A presentation by Amundi London Branch June 2011
description
Transcript of A presentation by Amundi London Branch June 2011
Amundi Global Fixed Income, Aggregate and Emerging Expertise
People, Product, Performance & Perspectives A presentation by
Amundi London Branch
June 2011
- - page 2
Source : Amundi
Investment Team: $ 34 billion
J. Keller
A. Bender
M. Lake
L. Benlazrak
Product SpecialistSingapore London
S. Ruegg
Product Specialists Name Function Location Time with Group Experience in Industry
Keller Head Product Specialist London 11.5 11.5
Bender Product Specialist London 11.3 20.4
Lake Product Specialist London 6.1 6.1
Benlazrak Product Specialist London 9.6 9.6
9.6 11.9
Cedric Morisseau Head of Global Bonds, Absolute Return & Currency
Laurent Crosnier Chief Executive & Chief Investment Officer
Markus Krygier Deputy Chief Investment Officer
Global Fixed Income and Aggregate EMD
P. Jauer - CIO
P. Chia
R. Lim
L. Aderdor
D. Damit
E. Guilloux
W-M. Chan*
Global Equities
Global Corporate
Singapore London
C. Morisseau
C. Morris
H. Hanoune
R. Stefani
A. Beaudu
P. Dubreuil*
M. Styles
Y. Casa
M. Plans
C. Chappuis
R. Mercier (t)
J. Kwok
R. Puri
S. Fawn (t)
S. Strigo
T. Delabre
M. Vydrine* (t)
R. Brooks
W. Maby
P.G. Moucan
L. CrosnierH. Hanoune +P. Dubreuil* +
A. Casiraghi
CTA
F. Castaldi
A. Burgues
Volatility
M. Plans
C. Chappuis
Cash ManagementSingapore London
S. Lai
Architects in Bold
(t) Trainee
*Analysts
+ Also part of GFI & Aggregate Team
Absolute Return Currency
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Source : Amundi
Experienced investment team with a clear vision
ARCHITECTS SPECIALISTSSPECIALISTS
HEAD OF GLOBAL BOND & CURRENCY
PROPOSES VIEWS
Credit Bond Selection
Short-Term Bond Trading
EMD Relative Value
Currency Trading
DEPUTY CIO
VALIDATES SCENARIO
MACRO SPECIALISTS
MARKET SPECIALISTS
CORE VIEWS
QUANTSPECIALISTS
AMUNDI GLOBAL BOND, Currency & Absolute Return
Name Function LocationTime with
GroupExperience in Industry
Architects L Crosnier CIO & CEO, Amundi London London 19.9 21.9M Krygier Deputy CIO, Amundi London London 6.8 14.8C Morisseau Head of Global Bonds, Absolute Return & Currency London 16.9 16.8P Chia Global Fixed Income Manager Singapore 10.3 23.8P J auer CIO Amundi Singapore Singapore 10.3 21.8M Styles Head of Absolute Return London 5.7 7.0C Morris Global Fixed Income Manager London 0.6 18.6
10.1 17.8
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Source : Amundi
A clear decision-making process
Source: Amundi. Views as at 13/03/11. See also Disclaimer page
• Architects (7) with heterogeneous backgrounds
• Team based approach with clear cut decision making
• Qualitative views expressed as a score, on a 9-point scale from very negative (- -) to very positive (++)
• Made upon any type of argument (macro-eco, valuation, flows, portfolio construction…)
• Meetings as market conditions dictate
• Multiple investment horizons
• Views only on strategies where we have a strong conviction
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Source : Amundi
Alpha creation
Three normally low-correlated asset classes / three angles
Directional Relative Value Specialist Overlays
Bonds
Currencies
Credit/EMD
Duration
$ Exposure
Credit Exposure
Country Allocation
Curve Allocation
G4 Allocation
Intra-bloc Allocation
Macro Sector Allocation
Bond Selection
Short-Term Trading
EM ccy Allocation
Short-Term Trading
Architects’ Views
Market/Industry
Bond Selection
EMD Relative Value
Products & Performance
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Source : Amundi
Amundi Global Bonds Composite USD
Calendar Year gross performance as of 03/31/11
Past performance is not indicative of future returns. Results do not reflect the deduction of management fees and other expenses; deduction of these fees and expenses would reduce a client’s return.
