The fund takes a short- to medium-term view on volatility, trading both long and short depending on the level of volatility present in these core markets.
The key to the strategy is the ability of the portfolio managers to identify mean reversion behaviour in the market – i.e. when the market is moving, for example, from a high volatility to a medium volatility environment. If volatility stands above its long-term average, the managers will base their positioning on a return to a normal level and keep a short volatility exposure in the fund and vice versa.
The fund will trade around its target exposure level in order to generate extra returns on a more short-term basis. As a global fund, it can also capitalise on differences in the volatility profile of the three markets it concentrates on. Consequently, the fund can be shifting its overall volatility exposure on a daily or weekly basis, depending on how quickly the volatility picture is changing.
Portfolio manager Gilbert Keskin believes the fund offers investors the levels of transparency and liquidity they are expecting from a UCITS hedge fund of this nature. The fund only uses listed options, and even then only the most liquid, index-based contracts.
The fund targets a return of approximately 7% over three years, although it has far exceeded that during a period of high market volatility.
Amundi is recognised as a pioneer in European volatility-based strategies, having been involved in this segment since 1999. It now manages over €6 billion in volatility based investments.
About the managers
Eric Hermitte and Gilbert Keskin are co-heads of the volatility, arbitrage and convertible bonds teams at Amundi. Keskin has been with Amundi for over a decade, having originally joined its research department to develop investment tools. Hermitte has been managing volatility arbitrage portfolios since 1998, and prior to joining Amundi was an options trader at Dresdner Bank. They are supported by a considerable team of volatility specialists at the firm in Paris.
Key details
Fund name Amundi Funds Volatility World Equities
Management company Amundi Asset Management
Promoter Amundi Asset Management
Status Open
Inception date 15th November 2007
Strategy
Kind of fund Hedge Fund
Strategy group Relative Value
Sub-strategy group Volatility Arbitrage
Region Global Developed
Asset classes Volatility (options)
Particulars
Currency EUR, USD, GBP
Share class name Class I
ISIN LU0319686829
Bloomberg ticker CAMVWIA LX
Domicile Luxembourg
Listing Luxembourg Stock Exchange
Fund structure SICAV
NAV calculation Daily
Liquidity Daily
Notice (banking days) 1
Minimum investment 500,000
Minimum retail 100
Min. investment currency USD
Fees
Entry fee 2.5%
Exit fee 0%
Management fee 0.5%
Performance fee 20%
High water mark Yes
Hurdle rate Yes
Hurdle 6.0%
Analysis
2010 return 5.17%
Annualised return 5.94%
Annualised volatility (monthly data) 4.87%
Sharpe ratio (2%) (monthly data) 0.81
Correlation to S&P 500 (monthly data) -72.11%
Correlation to iBoxx (monthly data) 33.23%
Service providers
Administrator CACEIS Fastnet
Custodian CACEIS Bank
Auditor PricewaterhouseCoopers
