Amundi   citywire montreux may 2011
Upcoming SlideShare
Loading in...5
×
 

Like this? Share it with your network

Share

Amundi citywire montreux may 2011

on

  • 913 views

 

Statistics

Views

Total Views
913
Views on SlideShare
913
Embed Views
0

Actions

Likes
0
Downloads
7
Comments
0

0 Embeds 0

No embeds

Accessibility

Categories

Upload Details

Uploaded via as Adobe PDF

Usage Rights

© All Rights Reserved

Report content

Flagged as inappropriate Flag as inappropriate
Flag as inappropriate

Select your reason for flagging this presentation as inappropriate.

Cancel
  • Full Name Full Name Comment goes here.
    Are you sure you want to
    Your message goes here
    Processing…
Post Comment
Edit your comment

Amundi citywire montreux may 2011 Presentation Transcript

  • 1. Amundi Funds Equity Statistical Arbitrage (EUR) Long Short Strategy on Global Equities Alexandre Drabowicz, Julia Kung Product Specialists Citywire Montreux 11 - 13 May 2011This material is solely for the attention of “professional” investors (seemore details and definitions at the end of the presentation).
  • 2. Investment Case: Absolute return UCITSAmundi 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 millionStrong expected growth in Absolute Return Flows in 2011: + € 140 billion expected 2 55% of investors willing to increase their L/S equity allocation 2Significant 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-fund1 Source: EuroHedge for the French domiciled fund Citywire Montreux - May 2011 - page 22 Source: Deutsche Bank, February 2011
  • 3. Amundi Funds Equity Statistical Arbitrage (EUR) Investment Universe Large caps1 with high liquidity Amundi Funds Equity Statistical Arbitrage (EUR) Performance Driver Behavioural finance Launch date: December 2008 Turnover High & daily AUM :€127M Cyclicity of Alphas High volatility / Dispersion  Performance objective : Eonia +4%  Volatility (Ex post) Target: 4-6%  A UCITS III sub-fund with daily liquidity  US and European equities universe2  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 PortfolioSource: Amundi, as of 31/03/2011- Given for illustrative purpose only Citywire Montreux - May 2011 - page 31 Current capitalization applied. Please note that no restriction in terms of capitalization exists in the Prospectus. Accordingly, this allocationon Large cap may be changed without prior notice to another capitalization2 Current investment universe, may be changed without prior notice, please refer for further details about universe to the prospectus of Amundi Funds
  • 4. Table of contents 1. Investment process 2. Investment decisions: examples 3. Key Benefits 4. Performance Citywire Montreux - May 2011 - page 4
  • 5. 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 equities1 – 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: Momentum: “Selling outperformers & buying laggards” “Trend Following” Equity universe Buy of equities with Buy Sell high momentum underperformers outperformers Sort by mid term performance criteria Sort by mid term performance criteriaGiven for illustrative purpose only Citywire Montreux - May 2011 - page 51 Current investment universe, may be changed without prior notice, please refer for further details about universe to the prospectus of Amundi Funds
  • 6. Investment process Investment universe: 1,000 stocks US stocks1 European stocks1 Step 1 Systematic MEAN REVERTINGMOMENTUM strategy MEAN REVERTING strategy strategy MOMENTUM strategy MEAN REVERTING strategy MOMENTUM strategy stock-picking Long Short portfolio ± 250 positions Step 2 Relative weighting of each Dynamic strategy according to the market allocation structure Global Long Short market neutral portfolio Step 3 Risk Risk concentration analysis monitoring Step 4 Discretionary Discretionary Risk hedging Hedging Amundi Funds Equity Statistical Arbitrage (EUR) final portfolioGiven for illustrative purpose only Citywire Montreux - May 2011 - page 61 Current investment universe, may be changed without prior notice, please refer for further details about universe to the prospectus of Amundi Funds
