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 November 2015
Reference Currency : USD
Other dealing currency : EUR
Net assets (in M) : 711.99
NAV acc. share : 114.03
NAV distr. share : 102.27
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 November 2015 ( USD )
1 week *
1 Month *
1 Year *
3 Years *
5 Years *
Calendar performance ( USD )
Risk indicators as of 26 November 2015
* 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 November 2015
Net assets (in M)
NAV acc. share
NAV distr. share
NAV in USD as of 11/16/2015 to 11/27/2015
Net assets (in M)
The month was dominated by central bank activity, with dovish comments from the ECB and rate cuts by the Chinese central bank. All equity markets rebounded in October after two consecutive months of losses.
On the volatility front, as risk aversion collapsed, implied and realised volatilities decreased. 1-month realised volatilities reduced to 13% for the S&P 500 and 18% for the Euro Stoxx 50 and the Nikkei 225. The VIX index fell from 24.5% to 15% while the VSTOXX (equivalent of the VIX for the Euro Stoxx 50) lost close to 12 points, from 32% to 20.4%. 1-year implied volatilities were also on a steady downward trend over the month. The Global basket was down 3 points at 18.7%, below its level at the end of 2014. 1-year implied volatility of the S&P 500 decreased the most being down 3.45 points, Euro Stoxx 50 -2.8 points, Nikkei 225 – 2.15 points, HSI -1.95 points.
Our long volatility position suffered from this downward volatility trend with an average vega of 1.09 over the month. Thus the directional engine was down -3.28% in October. However, our decision to position the fund on the December 2016 maturity (i.e. around 15 months) as opposed to 12 months, limited the negative impact of the decrease in volatility. Hedging the cost of carry of our option positions by selling a small amount of short-term options, together with the dynamic management of our exposure throughout the month, generated a positive performance. Therefore and in line with our expectations, our second engine was the stronger performance contributor at +0.96%. Our choice to overweight Asia at the expense of Europe also added value. Thus the third engine was up +0.23%. We increased the vega exposure slightly over the month, from 1.02 to 1.18, and mainly on the Euro Stoxx 50. Our underweight on Europe was thus reduced. At the end of the month, our geographical allocation was as follows: 46% US, 27% Europe and 27% Asia. We will continue to dynamically adjust our exposure to market evolutions as our central scenario has not changed and our active management should continue to create value in this bumpy equity market environment.
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