4.30
%
12.6
6%
-9.9
7%
5.92
%
3.77
%
24.4
6%
23.7
7%
14.2
4%
1.42
%
10.4
3%
7.25
% 13.0
1%
5.74
%
2.34
%
-0.0
1%
2.18
%
9.04
%
6.53
% 10.1
7%
2.33
% 5.96
%
1.00
%
7.60
%
15.1
4%
-5.6
0%
0.07
%
13.0
0%
-5.9
4%
16.4
7%
10.7
1%
-20%
-10%
0%
10%
20%
30%
1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011
Global Bonds Composite Benchmark*
A cross section of our global fixed income, corporate, emerging market & currency expertise …
(1) Out-performance in ten years out of fifteen = 67% average success ratio
(2) Annualized Alpha: +3.11%Tracking Error: 3.64%Information Ratio: 0.86Since inception as at 03/2011
Global Aggregate & Corporate Expertise
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Source : Amundi
The construction of credit bond portfolios systematically take into account both our top-down views and our security selection expertise
Systematic Risk Specific Risk
Top-down
Bottom-up
1 2 3 4
Issuer selectio
n
Global credit &
Geographical allo
cation
Sector allo
cation
Bond picking & A
rbitr
age
Portfolio
RISK MANAGEMENT & PERFORMANCE CONTROL
Global Aggregate & Corporate Expertise Investment Process
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Source : Amundi
Profile of Amundi Global Aggregate Expertise
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Source : Amundi
Profile of Amundi Funds Global Aggregate
Management Benchmark: Barclays Global Aggregate Hedged to USD
Tracking Error (ex ante): Maximum 4.5% p.a. (with 66% confidence level)
Interest Rate Risk: Active modified duration management within a [0;+8] bracket
Currency Risk: Active currency management
Investment Instruments: up to 100% in OECD and non-OECD Government, quasi-government & corporate bonds (non-OECD issued in G4 currencies), up to 10% in non-investment grade bonds & up to 60% max ABS/MBS with min rating BBB-
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Source : Amundi
90
100
110
120
130
140
150
160
170
18010
-200
7
01-2
008
04-2
008
07-2
008
10-2
008
01-2
009
04-2
009
07-2
009
10-2
009
01-2
010
04-2
010
07-2
010
10-2
010
01-2
011
04-2
011
-10%
0%
10%
20%
30%
40%
50%
60%Relative PerformanceAMUNDI FUNDS GLOBAL AGGREGATE - IU (C)100% BARCLAYS GLOBAL AGGREGATE HEDGED TR Close
Risk Adjusted Performance: Amundi Funds Global Aggregate USD
Calendar Year Net Performance as at May 31, 2011Net of 0.61% p.a fixed fee and perf. fee of 20% above benchmark p.a.
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Source : Amundi
Performance: Amundi Funds Global Aggregate USD
Calendar Year Net Performance as at as at May 31, 2011Net of 0.61% p.a fixed fee and perf. fee of 20% above benchmark p.a.
0.08%
7.79%
31.67%
6.29%
15.42%
1.07%
10.78%
5.04%1.68%
5.58% 5.09% 4.61%
-20%
-10%
0%
10%
20%
30%
40%
2007 2008 2009 2010 2011 Since Inception(Annualised)
Amundi Funds Global Aggregate USD Barclays Global Aggregate (Hedged USD)
.
