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 September 2016
Reference Currency : USD
Other dealing currency : EUR
Net assets (in M) : 1 412.12
NAV acc. share : 114.72
NAV distr. share : 102.89
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
Sliding performance as of 26 September 2016 ( USD )
1 week *
1 Month *
1 Year *
3 Years *
5 Years *
Calendar performance ( USD )
Risk indicators as of 26 September 2016
* 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 September 2016
Net assets (in M)
NAV acc. share
NAV distr. share
NAV in USD as of 09/13/2016 to 09/27/2016
Net assets (in M)
Stock markets were extremely quiet in August, despite the anticipations of some market participants. The realised volatility of the S&P 500 index fell to 5.9% over the month, among the lowest levels observed in the past 20 years. The leading European index Euro Stoxx 50 was not spared as its 1-month realised volatility also dropped to a low level (14.8%) compared to previous months. Hence stock markets followed different paths according to the geographic region: while they were slightly up in the Eurozone and in Japan, they remained flattish in the US and globally.
This being said, risk aversion, measured in terms of implied volatility did not collapse. Demand for protection, which still persists with some investors, coupled with cautiousness of volatility sellers, provided the ground for implied volatility to remain near its end of July level. The 1-month implied volatility index VStoxx ended the month at 19.4% down 0.8 points; the VIX index for the US market, rose even 1.6 points to 13.4%. 1-year implied volatilities also remained fairly stable over the month (+0.1 points for the S&P 500 at 16%, -0.1 for Europe at 20.5%, -0.35 for Japan at 21.65%, -0.8 for the HSI at 17.95%). Therefore the directional engine had no contribution to performance in August, despite an average volatility sensitivity of 1.3 over the month. The negative return comes primarily from the cost of carry, which penalised the strategy due to the very low realised volatility. Furthermore the contained fluctuations of the implied volatility did not allow a sufficiently active management to compensate the costs. Our geographic allocation also detracted from performance this month (-0.05%) due to our overweight Asia and the exposure to the HSI in this region. The fund’s sensitivity to 1-year implied volatility (Vega) was again increased and now stands at 1.34. Upcoming events (central bank interventions, referendum in Italy, OPEP meeting, US presidential elections, …) suggest that the last quarter might turn out much more turbulent than the summer. However, we do not expect a deterioration of the macro-environment. Hence any new volatility spike will be a good opportunity to take some profits.
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