* 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 30 October 2014
Net assets (in M)
NAV acc. share
NAV distr. share
NAV in USD as of 10/17/2014 to 10/30/2014
Net assets (in M)
Global stock markets went through different paths in September with profit taking in the US but a renewed risk-on mode in Europe and in Japan. However, all implied volatilities trended higher. The 1yr implied volatility of the S&P 500 went up by 1.15% to 16%, the Euro Stoxx 50 by 0.5% to finish at 17.40%. The Nikkei and HSI went up too by 1.75% and 1.40%. In this context, the volatility sellers are less and less comfortable with their positioning. We have also seen few protection’s buyers flows. The directional driver had a positive contribution thanks to an average exposure of 1.74% during the month. However, the gains were partially eroded by costs linked to maintain a one-year average maturity in our options portfolio. With a low “vol-of-vol”, trading opportunities were rare this month. We continued to lengthen the portfolio’s average maturity by reducing our sensitivity to the June 2015 maturity in favour of December 2015. Taking into account all these parameters, the second engine is negative this month. We continue to sell a very small part of our Vega exposure on short-term maturities in order to reduce the carry. Moreover, we have increased again the exposure of the fund during the month when the volatility went again under 16% level. The Vega of the fund is at 1.76% vs. 1.58% in end of August. We think that the end of the year can continue to be nervous, taking into account the macro environment and also a change in investors behaviour. Indeed, we notice that some market players are eager to change quickly their allocation between the different asset classes.
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 , Germany , Spain , Finland , France , Greece , Luxembourg , Netherlands , Norway , Singapore , Sweden , Ireland , United Kingdom , Czech Republic
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