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Source : Amundi
Profile of a Amundi Funds Global Corporate Bond
Management Benchmark: ML Global Large Cap Corporate Hedged USD
Target Out-performance: Out-perform Management Benchmark
Tracking Error (ex ante): Maximum 1% p.a. (with 66% confidence level)
Interest Rate Risk: Active modified duration management within +/-10% of benchmark modified duration
Currency Risk: No Currency Exposure (Hedged portfolio)
Investment Instruments: Government and Supra-national bonds issued by benchmark countries (plus Austria, Ireland, Finland, Portugal, Greece, Switzerland and New Zealand) & up to 20% government bonds of Czech Republic, Slovenia, Poland, Hungary & Slovakia
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Source : Amundi
Calendar Year Net Performance as at May 31, 2011 (net of TER 0.65% p.a. fixed fee & perf. fee of 20% above benchmark)
Amundi Funds Global Corporate Bond
80
85
90
95
100
105
110
115
120
125
130
10-2007 04-2008 10-2008 04-2009 10-2009 04-2010 10-2010 04-2011
-8%
-6%
-4%
-2%
0%
2%
4%
6%
8%Relative perf (rhs)AMUNDI FUNDS GLOBAL CORPORATE BOND - IU (C)100% ML GLOBAL LARGE CAP CORPORATE HEDGED TR Close
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Source : Amundi
Calendar Year Net Performance as at May 31, 2011 (net of TER 0.65% p.a. fixed fee & perf. fee of 20% above benchmark)
Amundi Funds Global Corporate Bond
-0.23%
-8.65%
25.39%
4.79%7.09%
-0.20%
6.76%5.71%
3.03%
-5.05%
16.55%
7.23%
-20%
-15%
-10%
-5%
0%
5%
10%
15%
20%
25%
30%
2007 2008 2009 2010 2011 ITD (annualisedperformance)
Amundi Funds Global Corporate Bond USD ML Global Large Cap Corporate Hedged
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Source : Amundi
Credit views
Long Credit Strong fundamentals & flows plus attractive yield
Long subordinated & covered financials versus senior financial debt
Senior financials are expensive in relative terms
- Long Financials versus Corporate Deleveraging & favorable regulatory environment
- Long national champions against second tier banks
Second tier bank will face financing issues
- Long energy issuers To play the commodity & emerging story
- Long High quality Emerging Corporate bonds
Good fundamentals & strong domestic growth with attractive yield
- Tactical management on new issues Pick up offered by issuers & strong demand
Global Emerging Market Expertise
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Source : Amundi
The Global Emerging Market Debt Asset Class
Spread … Default … Sovereign… Liquidity … Interest Rate & FX Risk
External Corporate Local Debt
Hard Currency (USD & EUR) Emerging Currency
EMBI Global Diversified CEMBI Global Diversified JPM GBI EM
47 countries 27 countries 22 countries
LATAM, Europe, MEA & ASIA
Banks, Retail, Industrial, mining & mineral, Oil & Gas, Telecom, Utilities
Local Interest Rate Curves LATAM, Europe, MEA & ASIA
Modified Duration 6.8 4.8 4.3
Yield 5.9% 5.8% 6.5%
Rating BBB- BBB BBB+
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Source : Amundi
Main Characteristics of Selected Emerging Debt Funds
Asset Class: External Debt CorporateExternal, Corporate & Local
Local Debt
Portfolio : Amundi Oblig Emergents
Amundi SIF Emerging Market Corporate
Amundi Global Emergents
Amundi Funds Emerging Markets Debt
Reference indicator:
100% JPM EMBI Global Diversified (hedged in EUR) since 01.04.2003
100% JPM CEMBI Broad Diversified
50% JP Morgan ELMI Plus (unhedged) + 50% JPM EMBI Global Diversified (hedged in Euro) since 01.01.2005
100% JPM GBI EM Global Diversified
Currency denomination:
EUR USD EUR USD
Tracking Error: 5% p.a. 5% p.a. 8% p.a. 5% p.a.
Total AUM for Emerging Market Debt ~ $ 900 million
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Source : Amundi
Source: Amundi London.
Past performance is not indicative of future returns.
Performance: Amundi Funds Emerging Markets Debt USD
Calendar Year Net Performance as of May 31, 2011
Performance in USD as at 31 May 2011* Reference indicator until 1st of December 2010: JPM EMBI Global Diversified ;since 1st of December 2010: JPM GBI-EM Global Diversified unhedged in USD (EM local debt)
** Since 14/05/2002
9.26
%
20.5
8%
14.5
5%
10.0
4%
1.87
%
-23.
56%
48.8
5%
18.4
0%
6.96
%
7.42
%
9.92
%
6.16
%
16.2
9%
6.44
%12.8
9%
29.8
2%
-12.
03%
10.3
4%
11.5
7%
22.5
0%
-30%
-20%
-10%
0%
10%
20%
30%
40%
50%
60%
2002 (from14/05/2002)
2003 2004 2005 2006 2007 2008 2009 2010 2011
Amundi Funds Emerging Market Debt
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Source : Amundi
Source: Amundi London.
