amundi presentation citywire montreux may 2013

Amundi Funds Equity Europe Minimum

Variance Citywire Montreux

May 22-24, 2013

Melchior Dechelette

Head of Equity Thematic

This material is solely for the attention of "professional” investors (see more details and definitions at the end of the document).

FOR EXCLUSIVE USE OF PROFESSIONAL CLIENTS

Citywire – April 2013 - page 2


Amundi, one of the world largest asset managers

Mutual fund management

open-ended funds

Asset management for

institutional clients in terms of AUM

€727.4 Bn AUM1

No.13 No.2 4

No.2 2

No.2 5

No.9

2

No.5

6

1.Amundi Group figures as at 31 December 2012. 2. Total net assets - Source : IPE «Top 400 global asset managers active in the European marketplace » published in June 2012, data as at December 2011. Ranking established from a questionnaire fulfilled by fund management companies total AUM as at December 2011 (open-end funds, dedicated funds, mandates). Ranking modified to account for a double counting of assets. 3. Source Europerformance NMO – December 2012– French domiciled funds. 4.Source Lipper FMI –December 2012 - funds domiciled in Europe and in related offshore territories. 5. in Europe- Open-ended funds, dedicated funds, mandates- Source Top 120 IPE European Institutional Managers published in June 2012, data as at December 2011. 6. Open-ended funds, dedicated funds, mandates- Source Top 120 IPE European Institutional Managers published in June 2012, data as at December 2011.




Located in some 30 countries across 5 continents, Amundi covers the main

markets and investment regions throughout the world.

With a strong local presence, Amundi is committed to offering its clients a

relationship defined by both proximity and a long term view.

Amundi, a broad international presence

Citywire May 2013 - page 3


Citywire – April 2013 - page 4 Citywire – April 2013 - page 4

Minimum Variance strategy key points

Obtain a higher Sharpe ratio by outperforming the market while reducing

volatility

Protect the portfolio against drawdowns by limiting risk concentrations

and therefore bubbles

Invest high quality stocks with strong fundamentals

Use internally developed advanced risk tools to avoid traps of purely

systematic procedures

Offer a portfolio resilient in bear markets but performing in bull markets

“ Diversification is the only free lunch” Markowitz June 1952

Citywire May 2013 - page 4 Citywire May 2013 - page 4


Why risk efficient solutions?

Sector Weight

Energy 9.8%

Materials 7.4%

Industrials 9.2%

Consumer Discretionary 9.6%

Consumer Staples 9.1%

Health Care 8.1%

Financials 30.5%

Information Technology 3.8%

Telecommunication Services 6.5%

Utilities 6.1%

Source : Amundi, MSCI Datastream - Weights of GICS1 sectors - december 2006

Market data are no reliable indicators for future market behaviours.

Sector weightings of the world market cap index - MSCI World

Market cap weighted index is not diversified in terms of risks



A low yield context calling for new strategies

Impact of low interest rates

Our proposal:

Make equities relatively more attractive

Fixed Income diversification seems to be skewed towards negative outcome

Make classical diversification (bond/equity) framework ineffective

Interest rates at 2%:

how low can they go ?

how high can they go ?

• reduce risk1 in the portfolio

• diversify within the equity market


1- No capital guarantee.



Market capitalization indexes

Source: MSCI, Datastream. Data as of end December 2012.


Equity indexes are usually prone to

Sectors’ concentration

Weights of sectors in global cap weighted index

0%

5%

10%

15%

20%

25%

30%

35%

73 78 83 88 93 98 03 08

Oil & Gas

Technology

Financial

0%

5%

10%

15%

20%

25%

30%

35%

40%

45%

50%

79 84 89 94 99 04 09

Countries’ concentration

Weights of Japan in global cap weighted index



Market capitalization indexes

Source: MSCI, Datastream. Data as of end December 2012.


