Amundi Funds Equity Europe Minimum Variance Citywire Maastricht April 18-19, 2013 Melchior Dechelette Head of Equity ThematicThis material is solely for the attention of "professional” investors (see more details and definitions at the end of the document).
Why risk efficient solutions ?Market cap weighted index is not diversified in terms of risks Sector Weight Energy 9.8% Materials 7.4% Industrials 9.2% Consumer Discretionary 9.6% Consumer Staples 9.1% Health Care 8.1% Financials 30.5% Information Technology 3.8% Telecommunication Services 6.5% Utilities 6.1% Sector weightings of the world market cap index - MSCI WorldSource : Amundi, MSCI Datastream - Weights of GICS1 sectors - december 2006 Citywire – April 2013 - page 3Market data are no reliable indicators for future market behaviours.
A low yield context calling for new strategiesImpact of low interest rates Make equities relatively more attractive Make classical diversification (bond/equity) framework ineffective Interest rates at 2%: how low can they go ? how high can they go ? Fixed Income diversification seems to be skewed towards negative outcome Our proposal: • reduce risk1 in the portfolio • diversify within the equity marketMarket data are no reliable indicators for future market behaviours. Citywire – April 2013 - page 41- No capital guarantee.
Market capitalization indexesEquity indexes are usually prone to: Sectors’ concentration Countries’ concentration Weights of sectors in global cap weighted index Weights of Japan in global cap weighted index35% 50% Oil & Gas Technology 45%30% Financial 40%25% 35%20% 30% 25%15% 20%10% 15% 10%5% 5%0% 0% 73 78 83 88 93 98 03 08 79 84 89 94 99 04 09Source: MSCI, Datastream. Data as of end December 2012. Citywire – April 2013 - page 5Market data are no reliable indicators for future market behaviours.
Market capitalization indexesEquity indexes are usually prone to: Stocks’ concentrationRisk analysis – MSCI Europe MSCI Europe – 436 stocks Contribution to 10% of risk budget on 5 stocks Company Name total risk 50% of risk budget on 47 stocksHSBC 3.0%BP 2.0%Santander 1.7%Total SA 1.7%Rio Tinto 1.6% Total 10.0%Source: MSCI, Datastream. Data as of end December 2012. Citywire – April 2013 - page 6Market data are no reliable indicators for future market behaviours.
With Amundi, aim for return with a lower riskAmundi Funds Equity Europe Minimum Variance Improve the efficiency of the equity exposure: lower risk and long term capital gains A three-pillar investment process focused on the risk reduction of the portfolio Manage fundamental risk Reduce Volatility Mitigate model riskSource: Amundi Citywire – April 2013 - page 7For illustrative purposes only.
Portfolio style exposures 60 40 20 0 -20 -40 -60 EU DivYld EU Growth EU Leverage EU Momentum -80 EU Profit EU Size EU Value EU Volatility-100 Aug-09 Feb-10 Aug-10 Feb-11 Aug-11 Feb-12 Aug-12 Feb-13Source: Amundi, Bloomberg, data as at end of March 2013 Citywire – April 2013 - page 8Market data are no reliable indicators for future market behaviours.
Attractive Performances Cumulative Annualized Sharpe Max Up Down 04/2009 - 03/2013 Volatility Return Return ratio Drawdown participation participationAmundi Funds Equity Europe 67.2% 14.5% 13.8% 1,01 -15.7% 68.3% 32.0%Minimum Variance - IE (net)MSCI Europe 62.7% 13.7% 18.7% 0.70 -24.3% 180 Amundi Fds Eq Europe Minimum Variance IE 170 160 MSCI Europe 150 140 130 120 110 100 90 Apr-09 Oct-09 Apr-10 Oct-10 Apr-11 Oct-11 Apr-12 Oct-12Source: Amundi. Net performance in EUR as at end March 2013. Daily data. Net performance of Amundi Funds Equity Europe Minimum Variance Citywire – April 2013 - page 9– IE (C). Past performance is no reliable indicator for future returns.For further details regarding performance, please refer to the Key Investor Information Document (KIID) of the sub-fund.