Past performance is not indicative of future returns.
Performance: Amundi Global Emergents
*Since Oct 99 – Jan 2005: JPM EMBI Global Hedged EuroFrom Jan 2005: 50% JPM ELMI + 50% JPM EMBI Global Diversified Hedged Euro** Since 27/10/1999
Calendar Year Net Performance as of May 31, 20116.
72%
10.1
1%
5.24
%
30.6
6%
10.6
9%
21.4
9%
2.96
%
2.50
%
-24.
29%
40.2
4%
20.5
5%
1.25
%
11.2
3%
6.53
%
26.2
8%
12.0
4%
4.34
%
-5.6
1%
0.89
%
10.2
8%15.6
4%
12.1
4%
2.06
%
14.4
8%
14.1
1%
4.25
%
18.4
6%
12.5
4%
-35%
-25%
-15%
-5%
5%
15%
25%
35%
45%
1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 SinceInception
(Annualised)
Amundi Global Emergents - I (C) BENCHMARK
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Source : Amundi
Absolute Yields (%)
0
1
2
3
4
5
6
7
8
9
10
11
12
13
Jan-0
6
May-0
6
Aug-0
6
Dec-
06
Apr-
07
Aug-0
7
Dec-
07
Apr-
08
Aug-0
8
Dec-
08
Apr-
09
Aug-0
9
Dec-
09
Apr-
10
Aug-1
0
Dec-
10
US Cash •Low (negative real rates) Interest Rates •Signs of recovery but some headwinds
EM external debt (EMBIGD)•Strong Fundamentals•Closing credit rating gap to G10•Strong demand/Shrinking offer
EM local debt (GBI EM)
US High Grade (JULI exBBB)
Global Aggregate (GABI)Global GBI•Extra carry due to non-core gov’t & corporate exposure
The Asset Class: Attractive Yields on an Absolute & Relative Basis
Source: Bloomberg/JPM - JULI: US High Grade Corporate - GABI: Global Aggregate
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Source : Amundi
FAQ: Key Investors Concerns (1)… Are we facing a bubble in EM fixed income?
1
3
NO – the long term story is still underowned Valuations are not stretched vs. DM
Asset class is still under-owned among large non-dedicated investors
Total investable universe is north of $2,000 Bn while AuM vs. main benchmarks are only $430 USD
The expansion of the asset class is a dynamic process:
More sovereign local curves will be included in the benchmarks in the future
Local corporate debt will develop once the local sovereign
curves will be more mature
Will China’s pace of expansion keep up with the past 10y trend?
Most likely scenario in the near futureState’s interventionism provide some comfort about growth trend & bubble formation
China has massive needs & massive means (fiscal etc…)
Long term rebalancing toward more domestic driven economy is a key medium goal of the authorities
No – asset classes target different investors Risk/return profile of the asset class is still attractive
New regulations entice institutional investors to invest into FI
Will EM equity RV attractiveness derail the EM FI flow story ?
2
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Source : Amundi
FAQ: Key Investors Concerns (2)…
Is inflation a real risk for EM countries?
5
6
Yes, but major risks are behind us for now Inflation has increased in most EM countries due to commodity prices & strong domestic demand but this is easing.
Non-core inflation is the most affected & inflation has not yet spilled over to expectations
Should prove supportive for FX appreciation
Mid-cycle slowdown will ease overheating concerns
Is political risk over in EM?
No, but more isolated than before Recent events in North Africa prove that political risk is still an issue in EM countries
Yet, events are more isolated & do not have the same contagion impact as they use to have
Political risk is usually priced-in sovereign spreads (ex: Venezuela, Ecuador etc…)
Yes, but less than beforeLong term rebalancing toward more domestic driven economy is a key medium goal of the authorities
Will a long period of sub-par growth in DM dampen EM growth?
4
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Source : Amundi
– Amundi has extensive experience & track record in Global Fixed Income (GFI), global emerging & active currency management:
• Proven investment process first developed in 1993;
• A stable and close-knit team of investment professionals, the core of which has over 18 years of industry experience;
• Distinctive active management style based on diversification and risk allocation;
• Proprietary state-of-the-art risk monitoring tools.
