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Absolute Volatility Equities Strategy Exploit Mean Reversion in One-Year Implied Volatility of Equity Markets1

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Absolute Volatility Equities Strategy Exploit Mean Reversion in One-Year Implied Volatility of Equity Markets1 Absolute Volatility Equities Strategy Exploit mean reversion in one-year implied volatility of equity markets1 A key Amundi expertise embodied by two investment solutions: - Amundi Funds Absolute Volatility World Equities - Amundi Funds Absolute Volatility Euro Equities The strategy aimes at offering pure exposure to volatility of developed equity markets1. It is used as a diversification tool and its active management can generate absolute returns2 in a favourable market environment1. In a nutshell 1 Diversifided returns 2 Enhance performance2 3 Proven +10 year track record3 ■ Equity volatility is negatively correlated ■ The actively managed volatility strategy ■ Fund performance predictable according with equity markets. Volatility normally can also offer an attractive source of to anticipated volatility, due to transparency rises when markets are suffering periods absolute return2 when volatility is high of process, of performance engines and of of stress, which usually depresses cash and/or fluctuates sufficiently fund positioning equity prices1. The long volatility bias of the ■ Besides the directional exposure to mid- ■ Amundi features among pioneers in strategy provides good diversification term volatility trends, the process allows to volatility strategies : team in place since ■ With equity market volatility below its benefit from short-term volatility fluctuations 2000, process since 2005, with AuM in long term average, this volatility strategy i.e. the “volatility of volatility”1 excess of €2bn since 20103 can provide a useful tail hedge for portfolios against deteriorating conditions2 A decorrelated strategy4 ■ Equity market drawdowns driven by fear Broad Asset Classes Amundi Funds Absolute Volatility World Equities5 and risk aversion create on average larger and more abrupt swings than upward moves driven 3 years Since inception by investor confidence. Thus equity volatility is MSCI WORLD -0.80 -0.19 negatively correlated with equity markets. Hedge Fund - Global -0.77 -0.37 ■ The directional strategy shows negative correlation with equities, commodities and Hedge Fund - Global Hedge -0.76 -0.39 hedge fund indices, when it has a long volatility exposure (e.g. the past 3 years). Commodities (S&P GSCI Total Return) -0.24 -0.05 ■ When taking into account periods during which the strategy is short volatility, the strategy Global Aggregate Bond (JPM Global Bonds) 0.20 0.17 becomes largely decorrelated to most traditional VIX Index 0.68 0.42 asset classes 1. Past performance does not serve as either an indication of future results or a guarantee of future returns. 2. The sub-fund does not offer any capital protection or performance guarantee. 3. Source: Amundi as of 31/03/2017. Past performance does not serve as either an indication of future results or a guarantee of future returns. Launch date of Amundi Funds Absolute Volatility World Equities AU - C (LU0319687124): 15/11/2007. Launch date of Amundi Funds Absolute Volatility Euro Equities AE - C (LU027941971): 13/11/2006. 4. Given for indicative purposes only, may change without prior notice. 5. Source: Bloomberg as of 31/03/2017. This material is solely for the attention of “professional” investors (see more details and definitions at the back). Absolute Volatility Equities Strategy Exploit mean reversion in one-year implied volatility of equity markets Investment process1 2 ■ The objective of these sub-funds consists ■ The investment team combines two/three Exposure Grid in seeking a positive return in any type of complementary engines.2 market condition (absolute return strategy). - First, directional exposure to the mean-reverting Specifically, the sub-funds seek to outperform nature of volatility, which benefits when volatility (after applicable fees) the EONIA (compounded is high or low. To take advantage of the return to daily) index (Amundi Funds Absolute Volatility a normal volatility regime, the investment team [ [ Euro Equities)/ the USD LIBOR 1-month index follows an adjustable exposure grid. [ [ (Amundi Funds Absolute Volatility World Equities) - Second, exposure to short-term fluctuations + 3% a year over any given 3-year period while in volatility, which benefits when volatility is itself [ [ offering controlled risk exposure. volatile. [ [ ■ The strategy offers pure exposure to implied - Third, geographical allocation (Vol World only): volatility of equity markets, by capturing to the US, Eurozone and Asia. the mean-reverting behaviour of volatility of 1. For further details regarding the investment policy, please various indices. In order to isolate the volatility refer to the Key Investor Information Document (KIID) and the component, it combines positions in listed Prospectus of Amundi Funds. 