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 23 March 2017
Reference Currency : USD
Other dealing currency : EUR
Net assets (in M) : 889.14
NAV acc. share : 105.69
NAV distr. share : 94.81
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 23 March 2017
Net assets (in M)
NAV acc. share
NAV distr. share
NAV in USD as of 03/10/2017 to 03/23/2017
Net assets (in M)
Equity markets were overall well oriented in February, driven - amongst others - by macro data reflecting an improving economic environment, a healthy rise of inflation and by President Trump's reassuring speech. Thus, the European index Euro Stoxx 50 NR rose 2.9%, while the US markets reached new highs with the S&P 500 TR up 4.0%. This ongoing appetite for equities comes along very low realised volatility (S&P 500 at 4.8%, Euro Stoxx 50 at 9.3%, Nikkei 225 at 13.7% and HSI at 9.8% in February). Therefore implied volatility indices also remain at very low levels (VIX at 12.9%). The VSTOXX even dropped further to 16.3%, down more than 1 point. 1yr implied volatility of the indices didn't react much. During the month, the 1yr implied volatility of the global basket fell to 16.4% before closing the month slightly down (-0.2 points) at 16.9% (S&P 500 -0.2 at 14.7%, Euro Stoxx 50 unchanged at 18.7%, Nikkei -0.5 at 19.9%, HSI unchanged at 17.35% and HSCEI +0.55 at 21.8%). The directional engine thus had a slightly negative contribution (-0.35%) due to an average sensitivity of 1.76 in February.
The big challenge this month was the replication of 1yr implied volatility in our options portfolio. Indeed, the second engine again suffered losses for two main reasons.
First: high costs of maintaining a long volatility position, due to very low realised volatility causing the loss of the majority of the time value of our options and steep term structures between the 9 and 15 month pillars leading to high costs of roll (to maintain an average maturity of 1 year).
Second: at the beginning of year we implemented a small short position on 3-month European volatility to mitigate the cost of carry. Yet, in recent days some investors implemented protection strategies on May and June maturities ahead of the French elections. Hence 3-month volatility strongly richened (+4 points) on the back of these flows compared to 1-month or 1-year maturities. Our short volatility position on this part of the curve weighed on the performance during the second part of February. However, we believe that this distortion of the market structure is currently exaggerated, we thus kept and even slightly increased our position.
Our global exposure was slightly increased with a sensitivity (Vega) at 1.78 at the end of the month. The breakdown of this sensitivity across maturities has changed, with for instance the opening of the December 2018 pillar on Europe and the US for around 10% of the global sensitivity. The allocation to the US was also increased to 39% thus reducing the underweight. The geographic allocation marginally mitigated the losses over the month via the HSCEI exposure, which is the only index that benefitted from a rising implied volatility over the month.
We are surprised by this very enthusiastic start of the year and the low risk aversion reflected in the implied volatility of equity markets (except for the May-June maturities in Europe). Investors focus exclusively on these elections, betting on the fact that things should calm down just afterwards, as was the case for the Brexit referendum, or following the election of Donald Trump. In these circumstances, we prefer to remain cautious by keeping our underweight compared to the grid, in order to mitigate the losses of being long Vega caused by the passage of time. However, our portfolio is well positioned in terms of option maturities and strikes to benefit fully from an unexpected market shock.
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