  • 7. A dynamic allocation based on systematic market monitoringThe risk allocation between Mean Reverting and Momentum strategies isdriven by the Volatility & Dispersion Indicator 5 Dispersion & Volatility Indicator 4 2000 Favourable 2008 3 to MR3 strategies Favourable to MR strategies 2 European Universe US Universe Different levels of risk allocation adjustment: 12 2 0 50% Momentum 50% Mean Reverting1 -1 2003-2007 Favourable to MOM strategies 3 -2 Jan-89 Jan-92 Jan-95 Jan-98 Jan-01 Jan-04 Jan-07 Jan-10 1 80% Momentum 80% MR 20% Mean 20% MOM Reverting Low volatility & dispersion High volatility & dispersionGiven for illustrative purpose only Citywire Montreux - May 2011 - page 7Source: Amundi. The “Dispersion & Volatility Indicator” tool is used by the management team on an indicative basis onlyPast behaviours do not prejudge future behaviours
  • 8. Table of contents 1. Investment process 2. Investment decisions: examples 3. Key Benefits 4. Performance Citywire Montreux - May 2011 - page 8
  • 9. 2008: special market, special year 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) Volatility and Dispersion indicator 5May08: USSwitch to MR 4Feb08: Europe 3Switch to MR 2 1 0 -1 -2 Jun-07 Jun-08 Jun-09 Jun-10 Aug-07 Aug-08 Aug-09 Aug-10 Apr-07 Oct-07 Apr-08 Oct-08 Apr-09 Oct-09 Apr-10 Oct-10 Dec-06 Feb-07 Dec-07 Feb-08 Dec-08 Feb-09 Dec-09 Feb-10 Dec-10 Europe indicator US Indicator Given for illustrative purpose only Citywire Montreux - May 2011 - page 9 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
  • 10. 2008: special market, special yearSeptember 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 returnsSource: Amundi, Bloomberg, * Based on French Domiciled fund Citywire Montreux - May 2011 - page 10Given for illustrative purpose onlyPast behaviours do not prejudge future behaviours
  • 11. 2009: difficult market conditions 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 Average Strategy Performance against MSCI World Average Performance 1.3% 1.12% Probability 1.85% Probability of MSCI World > 1.0% of MSCI World < 10% a month since Statistical Arbitrage Performance 10% a month since 1970 1970 0.8% 0.5% 0.3% 0.0% -19.2% -8.4% -5.3% -2.2% -0.6% 0.8% 2.2% 3.4% 4.9% 10.4% -0.3% -0.5%September 2008 April / July 2009 -0.8% World MSCI Performance Source: Amundi, Bloomberg, Distribution of monthly rolling returns- weekly data from January 2008 to December 2009 Citywire Montreux - May 2011 - page 11 Given for illustrative purpose only Past behaviours do not prejudge future behaviours
  • 12. 2009: difficult conditions for both models 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 2009Source: Amundi, Bloomberg Citywire Montreux - May 2011 - page 12Given for illustrative purpose onlyPast behaviours do not prejudge future behaviours
  • 13. Table of contents 1. Investment process 2. Investment decisions: examples 3. Key Benefits 4. Performance Citywire Montreux - May 2011 - page 13
  • 14. Ability to control volatility of returnsSince implementation, despite volatility in equities more than tripling, sub-fund’s volatility has remained stable, in line with its volatility target 3-month realised Volatility - Weekly Returns 20% 70% Statistical Arbitrage Strategy MSCI World 3mth Weekly returns volatility - Statistical Arbitrage Strategy 18% 60% 16% 3mth Weekly returns volatility - MSCI World 14% 50% 12% 40% 10% 30% 8% 6% 20% 4% 10% 2% 0% 0% Apr-08 Sep-08 Feb-09 Jul-09 Dec-09 May-10 Oct-10 Mar-11Jan’08: Implementation of the new investment process - Given for illustrative purpose only Citywire Montreux - May 2011 - page 14Source: Amundi, as of 31/03/2011Past performance is not indicative of future results