Equity indexes are usually prone to

Stocks’ concentration

MSCI Europe - 436 stocks

10% of risk budget on 5 stocks

50% of risk budget on 47 stocks

Risk analysis – MSCI Europe

Company Name Contribution to

total risk HSBC 3.0%

BP 2.0%

Santander 1.7%

Total SA 1.7%

Rio Tinto 1.6%

Total 10.0%



Amundi Funds Equity Europe Minimum Variance

Improve the efficiency of the equity exposure: lower risk and long term capital gains

A three-pillar investment process focused on the risk reduction of the portfolio

With Amundi, aim for return with a lower risk

1. Manage fundamental risk High quality stock selection

2. Reduce Volatility

3. Mitigate model risk

Source: Amundi

For illustrative purposes only. Citywire May 2013 - page 9


Portfolio style exposures

-100

-80

-60

-40

-20

0

20

40

60

Aug-09 Feb-10 Aug-10 Feb-11 Aug-11 Feb-12 Aug-12 Feb-13

EU DivYld EU Growth

EU Leverage EU Momentum

EU Profit EU Size

EU Value EU Volatility

Source: Amundi, Bloomberg, data as at end of March 2013




04/2009 - 04/2013 Cumulative

Return

Annualized

Return Volatility

Sharpe

ratio

Max

Drawdown

Up

participation

Down

participation

Amundi Funds Equity Europe

Minimum Variance - IE (net) 67.8% 14,2% 13.8% 1,00 -15.7% 67.6% 32.0%

MSCI Europe 65.4% 13,8% 18.6% 0.71 -24.3%

Attractive performances

Source: Amundi. Net performance in EUR as at end April 2013. Daily data. Net performance of Amundi Funds Equity Europe Minimum Variance

– IE (C). Past performance is no reliable indicator for future returns.

For further details regarding performance, please refer to the Key Investor Information Document (KIID) of the sub-fund.


90

100

110

120

130

140

150

160

170

180

Apr-09 Oct-09 Apr-10 Oct-10 Apr-11 Oct-11 Apr-12 Oct-12 Apr-13

Amundi Fds Eq Europe Minimum Variance IE

MSCI Europe


80

90

100

110

120

130

140

150

160

Apr-09 Oct-09 Apr-10 Oct-10 Apr-11 Oct-11 Apr-12 Oct-12

Balanced I

Balanced II

Benefits of Minimum Variance and risk asset allocation

Source: Amundi. Buy and hold strategies with inception date April 29th 2009. Amundi Funds Equity Europe Minimum Variance was

activated on 13 April 2012 following the merger with Structura Minimum Variance Europe which results from the absorption of

Amundi Funds Minimum Variance Europe (created in April 2009) on 13 May 2011. ). Past performance is no reliable indicator for

future returns. Market data are no reliable indicators for future market behaviours.

With the same 10% risk budget you can invest in:

Portfolio Balanced I: 50% MSCI Europe + 50% Barclays Euro Corp

Portfolio Balanced II: 70% Amundi Fds Eq Eur Minimum Variance (net) + 30% Barclays Euro Corp

Balanced I: +43.3%

Balanced II : +54.2%



Data Source - ©[2013] Morningstar, Inc. All Rights Reserved. The information contained herein: (1) is proprietary to Morningstar and/or its content providers; (2) may not be copied or distributed; and (3) is not warranted to be accurate, complete or timely. Neither Morningstar nor its content providers are responsible for any damages or losses arising from any use of this information. 3 Lipper is not responsible for the accuracy, reliability or completeness of the information that you obtain. In addition, Lipper will not be liable for any loss or damage resulting from information obtained from Lipper or any of its affiliates. © Thomson Reuters 2013. All rights reserved. Source: Amundi, data, organisation and net performance of Amundi Funds Equity Europe Minimum Variance – IE (C) as at End April 2013. Past performances do not prejudge future performances.

Minimum Variance expertise at Amundi

Seven years experience in risk efficient solutions

€ 1.5bn AUM in risk efficient solutions

Three-members team backed by three quant analysts

First fund launched in 2007

European, Global Developed, and Global Emerging investment universe

Competitive ranking and attractive performance

5-star rated by Morningstar

1st Lipper quartile over 3 years

+14,2 % since inception annual based performance

1,0 Sharpe ratio since inception



Appendices



Minimum Variance team Melchior Dechelette: Co-Head of Thematic Equity management, Senior Portfolio manager • Joined Amundi (previously CAAM) in 2002 and served as European equity manager until 2004.

• Previously worked as a portfolio manager and buy-side analysis for CPR AM (1998-2002).

• Credit analysis, Defeasance Management, Project Finance Management for Archon Group 1993-1998

• Holds a MA in Finance from Paris IX Dauphine University.

Julien Bonnin, CIIA: Co-Portfolio manager • Joined Amundi (previously CAAM) in 2002 as a junior European Equity portfolio manager.