2. Given for illustration purposes only, may change without prior notice in the limits stated in the options and futures contracts.2 Prospectus. 3. Vega exposure: theoretical fund performance change per 1% of volatility change. Investment team Key information Amundi is a pioneer in volatility management and Amundi Funds Absolute Volatility Amundi Funds Absolute Volatility has been running active strategies successfully World Equities (AU) Euro Equities (AE) since 2000. Amundi currently manages around C: LU0319687124 C: LU027941971 ISIN ISIN €3.6bn1 in the Directional Volatility strategies. D: LU0319687397 D LU027942359 Our investment team has the management Reference currency USD Reference currency EUR skills required for capturing opportunities Recommended Recommended using derivatives, and draws on Amundi’s minimum 3 years minimum 3 years extensive resources. investment horizon investment horizon Max entry charge 4.50% Max entry charge 4.50% Gilbert Keskin Estimated annual Estimated annual 1.61% 1.62% ongoing charges Co-Head Volatility and Convertible ongoing charges Bonds 20.00% a year of any returns the Sub-Fund 20.00% a year of any returns the Sub-Fund Performance fee2 Performance fee2 achieves above EONIA (compounded daily) achieves above USD LIBOR 1-month + 3 % index + 3% Eric Hermitte Exit charges None Exit charges None Co-Head Volatility and Convertible Launch date 15/11/2007 Launch date 13/11/2006 Bonds Risk and reward profile (SRRI)3 Risk and reward profile (SRRI)3 Lower risk, potentially lower return Lower risk, potentially lower return Higher risk, potentially higher return Higher risk, potentially higher return 1. For information purposes only. Source: Amundi, end March 2017. This document is provided in addition to the Key Investor Information Document (KIID) and should be understood in light of the latter. 2. Details of the performance fee are explained in the Prospectus of the SICAV. 3. The SRRI corresponds to the risk/reward profile shown in the Key Investor Information Document (KIID). The lowest category does not mean a “risk-free” investment. The SRRI is not guaranteed and may vary over time. Legal information Daily valuation This document contains information on Amundi Funds Absolute Volatility Euro Equities and Amundi Funds Absolute Volatility World Equities. ■ amundi.com The SICAV is an undertaking for collective investment existing under Part II of the Luxembourg law of 17 December 2010, organised as a société d’investissement à capital variable and registered with the Luxembourg Trade and Companies Register under number B 26.004. The Sicav has its registered office at 5, Allée Scheffer, l-2520 Luxembourg. The SICAV has been authorised for public sale in Luxembourg by the Commission de Surveillance du Secteur Financier. Not all sub-funds of the SICAV (the «Sub-Funds») will This material is solely for the attention of institutional, professional, necessarily be registered or authorized for sale in all jurisdictions or be available to all investors. Subscriptions in the Sub-Fund will qualified or sophisticated investors and distributors. It is not to only be accepted on the basis of the SICAV’s latest complete prospectus, its latest annual and semi-annual reports and its articles of be distributed to the general public, private customers or retail incorporation that may be obtained, free of charge, at the registered office of the SICAV or respectively at that of the representative investors in any jurisdiction whatsoever nor to “US Persons”. It agent duly authorized and agreed by the relevant authority of each relevant concerned jurisdiction. Consideration should be given to is not intended for citizens or residents of the United States of whether the risks attached to an investment in the Sub-Funds are suitable for prospective investors who should ensure that they fully America or to any «U.S. Person» , as this term is defined in SEC understand the contents of this document. A professional advisor should be consulted to determine whether an investment in the Regulation S under the U.S. Securities Act of 1933 and in the Sub-Funds is suitable. Consideration should be given to whether the risks attached to an investment in the Sub-Funds are suitable prospectus of the Fund. Moreover, any such investor should for prospective investors who should ensure that they fully understand the contents of this document. A professional advisor should be, in the European Union, a “Professional” investor as defined be consulted to determine whether an investment in the Sub-Funds is suitable. The value of, and any income from, an investment in Directive 2004/39/EC dated 21 April 2004 on markets in in the Sub-Fund can decrease as well as increase. The Sub-Fund have no guaranteed performance. Further, past performance is financial instruments (“MIFID”)
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