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  • This chart illustrates how Amundi Funds Equity Statistical Arbitrage can be complementary to other funds like Amundi Volatility World for example. It also proves that the fund offers some diversification possibility to investors. ??????????
  • This chart illustrates how Amundi Funds Equity Statistical Arbitrage can be complementary to other funds like Amundi Volatility World for example. It also proves that the fund offers some diversification possibility to investors. ??????????

Amundi   citywire montreux may 2011 Amundi citywire montreux may 2011 Presentation Transcript

  • Amundi Funds Equity Statistical Arbitrage (EUR) Long Short Strategy on Global Equities Alexandre Drabowicz, Julia Kung Product Specialists Citywire Montreux 11 - 13 May 2011 This material is solely for the attention of “ professional ” investors (see more details and definitions at the end of the presentation).
  • Investment Case: Absolute return UCITS
    • Amundi Equity Arbitrage team
      • Investment team run by Olivier Avertin since 2007
      • Investment process implemented in January 2008
          • Eurohedge Awards 2008 nominee under new fund of the year 1
      • Assets under management: EUR 231 million
    • Strong expected growth in Absolute Return
      • Flows in 2011: + € 140 billion expected 2
      • 55% of investors willing to increase their L/S equity allocation 2
    • Significant demand for Long/Short Equity strategy
      • Wide offer on European Long/Short equity but smaller offer on the Global Long/Short equity universe
      • Amundi Funds Equity Statistical Arbitrage (EUR) is a global market neutral sub-fund
    1 Source: EuroHedge for the French domiciled fund 2 Source: Deutsche Bank, February 2011
  • Amundi Funds Equity Statistical Arbitrage (EUR) Behavioural finance High & daily High volatility / Dispersion Investment Universe Performance Driver Turnover Cyclicity of Alphas Large caps 1 with high liquidity Source: Amundi, as of 31/03/2011- Given for illustrative purpose only 1 Current capitalization applied. Please note that no restriction in terms of capitalization exists in the Prospectus. Accordingly, this allocation on Large cap may be changed without prior notice to another capitalization 2 Current investment universe, may be changed without prior notice, please refer for further details about universe to the prospectus of Amundi Funds  
      • Performance objective : Eonia +4%
      • Volatility (Ex post) Target: 4-6%
      • A UCITS III sub-fund with daily liquidity
      • US and European equities universe 2
      • Strategy with low to zero correlation with major assets classes
      • An attractive addition to a portfolio due to diversification and decorrelation benefits
      • Simple portfolio construction with an active risk management
      • A real Market Neutral Portfolio
    Amundi Funds Equity Statistical Arbitrage (EUR) Launch date: December 2008 AUM :€127M
  • Table of contents
    • Investment process
    • Investment decisions: examples
    • Key Benefits
    • Performance
  • Performance engines: Statistical Arbitrage
      • Objective: Long/Short equity strategy, market neutral
        • To achieve the objective, three categories of strategies may be used: systematic stock picking strategy, global macro strategy, tactical alpha strategy
      • Universe
        • US & European equities 1
        • Performance swaps (CFD) and futures to implement short positions
      • Performance engines
        • Behavioural finance: arbitrage mispricing in price or return
        • Dynamic allocation between momentum and mean reverting adapted to market structure
        • Active management of risk to keep stable volatility
    Mean Reverting: “ Selling outperformers & buying laggards” Equity universe Sell outperformers Sort by mid term performance criteria Buy underperformers Buy of equities with high momentum Sort by mid term performance criteria Momentum: “ Trend Following” Given for illustrative purpose only 1 Current investment universe, may be changed without prior notice, please refer for further details about universe to the prospectus of Amundi Funds  
  • Investment process Step 2 Dynamic allocation Step 3 Risk monitoring Discretionary Risk Hedging Relative weighting of each strategy according to the market structure Global Long Short market neutral portfolio Risk concentration analysis Amundi Funds Equity Statistical Arbitrage (EUR) final portfolio Step 4 Discretionary hedging Step 1 Systematic stock-picking MEAN REVERTING strategy Long Short portfolio ± 250 positions Investment universe: 1,000 stocks MOMENTUM strategy US stocks 1 European stocks 1 Given for illustrative purpose only 1 Current investment universe, may be changed without prior notice, please refer for further details about universe to the prospectus of Amundi Funds   MEAN REVERTING strategy MOMENTUM strategy MEAN REVERTING strategy MOMENTUM strategy
  • A dynamic allocation based on systematic market monitoring