  • 15. Diversification benefits across all asset classesStatistical Arbitrage strategy shows low correlation with equities, bonds,commodities and hedge funds Asset Class Correlation World Equity Index MSCI World 0.01 Global Bond Index JP Morgan GGB -0.07 Commodity Index S&P GSCI Tot Return -0.08 Hedge Fund Equity Index HFRX Equity Market Neutral 0.02 Hedge Fund Index HFRX Global Hedge 0.09 Volatility CBOE SPX Volatility Index -0.05 Currency Euro Spot -0.11Source: Bloomberg, using French domiciled fund as of Dec 27, 2007 to March 31, 2011 Citywire Montreux - May 2011 - page 15Correlation based on weekly data. Past performance does not prejudge future results, nor is it a guarantee offuture returns
  • 16. Complementary with the Volatility fundsPerformances March 2010 - March 2011 Amundi Funds Equity Statistical Arbitrage (EUR): +7.00% Amundi Funds Volatility World Equities: +6.96% 5% 4.7% 6/12 with 4% complementary 3.1% performances 3% 1.7% 2.0% 2% 5/12 with both 1.3% 0.9% 1.0% 0.6% 1.0% positive 0.8% 0.8% performances 1% 0.5% 0.7% 0.5% 0.3% 0.2% 0.3% 0% -0.1% -0.1% 1/12 only with -1% -0.5% negative -0.8% -0.8% -0.7% -1.0% performances -1.2% -1.3% -2% Mar-10 May-10 Jul-10 Sep-10 Nov-10 Jan-11 Mar-11 AMUNDI FUNDS AMUNDI FUNDS EQUITY VOLATILITY WORLD EQUITIES - IU (C) STATISTICAL ARBITRAGE (EUR) - IE (C)Source: Amundi. Performance figures are net of fees on I share (institutional investors) Citywire Montreux - May 2011 - page 16As of end of March 2011- Past performance is not indicative of future results
  • 17. Complementary with the Volatility fundsPerformances 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 Performance Performance Strategy Statistical Drivers Volatility Drivers Arbitrage World Q1 2010 +2.47% Momentum models -1.72% Falling volatilities and long vega Contrarian models hit as sell Q2 2010 -0.83% off was too aggressive +6.53% Brutal change in risk appetite Momentum & Mean reverting Q3 2010 +3.13% benefit from lower correlation +1.38% Volatility of Volatility Momentum models perform Q4 2010 +1.14% best -0.99% Falling volatilities and long vega Mean-reverting models Volatility declining, but good Q1 2011 +1.69% contributing more than +0.80% opportunities for trading in March momentumSource: Performance figures are net of fees Citywire Montreux - May 2011 - page 17Past performance is not indicative of future resultsPlease refer for further details to the prospectus of Amundi Funds
  • 18. Table of contents 1. Investment process 2. Investment decisions: examples 3. Key Benefits 4. Performances Citywire Montreux - May 2011 - page 18
  • 19. Composite performances: Equity Statistical Arbitrage Equity Statistical Arbitrage composite (gross performance) EONIA Composite Out-performance Sharpe ratio Performance YTD +0.17% +2.06% +1.90% - 2010 +0.44% +7.58% 7.14% 1.45 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% 0.64 115,00 COMPOSITE Equity Statistical Arbitrage 110,00 1yr volatility 3.79% EONIA*** +2.96% 105,00 Best month July 2008 -2.46% 100,00 Worst month Nov 2009 HFRX EMN** Composite 95,00 €194,28 million Asset 90,00 12/07 04/08 08/08 12/08 04/09 08/09 12/09 04/10 08/10 12/10 Launch date of Amundi funds Equity Statistical Arbitrage (EUR) : 09/12/2008Sources: Amundi, Bloomberg data as of 31/03/2011 Past performance is not indicative of future results. Citywire Montreux - May 2011 - page 19*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 forcomparison purposes *** Compounded EONIA (O.I.S.) (360 basis) is the strategy official benchmark
  • 20. Performances: Amundi Funds Equity Statistical Arbitrage IE1 Calendar year performance and risk indicators 2009 2010 2011 Portfolio Performance -6,82% 5,99% 0,87% Reference Indicator 0,73% 0,44% 0,24% Spread -7,55% 5,55% 0,63% Portfolio Volatility 5,27% 3,03% NA Reference Indicator Volatility 0,07% 0,02% NA Ex-post Tracking Error 5,26% 3,03% NA Portfolio Sharpe Ratio -1,43 1,83 NA Calendar year performance 6 ,0 % 5% 0 ,7 % 0 ,4 % 0 ,9 % 0 ,2 % 0% -5% - 6 ,8 % -10% 2009 2010 2011 Portfolio Performance Reference IndicatorSource Amundi, Share class IE (Institutional investors) Capitalisation in Euro; Net performance; Data as of 29 April 2011 Citywire Montreux - May 2011 - page 20Past performance does not prejudge future results, nor is it a guarantee of future returns
