Amundi Absolute Volatility World Equities

Investment Objective

To achieve a positive return in any type of market condition. The sub-fund seeks to outperform USD LIBOR 1M +3%. The investment team analyses market volatility patterns to determine the direction and extent of its volatility exposure: positive exposure when volatility is low and anticipated to rise, negative exposure when volatility is high and anticipated to decline. It also seeks to benefit from short term fluctuations of volatility (“volatility of the volatility”).

Reference Index

None

Latest Meeting Note

Meeting Note 02 Jun 2014

The fund targets returns of 7% p.a. through a multi strategy investment process designed to exploit the mean reverting characteristics of volatility. The fundamental premise is to buy volatility when it is low and to sell when it is high... Read more

The fund targets returns of 7% p.a. through a multi strategy investment process designed to exploit the mean reverting characteristics of volatility. The fundamental premise is to buy volatility when it is low and to sell when it is high. The first driver of returns is this directional exposure to volatility, which is then supplemented by two further return engines — the volatility of volatility as well as tactically exploiting shifts in volatility between geographic regions. At points in the market cycle this strategy has worked extremely well with the fund returning over 25% in 2008 and 5% in 2011. However with aggressive monetary stimulus keeping volatility at low levels the strategy has faced a challenging backdrop, and more recent returns have disappointed. As these extraordinary measures are withdrawn we believe this will allow volatility to normalise which should bode well for the strategy. Over time the Fund has exhibited negative correlation to equity markets and has acted as a good diversifier to broader portfolios. We regard the Fund as a valuable instrument to gain exposure to volatility in a daily dealt UCITS format

Performance

JAN FEB MAR APR MAY JUN JUL AUG SEP OCT NOV DEC YTD
2023 0.5 1.0 0.0 0.5 0.2 0.7 0.2 0.1 0.4 0.6 0.6 0.2 0.4
2022 0.3 0.5 0.0 0.1 0.6 0.7 0.7 0.9 0.6 0.1 0.0 0.4 1.0

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