    • The risk allocation between Mean Reverting and Momentum strategies is driven by the Volatility & Dispersion Indicator
    80% MR 20% MOM 80% Momentum 20% Mean Reverting 50% Momentum 50% Mean Reverting Low volatility & dispersion High volatility & dispersion 1 3 2 Different levels of risk allocation adjustment: 3 1 2 Given for illustrative purpose only Source: Amundi. The “Dispersion & Volatility Indicator” tool is used by the management team on an indicative basis only Past behaviours do not prejudge future behaviours
  • Table of contents
    • Investment process
    • Investment decisions: examples
    • Key Benefits
    • Performance
  • 2008: special market, special year Given for illustrative purpose only Source: Amundi. The “Dispersion & Volatility Indicator” tool is used by the management team on an indicative basis only Past behaviours do not prejudge future behaviours
    • Early 2008: change of market structure
      • Dynamic allocation: switched to 80% mean reverting (MR) in Europe in Feb’08, U.S. May’08
      • Rigorous implementation of signal: market structure more adapted
      • New allocation allowed for stronger performance vs. a balanced 50-50 Momentum/MR (+150 bps)
    Feb08: Europe Switch to MR May08: US Switch to MR Volatility and Dispersion indicator
  • 2008: special market, special year Source: Amundi, Bloomberg, * Based on French Domiciled fund Given for illustrative purpose only Past behaviours do not prejudge future behaviours
    • September 2008: deleveraging prior to Lehman
      • Strategy records abnormal daily returns: warning signal
      • High correlation with Top/Down axis: warning signal
      • Very low stock picking contribution due to high correlation between individual stocks
      • Decision to reduce overall leverage by 3
      • Portfolio downsizing implemented in a single session
      • Drawdown experienced limited to -3.63% *, 3 times more potentially if leverage was kept constant
    Unusual daily returns
  • 2009: difficult market conditions Source: Amundi, Bloomberg, Distribution of monthly rolling returns- weekly data from January 2008 to December 2009 Given for illustrative purpose only Past behaviours do not prejudge future behaviours
    • Balanced risk allocation but extreme market behavior
      • Dynamic allocation switched to 50-50 in Q3 2009 (U.S.) and Q4 2009 (Europe)
      • Equity markets experienced a 60% bounce: 1% probability since 1970
      • Under-estimated the market rally, no hedging was effective
      • Statistical arbitrage models are not calibrated for extreme market behavior
    April / July 2009 September 2008
  • 2009: difficult conditions for both models Source: Amundi, Bloomberg Given for illustrative purpose only Past behaviours do not prejudge future behaviours
      • Volatile markets not favorable for spotting trends
      • Stocks that had strongest falls in 2008 were the ones which rebounded most in Q1 2009
      • Market bounce too strong for mean reverting strategies to be effective
      • In 2009, mean reverting was only effective beyond 6 months (vs. 1-3 months in “normal” markets)
      • In 2009, momentum was only effective over 3 months (vs. 6-12 months in “normal” markets)
      • Example on Peugeot/Daimler intra-sector trade shows challenging trading horizons
    Mean Reverting behavior over 6 months: no momentum visible Momentum behavior very short term, no mean reverting taking place short term 2008 2009
  • Table of contents
    • Investment process
    • Investment decisions: examples
    • Key Benefits
    • Performance
  • Ability to control volatility of returns
    • Since implementation, despite volatility in equities more than tripling, sub-fund’s volatility has remained stable, in line with its volatility target
    Jan’08: Implementation of the new investment process - Given for illustrative purpose only Source: Amundi, as of 31/03/2011 Past performance is not indicative of future results Statistical Arbitrage Strategy 3-month realised Volatility - Weekly Returns 0% 2% 4% 6% 8% 10% 12% 14% 16% 18% 20% Apr-08 Sep-08 Feb-09 Jul-09 Dec-09 May-10 Oct-10 Mar-11 3mth Weekly returns volatility - Statistical Arbitrage Strategy 0% 10% 20% 30% 40% 50% 60% 70% 3mth Weekly returns volatility - MSCI World MSCI World
  • Diversification benefits across all asset classes
    • Statistical Arbitrage strategy shows low correlation with equities, bonds, commodities and hedge funds
    Source: Bloomberg, using French domiciled fund as of Dec 27, 2007 to March 31, 2011 Correlation based on weekly data. Past performance does not prejudge future results, nor is it a guarantee of future returns 0.09 HFRX Global Hedge Hedge Fund Index 0.02 HFRX Equity Market Neutral Hedge Fund Equity Index -0.05 CBOE SPX Volatility Index Volatility -0.11 Euro Spot Currency Commodity Index Global Bond Index World Equity Index Asset Class Correlation MSCI World 0.01 JP Morgan GGB -0.07 S&P GSCI Tot Return -0.08
