Fact sheet: Amundi Arbitrage VaR 2

Fund information

Fund name
Amundi Arbitrage VaR 2 P
Fund company manager
Amundi Asset Management
Fund type
SIB
Fund manager(s)
Fund objective
The objective of the fund is, after deduction of on-going charges, to outperform capitalized EONIA, on a net basis over a minimum investment horizon of 1 year with a predetermined risk budget. The daily risk budget is measured by a maximum ex-ante weekly volatility of 0.25%, for an annualised ex post objective of between 1% and 2%. To achieve these goals, the portfolio management team blends strategic “top-down” and tactical “Bottom-up” views with short term tactical management, including arbitrages and relative value strategies, across fixed income and currency markets.
Benchmark
EONIA CAPITALISE (J) BASE 360
Investment style
Macro,Absolute Return
Investment method
Fixed Interest

Quick stats

1 Year return

-0.25 %

1 Year rank in sector

27/30

Sector

FO Hedge/Stru Prod - Fixed Int

Yield
-
Fund size

£ 190.5 m

FE Risk score

76

NAV
-
Discount/Premium
-
Gearing
-

Top in sector

Holdings snapshot

  • Hedge
    100%

Performance vs. Sector

Cumulative performance

1m6m1y3y5y
Fund-0.02 %0.22 %-0.25 %-0.82 %0.93 %
Sector0.27 %1.21 %2.75 %-10.67 %-14.69 %
Rank within sector23 / 3227 / 3327 / 3019 / 2421 / 22
Quartile th3 rd4 th4 th4 th4 th

Calendar performance

YTD-20172016201520142013
Fund0.15 %-0.76 %-0.39 %0.22 %1.46 %
Sector2.19 %1.7 %-14.45 %0.63 %-5.68 %
Rank within sector26 / 3224 / 2923 / 2620 / 228 / 22
Quartile th4 th4 th4 th4 th2 nd

Risk statistics

Alpha-0.39
Beta0.02
Sharpe-0
Volatility1.07
Tracking error6.33
Information ratio0.6
R-Squared0.01

Price movement

52 week high121.39
52 week low119.9
Current bid price0
Current offer price0
Current mid price120.99

Holdings by region

-

Holdings by sector

-

Holdings by asset type

  • 100% Hedge

Individual holdings

-