Crédit Agricole Asset Management (CAAM) has launched two diversifying sub-funds, CA Funds Volatility Equities and CA Funds Dynarbitrage High Yield, within Crédit Agricole Funds, its international flagship SICAV domiciled in Luxembourg.
UCITs III compliant, the two sub-funds offer institutional investors diversification and performance, and, says CAAM, demonstrate its ability to leverage its in-house derivatives expertise to create innovative products.
CA Funds Volatility Equities offers a pure, flexible and optimal exposure to fluctuations in volatility in the Euro zone equities markets. The innovation in CA Funds Volatility Equities comes from its level of variable indexing to volatility, which enables the fund to be exposed to structural trends in volatility of Euro zone equity markets, while benefiting from short-term fluctuations in volatility.
The fund offers the possibility of setting up a positive directional position on the implied equity volatility. Sensitivity will reduce gradually as volatility regresses to its long-term mean, with a negative directional position beyond that point. It also enables investors to benefit from daily fluctuations in volatility around the thresholds defined by the fund management team, whatever the absolute level of
'Traditionally considered as a risk indicator, volatility is used by CA Funds Volatility Equities as a source of performance, by taking advantage of both its medium-term cyclical trend and its daily fluctuations.' commented Emmanuel Bourdeix, Head of Satellite Equity teams atCAAM. 'It provides an ingenious way of reducing overall portfolio risk and thereby protecting investors with high exposure to Euro equities or credit. This is largely due to its 'de-correlated behaviour' compared with current trends in equity returns and credit spreads.'
CA Funds Dynarbitrage High Yield seeks absolute return through an actively managed portfolio of High Yield European bonds, with a limited risk budget. It also combines arbitrage strategies and directional strategies.
CAAM states: 'The High Yield market offers an original and attractive source of diversification for investors. IHigh Yield bonds have very low correlation with interest rate risk and only a moderate correlation with equities. The European high Yield market is a fast growing market and offers attractive performance potential thanks to an increasing issuer diversification.'
Laurent Crosnier, Head of Inflation, Duration and Credit at CAAM said 'By employing arbitrage strategies, we aim to take advantage of the variability between spreads in order to generate value for investors. Through our directional strategies, with the use of derivatives products, we are also able to exploit trends in the movement of certain securities, while limiting the sub-fund's systematic exposure to the High Yield market.'
Active in High Yield bond markets since 2001, CAAM is currently has over EUR 1.5 billion in assets under management (at December 2006) in this asset class.