  • Complementary with the Volatility funds Source: Amundi. Performance figures are net of fees on I share (institutional investors) As of end of March 2011- Past performance is not indicative of future results
    • Performances March 2010 - March 2011
      • Amundi Funds Equity Statistical Arbitrage (EUR): +7.00%
      • Amundi Funds Volatility World Equities: +6.96%
    6/12 with complementary performances 5/12 with both positive performances 1/12 only with negative performances
  • Complementary with the Volatility funds Source: Performance figures are net of fees Past performance is not indicative of future results Please refer for further details to the prospectus of Amundi Funds 
    • Performances 2010-2011
      • For Amundi Funds Equity Statistical Arbitrage (EUR) sub-fund, moderate/low volatility regimes are favorable
      • For volatility, fall of volatility below the mean and low volatility environments are not favorable
      • Overall, a good fit: Q1-Q3-Q4 are good for Statistical Arbitrage, Q2-Q3 for Volatility
    Falling volatilities and long vega -0.99% Momentum models perform best +1.14% Q4 2010 Volatility declining, but good opportunities for trading in March +0.80% Mean-reverting models contributing more than momentum +1.69% Q1 2011 Momentum & Mean reverting benefit from lower correlation Contrarian models hit as sell off was too aggressive Momentum models Drivers Volatility of Volatility Brutal change in risk appetite Falling volatilities and long vega Drivers +1.38% +3.13% Q3 2010 +6.53% -0.83% Q2 2010 -1.72% +2.47% Q1 2010 Performance Volatility World Performance Statistical Arbitrage Strategy
  • Table of contents
    • Investment process
    • Investment decisions: examples
    • Key Benefits
    • Performances
  • Composite performances: Equity Statistical Arbitrage Sources: Amundi, Bloomberg data as of 31/03/2011 Past performance is not indicative of future results. *Composite Absolute Return: Equity Statistical Arbitrage, gross performances, since 31/12/2007 **HFRX Equity Market Neutral Index is a benchmark of hedge fund equity market neutral strategies performance, used here for comparison purposes *** Compounded EONIA (O.I.S.) (360 basis) is the strategy official benchmark COMPOSITE Equity Statistical Arbitrage EONIA*** HFRX EMN** Launch date of Amundi funds Equity Statistical Arbitrage (EUR) : 09/12/2008 - +1.90% +2.06% +0.17% YTD 1.45 7.14% +7.58% +0.44% 2010 EONIA Equity Statistical Arbitrage composite (gross performance) Composite Performance Out-performance Sharpe ratio 2009 +0.73% -5.92% -6.65% -1.69 2008 +4.00% +12.35% 8.34% 1.74 Since inception * +5.36% +16.05% +10.66% 0.64 -2.46% Nov 2009 Worst month € 194,28 million Composite Asset +2.96% July 2008 Best month 3.79% 1yr volatility
  • Performances : Amundi Funds Equity Statistical Arbitrage IE 1  Calendar year performance Source Amundi, Share class IE (Institutional investors) Capitalisation in Euro; Net performance; Data as of 29 April 2011 Past performance does not prejudge future results, nor is it a guarantee of future returns  Calendar year performance and risk indicators
  • Performance against main Equity Market Neutral funds
    • Performance shows that we rank favorably against the largest competitors
    Source: Bloomberg Jan’08: Implementation of the new investment process *Using French Domiciled fund – as of 31/03/2011 Past performance is not indicative of future results Exane Amundi* JPM Highbridge Gartmore Marshall Wace HFRX EMN Carmignac Performance since 28/12/07 90 95 100 105 110 115 Dec-07 Mar-08 Jun-08 Sep-08 Dec-08 Mar-09 Jun-09 Sep-09 Dec-09 Mar-10 Jun-10 Sep-10 Dec-10 Mar-11 Base 100 28/12/2007 French Domiciled fund HFRX Equity Market Neutral Ind JPM INV-HIGH STAT MAR N-I€-A MLIS-MARSHALL WAC TP U F-€AA CARMIGNAC PT-MARKET NEUTR-A EXANE GULLIVER FUND-I ALPHAGEN CAPELLA FUND LTD-B
  • Equity Arbitrage: Absolute UCITS Rankings Source: HedgeFund Intelligence, as of end of December 2010 Past performance is not indicative of future results 1 Dédicated Sicav First quartile in 2010 and over the last 6-month period
  • Conclusion
      • Market Neutral portfolio on Global equities
      • Robustness of the process
      • A process that has delivered performance to rival the “big names” in Equity Market Neutral over the last 3 years 1
      • Best environments to be in a market neutral product
    Source: Amundi, assets and organisation as of 31/03/2011 1 Past performance is not indicative of future results
      • An attractive strategy to benefit from inflows into the equity markets. These inflows should result in greater dispersion, which should generate decent performance for the strategy.
  • Amundi’s Equity Arbitrage: Team biographies
      • Olivier Avertin - Head, Equity Arbitrage
        • Mr. Avertin joined Amundi Paris in April 2007 as Global Equity and Absolute return portfolio manager. He was formerly proprietary trader at Exane for 8 years, managing absolute return quantitative stock picking and discretionary global macro strategies.
