Fact sheet: Amundi Abs VolArbtrg

Fund information
Fund name
Amundi Absolute Volatility Arbitrage AE Cap EUR
Fund manager company
Amundi
Fund type
Offshore Fund
Fund manager
  • Eric Hermittesince 02/10/2005
Fund objective
Amundi Funds Absolute Volatility Arbitrage targets a yearly yield of capitalised EONIA plus 2% net of costs, with a maximum ex-ante VaR of 4%. In pursuit of this aim the investment team carries out volatility arbitrage on shares, currencies, convertible bonds and interest rates. These investment strategies are implemented by means of derivatives used for the purposes of arbitrage, hedging and/or exposure. The minimum investment horizon is two years.
Benchmark
  • Eonia Compounded
Investment style
Volatility Arbitrage
Investment method
Mixed
Quick stats
1 Year return
-0.3%
1 Year rank in sector
48/123
Sector
FO Hedge/Stru Prod - Mixed
Yield
-
Fund size
£62m (£94m last year)
FE Risk score
?FE Risk Scores measure the riskiness of instruments relative to the FTSE 100 index of shares. Weekly volatility is measured over three years with recent behaviour counting more heavily than earlier behaviour. Cash-type investments will have scores close to zero. Funds will tend to have scores in the 0-150 range. The FTSE 100 is always scored at 100. There is no upper limit.
66
Top in this sector
Fund name1 Year
LFIS VisionPremiaOpps18.7%
Castellain Value17.6%
Avia Altus14.6%
Garraway Garr FT11.1%
Nordea 1 Alpha 1510.6%
...more in FO Hedge/Stru Prod - Mixed