– The convenience of daily liquidity;
– The transparency of performance attribution & risk analysis;
– Consistent track record of strong risk adjusted out-performance:
Global Bonds Composite2 :
information ratio of 0.85 since inception in 1995
Conclusion
Prospectus available upon request. All performance shown is net of a fixed management fee and a performance fee. Past performance is not necessarily a guide to future returns. Changes in rates of exchange and other factors may cause the value of an investment to go up or down. There is no guarantee that you will retain the amount originally invested
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Source : Amundi
Disclaimer
.
This material cannot be considered as 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. This material is not intended for dissemination, distribution to, or use by, any person or entity in any country or jurisdiction which would subject AMUNDI or any of the Funds to any registration requirements within these jurisdictions or where it might be considered as unlawful. Accordingly, this material is for distribution solely in jurisdictions where permitted and to persons who may receive it without breaching applicable legal or regulatory requirements. Your attention is drawn to the fact that you should not access this material if the regulations of your country of citizenship and/or residency or any other applicable regulation prohibit it. Any investor who is in doubt about the contents of this material is strongly recommended to seek independent professional advice and is advised to exercise caution in relation to any investment decision. Investments involve risk. The past performance does not guarantee future results. The value of an investment in any Fund, Sub-Fund security or financial product may fluctuate according to market conditions and any forecasts on the economy, stock market, bond market or the economic trends of the markets are not necessarily a guide to future returns. Changes in rates of exchange and other factors may cause the value of an investment to go up or down. AMUNDI accept no liability whatsoever, whether direct or indirect, that may arise from the use of information contained in this material. AMUNDI can in no way be held responsible for any decision or investment made on the basis of information contained in this material. This material, which is not a contract nor a document certified by statutory auditors, is based on sources that AMUNDI considers to be reliable. Any data provided herein is based on assumptions and parameters that reflect AMUNDI’s good faith judgment and therefore no guarantee is given as to the accuracy, completeness or reasonableness of any such data. Data, opinions and estimates may be changed without notice. The information contained in this document is disclosed to you on a confidential basis and you agree that this material shall not be copied, reproduced, modified, translated or distributed to a third party without the prior written approval of AMUNDI. This material has not been reviewed by any regulatory authority and no regulatory authority takes responsibility for the financial soundness or for the accuracy of any statement made or opinion expressed in this material.The information contained in this material is as of end of March 2009 unless indicated otherwise.Additional information is available upon request.This material, which contains information about Crédit Agricole Asset Management Group and its affiliates and associates (“AMUNDI”) is provided for information purposes only and does not constitute a recommendation, a solicitation, an offer, a request for proposal, an advice or an invitation to purchase or sell any Fund, Sub-Fund, security or financial product, and should in no case be interpreted as such.More particularly AMUNDI does not recommend that you adopt its style of management, asset allocation, expertise, approach, strategies and analysis or to invest in any Fund, Sub-Fund, fund of funds, hedge fund, pension fund, security, financial product, portfolio, mandate, asset class, market, sector or stock market of any kind. In each country where they carry on investment business, Crédit Agricole Asset Management, its subsidiaries, branches, representative offices, affiliates, associates and partners are regulated by their local regulatory authorities: AMUNDI GROUP, a French joint stock company (“Société Anonyme”) with a registered capital of € 16,008,665.92 is registered with the Paris Trade and Companies Registry under number 314 222 902 and is approved by the Comité des établissements de crédit et des entreprises d'investissement (“CECEI”). Registered office: 90 Boulevard Pasteur - 75015 Paris.AMUNDI Funds are not registered or offered for sale in the US and are not available for purchase by US persons. Differences between fund-specific constraints or fees and those of a similarly managed mandate would affect performance results. Past performance is not indicative of future returns. AMUNDI French funds, described in this document, are registered for public sale, with the French Securities Regulator (Autorité des Marchés Financier - “AMF”), in France their country of incorporation, and in some other countries. The information contained herein cannot be considered as a private nor public offer in the jurisdictions where the French funds are not registered for public sale, i.e. other than France.