• Previous experience includes portfolio management at Indosuez Private Banking (1999-2000) & CPR AM (2000-2002).

• Holds a MA in Finance from Paris IX Dauphine and is a CIIA.

Olivier Avertin: Co-Portfolio manager • Joined Amundi (previously CAAM) in 2007 as a Global equity and Absolute return portfolio manager

• Was previously proprietary trader at Exane for eight years, managing absolute return quantitative stock-picking and discretionary

global macro strategies.

• Holds a Postgraduate degree in Finance from IEP (Institute of Political Science Paris) and a Postgraduate degree in Applied

Mathematics from the University of Paris Dauphine

Alessandro Russo, CFA: Head of Equity Quantitative Research • Head of the Equity and Volatility Arbitrage Quantitative research team (7 people) of Amundi since 2007.

• Previously held the position of head of quantitative research at Amundi in Milan, where he joined in 2005.

• Graduated from Bocconi University, and is a CFA Chartholder.

Frédéric Lepetit: Quantitative Analyst • Joined Amundi’s quantitative research department in July 2010 as a quantitative analyst.

• Previously worked for SGAM as a quantitative analyst.

• Graduated from La Sorbonne University with a degree in economy and asset management.

Thierry Morel: Quantitative Analyst • Joined Amundi’s Research department in 2007.

• Graduated from HEC and completed his studies with a MA in quantitative economics at Ecole Normale Supérieure.

Citywire May 2013 - page 15 Source: Amundi.


Minimum variance Strategy performance since inception

123

110

93

40

50

60

70

80

90

100

110

120

130

10

/12

/20

07

31

/01

/20

08

20

/03

/20

08

16

/05

/20

08

04

/07

/20

08

26

/08

/20

08

14

/10

/20

08

04

/12

/20

08

30

/01

/20

09

20

/03

/20

09

05

/15

/20

09

07

/08

/20

09

08

/26

/20

09

10

/14

/20

09

12

/02

/20

09

01

/25

/20

10

03

/15

/20

10

05

/05

/20

10

06

/28

/20

10

08

/16

/20

10

10

/04

/20

10

11

/23

/20

10

01

/11

/20

11

03

/01

/20

11

04

/19

/20

11

06

/10

/20

11

08

/02

/20

11

09

/21

/20

11

11

/10

/20

11

12

/30

/20

11

02

/17

/20

12

04

/10

/20

12

06

/01

/20

12

07

/20

/20

12

09

/10

/20

12

10

/29

/20

12

12

/18

/20

12

02

/11

/20

13

20

12

Fundamental Minimum Variance Minimum Variance model MSCI Europe

Data Dec 2007 - March 2013


Source: Amundi.

Risk diversification: There is hope !

Portfolio total risk is reduced

Risk is better diversified among axes

From To

60% Market risk / commonly called “beta”

All other Risks represent low correlated

portfolios within the market

Other risk axes: for example US Consumer & Tech vs Piigs, Asia Natural resources vs Piigs, Low vol Europe ex-Euro Small Cap vs

Cyclicals, US Tech & Defensives vs Asia ex Japan

“Diversification is the only free lunch” – H. Markowitz


Generate performance by diversifying away from market axis

Source: Amundi

-10

-5

0

5

10

15

20

25

30

35

May-09 Nov-09 May-10 Nov-10

Market risk premium2nd risk axis3rd risk axis4th risk axis5th risk axis

80

100

120

140

160

180

200

May-09 Nov-09 May-10 Nov-10

Amundi MinVar

MSCI EM

80

90

100

110

120

130

140

Mar-11 Sep-11 Mar-12 Sep-12 Mar-13

Amundi MinVar

MSCI EM

-10

-5

0

5

10

15

20

25

Mar-11 Sep-11 Mar-12 Sep-12 Mar-13

Market risk premium2nd risk axis3rd risk axis4th risk axis5th risk axis

Risk On : May 2009-April 2011 Risk Off : April 2011-March 2013


Quality selection: performances and risk

12/2000-12/2012Cumulated

Return

Annualized

ReturnVolatility

Sharpe

Ratio

High quality stocks 221,4% 10,1% 17,0% 0,48

Low quality stocks 117,9% 6,7% 20,9% 0,22

MSCI World EQW 160,1% 8,2% 18,5% 0,33

Reducing volatility

and

enhancing expected

return

at the stock selection

stage

0

50

100

150

200

250

300

350

Dec-00 Dec-01 Dec-02 Dec-03 Dec-04 Dec-05 Dec-06 Dec-07 Dec-08 Dec-09 Dec-10 Dec-11 Dec-12

High quality stocks

Low quality stocks

MSCI World EQW

Source: Amundi – Quant Research. Simulated TR gross performances in USD.