Benefits of Minimum Variance and risk asset allocationWith the same 10% risk budget you can invest in: Portfolio Balanced I: 50% MSCI Europe + 50% Barclays Euro Corp Portfolio Balanced II: 70% Amundi Fds Eq Eur Minimum Variance (net) + 30% Barclays Euro Corp 160 Balanced I Balanced II : +54.2% 150 Balanced II Balanced I: +43.3% 140 130 120 110 100 90 80 Apr-09 Oct-09 Apr-10 Oct-10 Apr-11 Oct-11 Apr-12 Oct-12Source: Amundi. Buy and hold strategies with inception date April 29th 2009. Amundi Funds Equity Europe Minimum Variance was activated on Citywire – April 2013 - page 1013 April 2012 following the merger with Structura Minimum Variance Europe which results from the absorption of Amundi Funds MinimumVariance Europe (created in April 2009) on 13 May 2011. ). Past performance is no reliable indicator for future returns.Market data are no reliable indicators for future market behaviours.
APPENDIXFind out more on our dedicated websitesAmundi Funds Equity Europe Minimum Variance http://minvar.amundi.com Citywire – April 2013 - page 11
DisclaimerThis document contains information about Amundi Funds Equity Europe Minimum Variance (the “Sub-Fund”), sub-fund of Amundi Funds (the “SICAV”), an undertakingfor collective investment in transferable securities existing under Part I of the Luxembourg law of 17 December 2010, organised as a société d’investissement à capitalvariable and registered with the Luxembourg Trade and Companies Register under number B68.806. The SICAV has its registered office at 5, allée Scheffer, L-2520Luxembourg.Amundi Funds has been authorised for public sale by the Commission de Surveillance du Secteur Financier in Luxembourg.Not all sub-funds of the SICAV will necessarily be registered or authorized for sale in all jurisdictions or be available to all investors.Subscriptions in the Sub-Fund will only be accepted on the basis of the SICAV’s latest prospectus and the Key Investor Information Document (KIID) of its latest annualand semi-annual reports and its articles of incorporation that may be obtained, free of charge, at the registered office of the SICAV or respectively at that of therepresentative agent duly authorized and agreed by the relevant authority of each relevant concerned jurisdiction.Consideration should be given to whether the risks attached to an investment in the Sub-Fund are suitable for prospective investors who should ensure that they fullyunderstand the contents of this document. A professional advisor should be consulted to determine whether an investment in the Sub-Fund is suitable.The value of, and any income from, an investment in the Sub-Fund can decrease as well as increase. The Sub-Fund has no guaranteed performance.Further, past performance is not a guarantee or a reliable indicator for current or future performance and returns. The performance data do not take account of thecommissions and costs incurred on the issue and redemption of units.This document does not constitute an offer to buy nor a solicitation to sell in any country where it might be considered as unlawful, nor does it constitute publicadvertising or investment advice.The information contained in this document is deemed accurate as at April 2013.This material is solely for the attention of institutional, professional, qualified or sophisticated investors and distributors. It is not to be distributed to the general public, privatecustomers or retail investors in any jurisdiction whatsoever nor to “US Persons”.Moreover, any such investor should be, in the European Union, a “Professional” investor as defined in Directive 2004/39/EC dated 21 April 2004 on markets in financialinstruments (“MIFID”) or as the case may be in each local regulations and, as far as the offering in Switzerland is concerned, a “Qualified Investor” within the meaning of theprovisions of the Swiss Collective Investment Schemes Act of 23 June 2006 (CISA), the Swiss Collective Investment Schemes Ordinance of 22 November 2006 (CISO) and theFINMA’s Circular 08/8 on Public Advertising under the Collective Investment Schemes legislation of 20 November 2008. In no event may this material be distributed in theEuropean Union to non “Professional” investors as defined in the MIFID or in each local regulation, or in Switzerland to investors who do not comply with the definition of “qualifiedinvestors” as defined in the applicable legislation and regulation.Amundi, French joint stock company (“Société Anonyme”) with a registered capital of € 584 710 755 and approved by the French Securities Regulator (Autorité desMarchés Financiers-AMF) under number GP 04000036 as a portfolio management company, 90 boulevard Pasteur -75015 Paris-France - 437 574 452 RCS Paris.www.amundi.com - www.amundi-funds.com Citywire – April 2013 - page 12