        • Mr. Avertin holds a postgraduate degree in Finance from IEP (Institute of Political Science Paris) in 1996. He also holds a postgraduate degree in Applied Mathematics from the University of Paris Dauphine in 1995.
      • Dave Benichou - Portfolio Manager, Equity Arbitrage
        • Mr. Benichou joined Systeia in June 2001 part of Amundi Group, as an Equity Analyst and Trader for the Systematic & Statistical Arbitrage Desk. In 2005, he expanded his career as a Portfolio Manager where he implemented long term Quantitative Factor Trading Strategies. In July 2008, he joined Amundi Paris to manage an Equity Market Neutral Fund.
        • Mr. Benichou received a postgraduate degree in Banking & Finance from Sorbonne University in 2001 following his Master’s Degree in Mathematics & Economics from Nice Sophia-Antipolis.
      • Xavier Deheul – Deputy Portfolio Manager, Equity Arbitrage
        • Xavier has a double education with a Computer Sciences Engineer Master Degree in 2001 and a Wealth Management Master Degree in 2007. He started his career as IT developer for the Credit Lyonnais Asset Management and became Risk Manager in 2004 for Natixis Asset Management. He joined Systeia as head of Risk Management in 2007 and recently became Portfolio Manager in the new Amundi front office team.
    Source: Amundi, data as of May 2011
  • Amundi Funds Equity Statistical Arbitrage (EUR): Key information Accumulation / Distribution 0.20% 0.60% 2.50% Equivalent in EUR of USD 500,000 A: LU0401972657 D: LU0401972731 EUR IE (Institutional inv.) 0.30% 1.10% 4.50% None A: LU0401972657 D: LU0401972731 Accumulation / Distribution EUR AE (All investors) Maximum redemption fee Maximum conversion fee Performance fee Maximum annual administration fee Maximum annual management fee Maximum subscription fee Cut off for dealing times Frequency of NAV calculation Minimum initial subscription ISIN Code Share categories Reference currency of the class Reference currency of the sub-fund Custodian Investment manager Management company Accumulation EUR EUR A: LU0401972814 SE 1 (Distributors) Not all share classes and, as the case may be, share categories are registered for sale in all countries. Investors may contact Amundi Luxembourg for further information. 1 All investors. Shares only available through a network of distributors specifically authorised by the Board of Directors. 2 Or, as the case may be, an earlier cut off time applicable by the relevant distributor. 3 A detailed explanation of the performance fee is provided in the Prospectus. N o n e 1.00% 30% max. per year of the performance above the performance objective (EONIA + 4.00% after charges) 3 0.30% 1.50% 3.00% Luxembourg dealing days before 2pm (Luxembourg time) 2 Daily None CACEIS Bank Luxembourg Amundi Amundi Luxembourg S.A.
  • Disclaimer Amundi Funds This document contains information about Amundi Funds Volatility Euro Equities, Amundi Funds Volatility World Equities, Amundi Funds Dynarbitrage Volatility and Amundi Funds Equity Statistical Arbitrage (EUR), each of them refers to as the “Sub-Fund” and collectively as the “Sub-Funds”) , the sub-funds of Amundi Funds (the“SICAV”), an undertaking for collective investment in transferable securities existing under Part I of the Luxembourg law of 20 December 2002, organised as a société d’investissement à capital variable and registered with the Luxembourg Trade and Companies Register under number B68.806. The SICAV has its registered office at 5, allée Scheffer, L-2520 Luxembourg. 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 (the "Sub-Funds") will necessarily be registered or authorized for sale in all jurisdictions or be available to all investors. Subscriptions in the Sub-Funds will only be accepted on the basis of the SICAV’s latest complete and simplified prospectuses, its latest annual and 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 the representative 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-Funds are suitable for prospective investors who should ensure that they fully understand the contents of this document. A professional advisor should be consulted to determine whether an investment in the Sub-Funds is suitable. The value of, and any income from, an investment in the Sub-Funds can decrease as well as increase. The Sub-Funds have 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 the commissions 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 public advertising or investment advice. The information contained in this document is deemed accurate as at May 2011. Amundi, French joint stock company (“Société Anonyme”) with a registered capital of € 578 002 350 and approved by the French Securities Regulator (Autorité des Marchés 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 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, private customers 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 financial instruments (“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 the provisions of the Swiss Collective Investment Schemes Ordinance of 23 June 2006 (CISA), the Swiss Collective Investment Schemes Ordinance of 22 November 2006 (CISO) and the FINMA’s Circular 08/8 on Public Offering within the meaning of the legislation on Collective Investment Schemes of 20 November 2008. In no event may this material be distributed in the European 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 “qualified investors” as defined in the applicable legislation and regulation.