Data from 31/12/2000 to 31/12/2012

* Refined version of the Piotroski score. Details provided in appendix Citywire May 2013 - page 19

Quality selection: selection metrics

Our stock selection has :

A higher quality and debt score

A higher FCF yield

Source: Amundi – February 2013

MSCI World

Our stock

selection

MSCI WORLD Stocks nber % Div Yield Pay-out FCF YQuality

score

Debt/ mkt

cap

Utilities 82 5% 4,3% 73% -1,5% 526 164%

Consumer Discretionary 238 15% 2,0% 30% 5,3% 594 16%

Consumer Staples 125 8% 2,5% 41% 4,9% 576 19%

Telecommunication Services 48 3% 5,1% 68% 9,6% 586 69%

Financials 331 21% 3,0% 53% NS 247 NS

Information Technology 147 9% 1,6% 25% 6,5% 547 -7%

Health Care 116 7% 1,6% 26% 6,6% 571 6%

Industrials 259 16% 2,3% 40% 5,1% 559 30%

Energy 118 7% 1,8% 74% 0,5% 584 35%

Materials 146 9% 2,1% 33% 3,4% 564 36%

1610 100% 2,4% 43% 3,6% 502 25%

Selection MVStocks

nber% Div Yield Pay-out FCF Y

Quality

score

Debt/ mkt

cap

Utilities 10 2% 3,8% 51% 5,1% 579 64%

Consumer Discretionary 89 21% 2,0% 29% 5,7% 674 1%

Consumer Staples 44 10% 2,6% 43% 5,1% 680 5%

Telecommunication Services 15 4% 4,6% 60% 8,2% 640 33%

Financials 51 12% 2,9% 35% NS 409 NS

Information Technology 59 14% 1,7% 24% 7,1% 634 -13%

Health Care 46 11% 1,6% 25% 6,6% 631 -1%

Industrials 70 17% 2,3% 33% 5,9% 641 3%

Energy 13 3% 2,5% 28% 5,6% 693 10%

Materials 25 6% 2,5% 38% 4,8% 684 5%

422 100% 2,3% 33% 5,3% 624 3%


Dealing with asymmetrical risk profile

“Symmetrical asset” has a five days max

drawdown of 4%

All assets do not have the same risk profile

“Asymmetrical asset” has a five days max

drawdown of 13%

Both assets exhibit the same historical volatility : 8%

Mean-variance optimisers do not see risk beyond variance

Portfolio manager needs to be aware of these differences


Dealing with asymmetries


Dealing with asymmetrical risk profile

• Reduce negative Value exposure

• Reduce Small Cap exposure

Avoiding asymmetrical assets to reduce drawdown risk

Analyse the exposure of the portfolio to risk factors: styles, sectors, countries

Analyse the behaviour of risk factors

Reduce large exposure to factors exhibiting significantly high asymmetrical behaviour

Sensitivity to risk factors Step 1 Final Portfolio

Total Risk 11,8 12,6

Global Yield 0,21 0,18

Global Momentum 0,18 0,23

Global Leverage -0,02 -0,12

Global Market Sensivity -0,15 0,17

Global Growth -0,2 -0,13

Global Foreign Exposure -0,19 -0,03

Global Value -0,4 -0,2

Global Size -0,51 -0,2

Global Volatility -0,58 -0,52

See below an example of style risk factor

adjustment on Barra factors


Performance attribution model: Barra

Rationale for Using the Barra performance attribution model : Classical attribution models can split country/sector allocation, but the stock selection effect is not analysed

A stock’s performance also depends on its market risk, such as Value or Growth risk, etc…

