Amundi, the asset management collaboration between Crédit Agricole and Société Générale, is enhancing and strengthening its volatility range with the launch of Amundi Funds Absolute Volatility Arbitrage Plus.
Amundi, the asset management collaboration between Crédit Agricole and Société Générale, is enhancing and strengthening its volatility range with the launch of Amundi Funds Absolute Volatility Arbitrage Plus.
Volatility is seen by Amundi as an asset class in its own right, generating performance opportunities by arbitraging volatility gaps, particularly at times of market uncertainty. It has €6.8bn in assets under management in this asset class as at 30 September 2012,
The fund manager is Eric Hermitte. The company said the UCITS IV-compliant subfund of the Luxembourg SICAV Amundi Funds offers diversification and de-correlation compared to other asset classes. It aims to generate an annual performance of 4% over the Euro OverNight Index Average (the one-day interbank interest rate for the Euro zone), over a minimum investment horizon of three years and with a maximum risk budget of VaR 8%.
Amundi Funds, with more than €18.3bn in assets under management and 66 sub-funds at end August 2012, is a Luxembourg SICAV with a range of sub-funds. It is authorised for public sale in 27 countries but all sub-funds and asset sub-classes are not for sale in all countries
The investment team applies different volatility arbitrage strategies in distinct asset classes, including Equity volatility arbitrage, which arbitrages volatility gaps between two stocks in the same sector or between a basket of equities and an index.
Equity index volatility arbitrage taps expected convergences/divergences in volatility between different equity indices and/or options of different maturities within a single index, while Interest rate volatility arbitrage exploits expected convergences/divergences in volatility between two geographic regions or between two different maturities in a single region.
The fund may also use convertible bond volatility arbitrage, which capitalises on valuation gaps between the implied volatility of the option component of a convertible bond on the one hand, and the historical or implied volatility, i.e. in the options market, of the underlying equity on the other hand.
The fund is managed by an investment team comprised of nine managers. Other funds in the volatility range include several Luxembourg UCITS IV sub-funds: Amundi Funds Absolute Volatility Arbitrage, Amundi Funds Absolute Volatility Euro Equities and Amundi Funds Absolute Volatility World Equities.
