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 18 December 2014
Reference Currency : USD
Other dealing currency : EUR
Net assets (in M) : 977.17
NAV acc. share : 117.25
NAV distr. share : 105.33
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 18 December 2014 ( USD )
1 week *
1 Month *
1 Year *
3 Years *
5 Years *
Calendar performance ( USD )
Risk indicators as of 18 December 2014
* 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 18 December 2014
Net assets (in M)
NAV acc. share
NAV distr. share
NAV in USD as of 12/08/2014 to 12/18/2014
Net assets (in M)
Equities strongly rebounded in November (MSCI World up 2%). Volatilities moved differently depending on the regions: in the US the implied volatility went down as the realized crashed (4.2% for the S&P 500 during the month). In Japan there was a further rise in the market of more than 6% accompanied by a 2.6% increase in implied volatility. In Europe, the sharp rebound also came hand in hand with a rise in long-term implied volatility. As a result the implied volatility for the global basket of indices rose by 0.5% over the month to reach 17.7%. The directional engine had a positive contribution for the third consecutive month, thanks to an average vega exposure of 1.59. This unusual “spot up/vol up” move can be explained by strong demand for Call options. Some structured products, more precisely the hedges that the investment banks are forced to perform, have also had an impact on the long-term implied volatilities in Europe and Japan. As our portfolio consists mainly of protection options (exercise price below the current market level), we were unable to fully replicate these gains. This affected the second performance engine (vol of vol), which had a negative contribution over the month. Carry costs were relatively limited as a result of the hedge set up in October (sale of short-term options). The rolling costs adversely impacted the US market in particular. The only active management move we made was to increase the fund's sensitivity at the beginning of the month, from 1.47 to 1.67. As our geographic allocation is close to the target allocation, the third driver contributed very little. Getting close to the end of the year, the market can be quiet but we will favor a prudent approach and take the opportunity to increase our Vega exposure. At the end of November, our vega exposure was at 1.62% on December 2015 maturity (very close to 12 months).
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 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