Multi-asset strategies, by their nature, offer a broad spread of returns, but the manager that has come top of the performance tables over the three years to March, with two funds, is Paris-based Amundi Asset Management.
The Amundi Capital VaR 20 fund came top with a total return of 28.6% by applying leverage to the process used by Amundi Fund Absolute VaR 4, which came second with 17.9%. The performance was impressive, despite the funds’ disappointing returns over one year, when Amundi Capital lost 4.4% and Amundi Fund lost 2.6%, both apprearing near the bottom of the tables. Delaware Investments' dividend income fund is named as the next best over three years by data provider Camradata with 14.7%.
The basic Amundi Capital VaR 4 fund derives its number from a target not to suffer a fall in value greater than 4% in normal market conditions. The target maximum loss of 20% for the Amundi Capital fund reflects its higher leverage: the manager declines to discuss this product, which has characteristics in common with hedge funds because it is marketed outside the Ucits umbrella.
Merrick Styles, Amundi’s head of absolute return in London, said the products derive two thirds of their performance from the top down views of seven architects, including him, who seek to put together views on short and longer term opportunities. The other third is derived from the performance of three overlay funds investing in opportunities in emerging markets, commodities and volatility.
The volatility fund is led by Fabio Castaldi and Alexandre Burgues adds an unusual twist to the Amundi fund, seeking to use investments in instruments such as variance swaps and out-of-the-money options to place bets ahead of market turbulence. Amundi is well known for its volatility strategies, currently managing €6bn.
Styles said that Amundi’s funds outperformed in 2009 and 2010 thanks to its bets on market recovery: “As markets deteriorated in 2008 we raised our bets in credit, equities and other instruments, and they came good in 2009.”
Over the last few months, the strategy has run out of puff. But Styles sees prospects for a limited recovery in poorer quality credit as well as equities. It is negative on the Swiss franc and the Japanese yen, but positive on the dollar. (source : link)