Performance snapshot

Holdings snapshot

Performance vs Sector

Cumulative performance
 1 mth3 mth6 mth1 yr3 yr5 yr
Fund-0.2%0.1%-0.2%-0.3%-1.6%-1.7%
Sector-0.5%-1.2%-0.2%-2.1%3.2%6.9%
Rank within sector62 / 11644 / 14068 / 13748 / 12356 / 8257 / 68
Quartile3rd2nd2nd2nd3rd4th
Calendar performance
 YTD - 20162015201420132012
Fund-0.3%-0.3%-0.8%-1.3%1.3%
Sector-1.3%-0.6%5.1%1.4%1.9%
Rank within sector53 / 12452 / 10874 / 8955 / 8148 / 72
Quartile2nd2nd4th3rd3rd
Risk statistics
Alpha
?Alpha is a measure of a fund's over- or under-performance by comparison to its benchmark. If the Alpha is 5, the fund has outperformed its benchmark by 5%; so the greater the Alpha, the greater the outperformance.
-0.6
Beta
?Beta estimates a fund's volatility by comparison to that of its benchmark. A fund with a beta close to 1 means that the fund will move generally in line with the benchmark. Higher than 1 and the fund is more volatile than the benchmark and vice versa.
0.17
Sharpe
?This commonly-used measure calculates the level of return over and above the return of a notional risk-free investment, such as cash. The difference in returns is then divided by the fund's volatility. The resulting ratio is an indication of the amount of excess return generated per unit of risk.
-0
Volatility
?Volatility (or standard deviation), when applied to an investment fund, expresses its risk. It shows how widely a range of returns varied from the fund's average return over a particular period. For example, if a fund had an average return of 5%, and its volatility was 15, this would mean that the range of its returns over the period had swung between +20% and -10%.
1.39
Tracking error
?This measures the standard deviation of a fund's excess returns over the returns of an index or benchmark portfolio. As such, it can be an indication of 'riskiness' in the manager's investment style. A Tracking Error below 2 suggests a passive approach. At 3 and above the the manager will be deploying a more active investment style.
2.17
Information ratio
?This is a useful risk-adjusted measure of actively managed fund performance. It is calculated by deducting the returns of the fund's benchmark from the fund's overall returns, then dividing the result by its tracking error. The higher the Information Ratio the better. It is generally considered that a figure of 0.5 reflects a good performance, 0.75 very good, and 1.00 outstanding.
-0.79
R-Squared
?An indication of how closely correlated a fund is to an index or a benchmark. Values for R-Squared range between 0 and 1, with 0 indicating no correlation at all and 1 showing a perfect match. Values upwards of 0.7 suggest that the fund's behaviour is increasingly linked to its benchmark.
0.06
Price movement
52 week high115.5
52 week low113.39
Current bid price-
Current offer price-
Current mid price115.01
Region
1International100%
Industry sector
1Alternative Investment Strategies100%
Asset type
1Alternative Investment Strategies100%
Individual holdings
No data available.
Management
Fund manager group
Amundi
Fund manager company
Amundi
Fund type
Offshore Fund
Fund objective
Amundi Funds Absolute Volatility Arbitrage targets a yearly yield of capitalised EONIA plus 2% net of costs, with a maximum ex-ante VaR of 4%. In pursuit of this aim the investment team carries out volatility arbitrage on shares, currencies, convertible bonds and interest rates. These investment strategies are implemented by means of derivatives used for the purposes of arbitrage, hedging and/or exposure. The minimum investment horizon is two years.
Benchmark
  • Eonia Compounded
Investment style
Volatility Arbitrage
Investment method
Mixed
Fund manager
NameSinceBiography
Eric Hermitte02/10/2005Mr. Eric Hermitte serves as Portfolio Manager at Amundi Asset Management, Amundi Funds - Absolute Volatility Arbitrage and Amundi Dynarbitrage Volatilite M. Hermitte served as Portfolio Manager of Amundi Arbitrage Volatilite.
Compliance
Transparent for Austrian Tax, Transparent for Swiss Tax, Reporting Fund Status, UCITS IV Compliant
Domicile
No data available.
Fund for sale in
Austria, Belgium, Switzerland, Germany, Denmark, Spain, Finland, France, United Kingdom, Greece, Ireland, Italy, Luxembourg, Netherlands, Norway, Offshore, Portugal, Singapore, Sweden
Amundi Absolute Volatility Arbitrage AE Cap EUR
Initial charge4.5%
Annual charge0.4%
Min single investment£0
Min regular saving£0
Available in ISANo
Ongoing charge (OCF)-
Total expense ratio (TER)-
Bid price-
Offer price-
Mid price115.01
CurrencyEUR
Price updated30/11/2016
TypeAccumulation
Institutional or retail classRetail
Domicile-
Citi codeTM52
Amundi Absolute Volatility Arbitrage AE Cap USD
Initial charge4.5%
Annual charge0.4%
Min single investment£0
Min regular saving£0
Available in ISANo
