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 21 April 2017
Reference Currency : USD
Other dealing currency : EUR
Net assets (in M) : 876.56
NAV acc. share : 103.67
NAV distr. share : 93.00
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 21 April 2017
Net assets (in M)
NAV acc. share
NAV distr. share
NAV in USD as of 04/10/2017 to 04/21/2017
Net assets (in M)
Equity markets were extremely calm in March. European markets outperformed others, in particular the S&P 500 index, which suffered somewhat from Trump's failure to abolish the law on "Obamacare". Thus, the Euro Stoxx 50 NR surged by 5.7% while the US index ended the month flat at +0.12% and the Japanese equity market was slightly down by 0.4%. The catch up of European equities was nevertheless carried out with very low realised volatilities (6.9% for the Euro Stoxx 50 vs 9.2% in February). The small increase of the short-term implied volatility index VSTOXX (16.5% vs 16.3%) can be explained by the fact that markets still fear the political risk in relation to the outcome of the French presidential elections. However, the flows that we saw in the options market were more oriented towards the purchase of call options to participate to the potential upside of markets. Indeed, investors fear most a continuation of the European rally rather than a market reversal. These flows sustained short-term implied volatilities in Europe. On their side, the VIX and VNKY indices (respectively for the US and Japan) ended the month slightly down (12.4% vs 12.9% for the VIX and 18.6% vs 18.7% for the VNKY). The 1-year implied volatility of the global basket was highly impacted by strong selling flows, especially during the last week of the month. Indeed, it seems that the long leg of strategies being long volatility on European and Asian markets and short volatility on the US market was massively settled over the past days. These sellers, combined with regular flows coming from structured products with coupons - that continue to benefit from positive momentum - weighed heavily on long-term volatilities (2 years). This severe decline spread to the 1-year maturity. The 1-year implied volatility of the global basket ended the month at 15.8%, i.e. 1.1 point lower than at the end of February (-0.8 for the S&P 500 at 13.9%, -1.6 for the Euro Stoxx 50 at 17.1%; -1.55 for the Nikkei at 18.35%; -1.05 for the HSI at 16.3%; -1.54 for the HSCEI at 20.35%).
The directional engine contributed negatively (-2%) due to an average Vega of 1.82 in March. The difficulties encountered to replicate volatility during the first two months of the year continued in March. Indeed, the second engine suffered again from losses due to the high cost of carry on one side, and on the other side from the structure of our portfolio of options. We favoured longer maturities regarding our long volatility position and had a small short position on short dated options (May and June 2017) in order to mitigate the replication costs in the current difficult environment. These choices turned out to be disappointing over the past two months as the short-term volatilities resisted well whereas long-term volatilities collapsed. This flattening of the volatility term structure led to replication costs impacting the second engine. Our geographic allocation (3rd engine) in favour of Asia and to a lesser extent of Europe and at the expense of the US also contributed negatively (-0.12%), as the decrease in volatility was sharper in these two regions. We remain however confident in the portfolio's capacity to deliver performance in case of a market reversal. We maintained our global volatility exposure (Vega) at 1.78 and remain underweight compared to the grid. Our portfolio is very reactive to shocks thanks to its positioning in terms of options maturities and strikes. The real question is which trigger could lead to an increase in risk aversion: higher than expected increase of long-term rates, new prolonged decrease of oil price, tough negotiations around the Brexit, deceptions coming from the US regarding the implementation of the reforms promised by Trump's government? These are all elements that could trigger a sudden equity market stress and that are not taken into account in the level of equity volatilities as of today.
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