). European implied volatilities are down over the month: the VSTOXX ended the year at 18.1%, more than 3 points below the level end of November. In the US, the VIX is slightly up, though still low at 14%, i.e. 4 points below its level at the beginning of the year. The Japanese index is the only one for which implied volatility is up, as the VNKY rose 1.8 points. The 1-year implied volatility of our global basket is slightly down in December (-0.1 points, with S&P 500 -0.15 at 16.1%, Euro Stoxx 50 -0.5 at 19.8%, Nikkei 225 +0.45 at 21.1%, HSI +0.3 at 18.95%). It ended the year at 18.2%, down 90 bps over the year. Nevertheless, the drop of volatilities over the month was smaller than one could have expected in light of the significant underlying equity market rebound. Many investors sought equity exposure via call options offering upside participation. These flows sustained implied volatility levels and prevented more significant drops. The directional engine had a negative contribution (-0.16%), due to our average volatility exposure of 1.55 over the month. Despite some Vega readjustments and the portfolio construction (choice to use to a large extent options with a maturity in excess of 1 year - June 2018 -, which resisted better) we could not offset the costs of carry. Thus the second engine also features a negative performance in December. We took advantage of the low volatility levels to significantly increase our exposure. The Vega stands at 1.60 at year end, a level not seen since summer 2015. The volatility sensitivity was predominantly increased via the European and Asian indices. We reopened a position on the HSCEI as a diversification to the HSI. The geographic allocation, which allowed to generate 5 bps this month, is as follows: 36% US, 35% Europe and 29% Asia. The portfolio is well positioned to benefit from 2017, which we expect to be similar to this year, i.e. with alternating episodes of stress and risk-on mode. Active management will again be crucial to limit the cost of being long volatility and possibly to generate performance, provided that periods of market stress are sufficiently frequent with strong volatility fluctuations, as was the case during the 1st half of 2016.
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