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Source : Amundi
AMUNDI Oblig Internationales
AMUNDI Oblig Internationales
US Dollar and Euro
Management benchmark: JPM Government Bond Index Broad
Target out-performance: Management Benchmark + 2% p.a.
Tracking error (ex ante): Maximum 6% p.a. (with 66% confidence level)
Interest rate risk: Active modified duration management within a [0;+8] bracket
Currency risk: Active foreign exchange risk management
Investment instruments: up to 100% in OCDE Government, quasi-government & corporate bonds & up to 10% in non-OCDE government bonds (no rating limit)
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Source : Amundi
Past investment performance is not an adequate test of comparative performance, nor a reliable indicator of the expected absolute level of returns in the future.
AMUNDI Oblig Internationales USD
Calendar Year Net Performance as of April 29, 2011(1994-2005: TER of 0.78% p.a. ; 2006 on: TER of 0.8% + perf. fee of 20% > B+2% p.a.)
5.63
%
-10.
85%
4.73
%
3.65
%
33.2
9%
31.2
7%
17.1
1%
3.81
%
11.8
6%
4.18
%
25.0
2%
6.69
%
4.37
%
11.1
8%
-1.4
5%
-6.3
9%
10.8
1%
2.51
%
5.62
%
3.80
%
3.01
%
-4.5
8%
2.20
%
20.7
7%
10.7
8%
6.49
%
15.0
6%
10.3
6%
-20%
-10%
0%
10%
20%
30%
40%
1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011
Amundi OBLIG INTERNATIONALES USD JPM GLOBAL BROAD USD
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Source : Amundi
Past investment performance is not an adequate test of comparative performance, nor a reliable indicator of the expected absolute level of returns in the future.
AMUNDI Oblig Internationales USD
Calendar Year Net Performance as of April 29, 2011(1994-2005: TER of 0.78% p.a. ; 2006 on: TER of 0.8% + perf. fee of 20% > B+2% p.a.)
MULTIU 04-2011 2011 2010 2009 2008 2007
OECD Bonds -1.07 -0.77 -2.41 7.14 1.93 -0.86Global bond exposure -0.06 0.03 0.59 1.59 2.56 -0.83Country allocation 0.21 -0.02 0.30 1.78 -0.80 -1.15Yield curve segment allocation -0.20 0.23 -1.26 3.76 0.17 0.80Bond selection -1.02 -1.01 -2.04 0.00 0.00 0.32
Credit 0.48 0.86 1.19 8.33 -1.79 -0.33
Credit exposure 0.48 0.71 0.26 7.64 -0.85 0.00
Emerging market exposure 0.00 0.15 0.92 0.69 -0.94 -0.33Currencies -0.76 0.05 2.13 10.22 -5.15 -6.50USD exposure -1.37 -2.23Inter Bloc (EUR / JPY / CAD) 0.13 0.90Intra Bloc -0.09 0.45Emerging Currency allocation 0.57 0.93Trading 0.11 0.70 1.05 0.40 -1.53 1.41-0.07
Fixed & Variable fees -0.07 -0.27 -0.88 -3.57 -0.81 -0.35
Total Out-performance -1.31% 0.57% 1.07% 22.51% -7.35% -6.63%Absolute Portfolio Performance 1.75% 4.37% 6.69% 25.02% 3.01% 4.18%
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Source : Amundi
Amundi London Views – Bonds & Credit
Source: Amundi London. Data as at 13/03/11
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Source : Amundi
Core Strategies - Amundi London
Source: Amundi London. Data as at 02/06/2011
Overweight / Long
Curve Flattening
Eurozone Periphery
Risk:
Credit Emerging Debt
USD, NOK, GBP, NZD
Underweight / Short
Duration
Commodity currencies
€, ¥, CHF
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Source : Amundi
Amundi London Views - Currency
Source: Amundi London. Data as at 02/06/2011
- - page 34
Source : Amundi
3 – Outlook – FX Market
Source: Amundi
0.60
0.80
1.00
1.20
1.40
1.60
1.80
1975 1977 1979 1981 1983 1985 1987 1989 1991 1993 1995 1997 1999 2001 2003 2005 2007 2009 2011
EURUSD
Amundi PPP1
Amundi PPP2
BB PPP
OECD PPP
MS PPP
2StDevMax
2StDevMin