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Amundi Asset Management (Previously Credit Agricole Asset Management)

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Amundi Asset Management (Previously Credit Agricole Asset Management) Amundi Asset Management (previously Credit Agricole Asset Management) Manages global multi-sector bonds for MLC (since 2010) Manages A$1,192 billion across the world as at 30 June 2014 Amundi was formed by combining the asset management expertise of two major financial institutions: Crédit Agricole S.A. and Société Générale. The Global Fixed Income Team is based in Singapore and London. Amundi has been managing global fixed income since 1965. Why MLC has chosen Amundi? The team’s pragmatic approach to generating investment ideas served them well during the extreme market conditions of recent years. They also bring a different perspective, being based outside the US. Amundi’s distinctive investment approach complements MLC’s other multi-sector bond managers very well. Philosophy on investing Amundi’s investment process is based on a rigorous global top-down approach consisting of allocating the active risk of the portfolio across several normally low-correlated sources of added value. The key factors to generating strong risk-adjusted outperformance include: accuracy and, as importantly, statistical consistency of market views broad diversification between assets, strategies, managers and instruments, with a clear-cut split between long-term statistical (market) diversification and short-term objective (managers) diversification focus on portfolio construction based upon an overlay of separate risk allocations balanced mix between active relative value (long/short) management and pure market directional anticipation, and systematic quantification and continuous monitoring of all contributors to risk and performance. 1 Investment process Amundi’s five-step risk (and not asset) allocation process is based on the quantification, allocation and monitoring of active risk budgets (relative to a benchmark), with a proven ability to control the risk contribution and diversification effect of our positions across government bonds, corporate, currencies and emerging credit. Amundi Strategic Economic Research Idea Generation: Macroeconomic, Macroeconomic Analysis 1 quantitative models Quantitative Research Fixed Income Platform External Research Scenario Construction: Market Data Architects Committee & 2 Strategic Views Sheet Risk Adjusted Model Management Portfolio Construction 3 Guidelines Control: Risk Continuous Ex-ante & Ex-post risk & performance monitoring monitoring & performance risk Ex-post & Ex-ante Implementation of Actual Market Timing, Portfolio & Tactical Trading etc Management 4 5 Source : Amundi The five steps of this process are as follows. Step 1: Macroeconomic analysis The Global Fixed Income team benefits from the Research resources of Amundi Group, including but not limited to our Crédit Agricole S.A.’s Macro Economic Research department , Amundi’s Strategy, Emerging Debt & Currency team (London), Corporate Credit team (London, Paris & Singapore), and Amundi’s GFI Quantitative Research team (London & Paris), to put together a monthly macro-economic scenario for the G10 markets. For developed G10 currencies, the Global Fixed Income team runs a proprietary Purchasing Power Parity (PPP) model to determine long-term trends on currencies with similar state of economic development. Step 2: Construction of the strategic bond and currency scenario The “architect forum” convenes on an ad hoc basis, whenever market conditions dictate, to determine the team’s strategic and tactical views on the main global sovereign, corporate and emerging bond (if applicable) and currency markets as well as alternative risk scenarios. It is the role of the architects to establish a strategic set of investment views on all asset classes by considering the views of all team members and, where necessary, challenging the views of the team in order to examine our investment rationale and arrive at a robust conclusion. The architect managers assign scores ranging from +4 to -4 depending on their level of conviction. If the team does not have a view on an asset class or strategy, it will give a neutral (=) or no view (X) score. These scores (+4 to -4) represent an anticipated divergence of the asset class or strategy from its long-term performance. The global fixed income and currency views generated by the architect forum as well as those produced by other fixed income teams are gathered by the senior members of the Fixed Income Platform for debate prior to submitting the final cut to the Investment Orientation and Policy Committee (“Global Investment Committee”) for approval. Market views as well as key flagship portfolio positions are formally reviewed and validated on a regular basis (at least monthly) at the Fixed Income platform and the Global Investment Committee levels to ensure Amundi’s global views are correctly implemented in client portfolios. The resulting set of qualitative views and positions are then quantified and optimised by the London-based Quant Research analysts, using a proprietary optimiser. This allows the translation of qualitative views into statistically consistent quantitative forecasts taking into account past volatilities and correlations. 2 The diagram below shows how individual portfolio managers contribute to the team’s view by bringing their value add within the risk budget. Laurent Crosnier, the London Branch CIO, has the final decision-making power concerning the views. Global Macro Views Directional Relative Value Tactical Management Country Allocation Bond Selection Bonds Duration Curve Allocation Short-Term Trading G4 Allocation EM Ccy Allocation $ Exposure Currencies Intra/Inter-bloc Allocation Short-Term Trading EM Ccy Allocation Regional Allocation Market/Industry Credit Credit Exposure Macro Sector Allocation Bond Selection Short-Term Trading External / Local Debt Corporate Emerging Emerging Exposure Region, Country, Curve Bond Selection Emerging Exposure Short-Term Trading Note: the chart illustrates the average risk allocation across directional, relative value and overlay strategies. The investment universe and risk budget can be tailored to each client’s constraints. Step 3: Model portfolio construction The resulting market scenario is then reconciled with different sets of client investment constraints (benchmark, tracking error, investment universe) to produce model portfolios. This process is handled by the same Quant Research analysts, again with the aid of inhouse optimisation software. Each portfolio (set of specific constraints) has a corresponding model portfolio that provides a target bond and currency risk allocation. Step 4: Client portfolio construction and tactical management Construction of the client portfolio consists of investing the optimised strategic model portfolio and implementing tactical positions within each portfolio’s pre-defined leeway. The goal is to supplement the statistical (asset class) diversification with the benefit of the fund managers’ specialist expertise and market experience. Depending on the investor’s guidelines, this tactical management may represent up to one third of the total tracking error of the portfolio and includes: relative value management (i.e., arbitrages between government, quasi-government, agency and supranational bonds, etc.) tactical management of modified duration using bond futures, and tactical management of currency exposure. Step 5: Continuous risk monitoring Risk is monitored and managed at every stage of the investment process, and continuous risk monitoring takes place both ex-ante and ex-post to ensure compliance with portfolio guidelines. Risk is monitored at three levels: 3 First level Investment teams The investment teams continuously monitor portfolios’ composition and consistency with the investment strategy as well as the authorised risk limits. The tools at the disposal of each manager enable him/her to check the impact of any investment decision on the portfolio structure and its compliance with the applicable constraints (risk profile, regulatory, contractual and internal constraints). Once the preliminary controls have been completed, the managers send their instructions to the trading desk through the electronic order book, thus ensuring an audit trail (pre-allocation, time registration). Trading The traders receive orders from the electronic order book, check consistency and feasibility and then place orders in line with Amundi’s best execution policy with authorised counterparties. Middle Office The Middle Office checks that counterparty confirmations match the orders executed by the trading desks. It ensures that all transactions are processed correctly and updates the account holdings and positions monitoring system (DECALOG), thus guaranteeing accurate portfolio positions. The Middle Office also reconciles positions with custodians. Second level Two specialised independent functions are involved at the second control level: Risk Department Amundi Singapore has a dedicated local risk control team (three staff) which is fully integrated in terms of method and organization to the Amundi Risk Business Line. Independent from operational departments, the Risk Department reports to the CEO and also to the Risk Department of Amundi. The main responsibilities of the Singapore Risk Team are: Ensuring that Amundi Singapore complies with all commitments as part of its investment activities (contractual, legal, regulatory), Defining a supervisory and monitoring activities framework, to ensure that these commitments are met and/or to identify any discrepancy against these commitments to enable appropriate
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