Ongoing charge (OCF)-
Total expense ratio (TER)-
Bid price-
Offer price-
Mid price122
CurrencyUSD
Price updated30/11/2016
TypeAccumulation
Institutional or retail classRetail
Domicile-
Citi codeA0KT
Amundi Absolute Volatility Arbitrage AE Dis EUR
Initial charge4.5%
Annual charge0.4%
Min single investment£0
Min regular saving£0
Available in ISANo
Ongoing charge (OCF)-
Total expense ratio (TER)-
Bid price-
Offer price-
Mid price103.24
CurrencyEUR
Price updated30/11/2016
TypeIncome
Institutional or retail classRetail
Domicile-
Citi codeBVR0
Amundi Absolute Volatility Arbitrage AE Dis USD
Initial charge4.5%
Annual charge0.4%
Min single investment£0
Min regular saving£0
Available in ISANo
Ongoing charge (OCF)-
Total expense ratio (TER)-
Bid price-
Offer price-
Mid price109.51
CurrencyUSD
Price updated30/11/2016
TypeIncome
Institutional or retail classRetail
Domicile-
Citi code00U1
Amundi Absolute Volatility Arbitrage FE Cap EUR
Initial charge-
Annual charge0.9%
Min single investment£0
Min regular saving£0
Available in ISANo
Ongoing charge (OCF)-
Total expense ratio (TER)-
Bid price-
Offer price-
Mid price94.85
CurrencyEUR
Price updated30/11/2016
TypeAccumulation
Institutional or retail classRetail
Domicile-
Citi code07DM
Amundi Absolute Volatility Arbitrage FE Cap USD
Initial charge-
Annual charge0.9%
Min single investment£0
Min regular saving£0
Available in ISANo
Ongoing charge (OCF)-
Total expense ratio (TER)-
Bid price-
Offer price-
Mid price100.61
CurrencyUSD
Price updated30/11/2016
TypeAccumulation
Institutional or retail classRetail
Domicile-
Citi code07DN
Amundi Absolute Volatility Arbitrage H Cap EUR
Initial charge1%
Annual charge1.1%
Min single investment£0
Min regular saving£0
Available in ISANo
Ongoing charge (OCF)-
Total expense ratio (TER)-
Bid price-
Offer price-
Mid price111.71
CurrencyEUR
Price updated30/11/2016
TypeAccumulation
Institutional or retail classRetail
Domicile-
Citi codeTM54
Amundi Absolute Volatility Arbitrage H Cap USD
Initial charge1%
Annual charge1.1%
Min single investment£0
Min regular saving£0
Available in ISANo
Ongoing charge (OCF)-
Total expense ratio (TER)-
Bid price-
Offer price-
Mid price118.51
CurrencyUSD
Price updated30/11/2016
TypeAccumulation
Institutional or retail classRetail
Domicile-
Citi code00U3
Amundi Absolute Volatility Arbitrage IE Cap EUR
Initial charge2.5%
Annual charge0.5%
Min single investment£500,000
Min regular saving£0
Available in ISANo
Ongoing charge (OCF)-
Total expense ratio (TER)-
Bid price-
Offer price-
Mid price1209.81
CurrencyEUR
Price updated30/11/2016
TypeAccumulation
Institutional or retail classInstitutional
Domicile-
Citi codeTM48
Amundi Absolute Volatility Arbitrage IE Cap USD
Initial charge-
Annual charge0.5%
Min single investment£0
Min regular saving£0
Available in ISANo
Ongoing charge (OCF)-
Total expense ratio (TER)-
Bid price-
Offer price-
Mid price1283.37
CurrencyUSD
Price updated30/11/2016
TypeAccumulation
Institutional or retail classInstitutional
Domicile-
Citi code00U4
Amundi Absolute Volatility Arbitrage ME Cap EUR
Initial charge2.5%
Annual charge0.1%
Min single investment£0
Min regular saving£0
Available in ISANo
Ongoing charge (OCF)-
Total expense ratio (TER)-
Bid price-
Offer price-
Mid price111.01
CurrencyEUR
Price updated30/11/2016
TypeAccumulation
Institutional or retail classRetail
Domicile-
Citi codeDMD8
Amundi Absolute Volatility Arbitrage ME Cap USD
Initial charge2.5%
Annual charge0.1%
Min single investment£0
Min regular saving£0
Available in ISANo
Ongoing charge (OCF)-
Total expense ratio (TER)-
Bid price-
Offer price-
Mid price117.76
CurrencyUSD
Price updated30/11/2016
TypeAccumulation
Institutional or retail classRetail
Domicile-
Citi code00U5
Amundi Absolute Volatility Arbitrage OR Dis EUR
Initial charge-
Annual charge-
Min single investment£0
Min regular saving£0
Available in ISANo
Ongoing charge (OCF)-
Total expense ratio (TER)-
Bid price-
Offer price-
Mid price1010.32
CurrencyEUR
Price updated30/11/2016
TypeIncome
Institutional or retail classRetail
Domicile-
Citi codeFFEI
Amundi Absolute Volatility Arbitrage SE Cap EUR
Initial charge3%
Annual charge0.9%
Min single investment£0
Min regular saving£0
Available in ISANo
Ongoing charge (OCF)-
Total expense ratio (TER)-
Bid price-
Offer price-
Mid price113.38
CurrencyEUR
Price updated30/11/2016
TypeAccumulation
Institutional or retail classRetail
Domicile-
Citi codeTM53
Amundi Absolute Volatility Arbitrage SE Cap USD
Initial charge3%
Annual charge0.9%
Min single investment£0
Min regular saving£0
Available in ISANo
Ongoing charge (OCF)-
Total expense ratio (TER)-
Bid price-
Offer price-
Mid price120.27
CurrencyUSD
Price updated30/11/2016
TypeAccumulation
Institutional or retail classRetail
Domicile-
Citi code00U2
Data provided by

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