Fact sheet: Candriam Index Arbitrage

Fund information
Fund name
Candriam Index Arbitrage C
Fund manager company
Candriam France
Fund type
No data available.
Fund managers
  • Mr. Emmanuel Terrazsince 08/09/2003
  • Mr. Romain Vermontsince 31/07/2013
  • Mr. Olivier Rosesince 30/06/2012
Fund objective
The Fund aims to achieve on the minimum investment period a higher performance than the EONIA.
Benchmark
  • EONIA
Investment style
Arbitrage
Investment method
Fixed Interest
Quick stats
1 Year return
0.6%
1 Year rank in sector
16/23
Sector
FO Hedge/Stru Prod - Fixed Int
Yield
-
Ongoing charge (OCF)
?A fund’s ongoing charges figure (OCF) is similar to the old-style total expense ratio. It reflects the annual charge to investors in the fund, in percentage terms, but does not include extra performance-related fees (where these are levied) or the fund’s trading expenses on its underlying investments.
0.64%
Fund size
£966m (£1,413m 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.
67
Top in this sector
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III Relative Val Credit Strats6.7%
...more in FO Hedge/Stru Prod - Fixed Int

Performance snapshot

Holdings snapshot

  • Europe52.8%
    North America47.2%
  • Others5.6%
    Consumer Staples4.1%
    Energy2.9%
    Consumer Discretionary2.6%
    Health Care2.1%
  • No data available.

Performance vs Sector

Cumulative performance
 1 mth3 mth6 mth1 yr3 yr5 yr
Fund-0%0.5%0.5%0.6%0.5%2.8%
Sector-0.3%0.5%1.2%2.3%-12.6%-12.8%
Rank within sector15 / 2212 / 2415 / 2416 / 2313 / 1712 / 14
Quartile3rd2nd3rd3rd4th4th
Calendar performance
 YTD - 20172016201520142013
Fund-0.1%0.9%0.2%-0.4%1.4%
Sector-0.1%1.7%-14.4%0.6%-5.7%
Rank within sector12 / 1815 / 2313 / 2015 / 1610 / 15
Quartile3rd3rd3rd4th3rd
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.
0.38
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.
0.03
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%.
0.82
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.
6.11
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.
0.78
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 high1369.45
52 week low1350.26
Current bid price-
Current offer price-
Current mid price1367.84
Region
1Europe52.79%
2North America47.21%
Industry sector
1Others5.58%
2Consumer Staples4.11%
3Energy2.91%
4Consumer Discretionary2.57%
5Health Care2.13%
6Materials1.6%
7Industrials1.42%
8Utilities1.08%
9Information Technology1.02%
Asset type
No data available.
Individual holdings
No data available.
Management
Fund manager group
No data available.
Fund manager company
Candriam France
Fund type
No data available.
Fund objective
The Fund aims to achieve on the minimum investment period a higher performance than the EONIA.
Benchmark
  • EONIA
Investment style
Arbitrage
Investment method
Fixed Interest
Fund managers
NameSinceBiography
Mr. Emmanuel Terraz08/09/2003Emmanuel Terraz has been deputy head of alternative strategies at Candriam since 2013. He began his career as an index arbitrage trader at Société Générale in 1997, moving to Barclays Capital three years later to be head of index arbitrage. In 2003 he joined Candriam as head of index arbitrage management, and became head of quantitative alternative strategies in 2009. He took up his current position in 2013. Emmanuel holds engineering degrees from the Ecole Polytechnique and the Ecole Supérieure d'Electricité, both in France. He also has a master in statistics from the University of Paris VII.
Mr. Romain Vermont31/07/2013
Mr. Olivier Rose30/06/2012
Compliance
Transparent for Austrian Tax, Transparent for Swiss Tax, Distributor Status, Reporting Fund Status, UCITS IV Compliant
Domicile
No data available.
Fund for sale in
Austria, Switzerland, Germany, Spain, Finland, France, United Kingdom, Ireland, Italy, Luxembourg, Netherlands, Offshore
Candriam Index Arbitrage C
Initial charge1%
Annual charge0.6%
Min single investment£0
Min regular saving£0
Available in ISANo
Ongoing charge (OCF)0.64%
Total expense ratio (TER)-
Bid price-
Offer price-
Mid price1367.84
CurrencyEUR
Price updated13/01/2017
TypeAccumulation
Institutional or retail classInstitutional
Domicile-
Citi codeB3M2
Candriam Index Arbitrage R
Initial charge1%
Annual charge0.6%
Min single investment£0
Min regular saving£0
Available in ISANo
Ongoing charge (OCF)0.64%
Total expense ratio (TER)-
Bid price-
Offer price-
Mid price-
CurrencyEUR
Price updated01/01/1900
TypeAccumulation
Institutional or retail classRetail
Domicile-
Citi codeFN0P
Candriam Index Arbitrage RS
Initial charge1%
Annual charge0.15%
Min single investment£150,000,000
Min regular saving£0
Available in ISANo
Ongoing charge (OCF)0.19%
Total expense ratio (TER)-
Bid price-
Offer price-
Mid price1012.58
CurrencyEUR
Price updated13/01/2017
TypeAccumulation
Institutional or retail classInstitutional
Domicile-
Citi codeFN0Q
Candriam Index Arbitrage V
Initial charge1%
Annual charge0.4%
Min single investment£25,000,000
Min regular saving£0
Available in ISANo
Ongoing charge (OCF)0.44%
Total expense ratio (TER)-
Bid price-
Offer price-
Mid price1020.3
CurrencyEUR
Price updated13/01/2017
TypeAccumulation
Institutional or retail classInstitutional
Domicile-
Citi codeF9JL
Candriam Index Arbitrage Z EUR
Initial charge-
Annual charge0.06%
Min single investment£0
Min regular saving£0
Available in ISANo
Ongoing charge (OCF)0.1%
Total expense ratio (TER)-
Bid price-
Offer price-
Mid price1506.12
CurrencyEUR
Price updated12/01/2017
TypeAccumulation
Institutional or retail classInstitutional
Domicile-
Citi codeKVT2
Data provided by

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