  • 21. Performance against main Equity Market Neutral fundsPerformance shows that we rank favorably against the largest competitors Performance since 28/12/07 115 Exane Amundi* 110 JPM Highbridge GartmoreBase 100 28/12/2007 105 Marshall Wace 100 HFRX EMN 95 Carmignac 90 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 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-BSource: Bloomberg Citywire Montreux - May 2011 - page 21Jan’08: Implementation of the new investment process*Using French Domiciled fund – as of 31/03/2011Past performance is not indicative of future results
  • 22. Equity Arbitrage: Absolute UCITS Rankings First quartile in 2010 and over the last 6-month periodSource: HedgeFund Intelligence, as of end of December 2010 Citywire Montreux - May 2011 - page 22Past performance is not indicative of future results1Dédicated Sicav
  • 23. 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 years1  Best environments to be in a market neutral product 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.Source: Amundi, assets and organisation as of 31/03/2011 Citywire Montreux - May 2011 - page 231Past performance is not indicative of future results
  • 24. 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. Citywire Montreux - May 2011 - page 24Source: Amundi, data as of May 2011
  • 25. Amundi Funds Equity Statistical Arbitrage (EUR): Key information AE IE SE 1 (All investors) (Institutional inv.) (Distributors)Management company Amundi Luxembourg S.A.Investment manager AmundiCustodian CACEIS Bank LuxembourgReference currency of the sub- EURfundReference currency of the class EUR EUR EURShare categories Accumulation / Distribution Accumulation / Distribution Accumulation A: LU0401972657 A: LU0401972657ISIN Code A: LU0401972814 D: LU0401972731 D: LU0401972731Minimum initial subscription None Equivalent in EUR of USD 500,000 NoneFrequency of NAV calculation DailyCut off for dealing times Luxembourg dealing days before 2pm (Luxembourg time) 2Maximum subscription fee 4.50% 2.50% 3.00%Maximum annual management 1.10% 0.60% 1.50%feeMaximum annual administration 0.30% 0.20% 0.30%feePerformance fee 30% max. per year of the performance above the performance objective (EONIA + 4.00% after charges)3Maximum conversion fee 1.00%Maximum redemption fee NoneNot all share classes and, as the case may be, share categories are registered for sale in all countries. Investors may contact AmundiLuxembourg 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. Citywire Montreux - May 2011 - page 25
  • 26. DisclaimerAmundi FundsThis document contains information about Amundi Funds Volatility Euro Equities, Amundi Funds Volatility World Equities, Amundi Funds Dynarbitrage Volatility and Amundi FundsEquity 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 forcollective 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 andregistered 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 itsarticles 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 bythe 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 understandthe 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, pastperformance 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 costsincurred 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 orinvestment advice.The information contained in this document is deemed accurate as at May 2011. 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. 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 Citywire Montreux - May 2011 - page 26