It is coherent with our intensive use of the risk model

Citywire May 2013 - page 24 Source: Amundi.and Barra

Barra Performance Attribution vs MSCI Europe

Citywire May 2013 - page 25 Source: Amundi and Barra

Barra Performance Attribution vs Model


Source: Amundi.and Barra

Minimum Variance Fund profile

Citywire - April 2013 - page 27

Sector breakdown Country breakdown

Main holdings

Nb of stocks: 63

Equity exposure: 92.1%

Ptf Weight Bench Weight Spread

Equities 92,1% 100,0% -7,9%

Energy 2,6% 10,5% -7,9%

Materials 1,5% 9,7% -8,2%

Industrials 16,5% 11,2% 5,3%

Consumer Discretionary 8,7% 9,1% -0,3%

Consumer Staples 19,7% 14,5% 5,2%

Health Care 19,8% 11,9% 7,9%

Financial 2,7% 20,6% -17,9%

Information Technology 8,4% 3,0% 5,4%

Telecommunication Services 10,9% 5,4% 5,5%

Utilities 1,3% 4,2% -2,8%

Ptf Weight

Bench

Weight Spread

Equities 92,1% 100,0% -7,9%

AUSTRIA 0,5% -0,5%

BELGIUM 1,8% -1,8%

BERMUDA 0,2% -0,2%

DENMARK 7,2% 1,8% 5,4%

FINLAND 1,2% -1,2%

FRANCE 11,9% 13,9% -2,1%

GERMANY 9,0% 12,9% -3,9%

GREECE 0,1% -0,1%

GUERNSEY 0,1% -0,1%

IRELAND 2,4% 0,4% 2,0%

ITALY 3,0% 3,3% -0,3%

JERSEY 4,9% 1,4% 3,5%

LUXEMBOURG 0,7% -0,7%

NETHERLANDS 0,8% 4,7% -4,0%

NORWAY 2,8% 1,1% 1,6%

PORTUGAL 0,3% -0,3%

SPAIN 1,6% 4,6% -3,0%

SWEDEN 1,5% 4,7% -3,3%

SWITZERLAND 14,6% 13,3% 1,3%

UNITED KINGDOM 32,6% 33,0% -0,4%

Name Ptf Weight MSCI Sector Issuer Country

SAP AG 2,8% Information Technology GERMANY

VIVENDI SA 2,8% Telecommunication Services FRANCE

TELENOR ASA 2,8% Telecommunication Services NORWAY

COLOPLAST A/S 2,7% Health Care DENMARK

SWISSCOM AG 2,5% Telecommunication Services SWITZERLAND

PEARSON PLC 2,5% Consumer Discretionary UNITED KINGDOM

SHIRE PLC 2,5% Health Care JERSEY

DANONE (EX GROUPE DANONE) 2,5% Consumer Staples FRANCE

DASSAULT SYSTEMES SA 2,5% Information Technology FRANCE

SMITH & NEPHEW PLC 2,4% Health Care UNITED KINGDOM

Source: Amundi. 31/12/2012



F i n d o u t m o r e o n o u r d e d i c a t e d w e b s i t e s

Amundi Funds Equity Europe Minimum Variance

http://minvar.amundi.com



Disclaimer

This document contains information about Amundi Funds Equity Europe Minimum Variance (the “Sub-Fund”), sub-fund of Amundi Funds (the “SICAV”), an undertaking

for collective investment in transferable securities existing under Part I 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 B68.806. The SICAV has its registered office at 5, allée Scheffer, L-2520

Luxembourg.

Amundi Funds has been authorised for public sale by the Commission de Surveillance du Secteur Financier in Luxembourg.

Not all sub-funds of the SICAV will necessarily be registered or authorized for sale in all jurisdictions or be available to all investors.

Subscriptions in the Sub-Fund will only be accepted on the basis of the SICAV’s latest prospectus and the Key Investor Information Document (KIID) of its latest annual

and semi-annual reports and its articles of incorporation that may be obtained, free of charge, at the registered office of the SICAV or respectively at that of the

representative agent duly authorized and agreed by the relevant authority of each relevant concerned jurisdiction.

Consideration should be given to whether the risks attached to an investment in the Sub-Fund are suitable for prospective investors who should ensure that they fully

understand the contents of this document. A professional advisor should be consulted to determine whether an investment in the Sub-Fund is suitable.

The value of, and any income from, an investment in the Sub-Fund can decrease as well as increase. The Sub-Fund has no guaranteed performance.

Further, past performance is not a guarantee or a reliable indicator for current or future performance and returns. The performance data do not take account of the

commissions and costs incurred on the issue and redemption of units.

This document does not constitute 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.

The information contained in this document is deemed accurate as at End April 2013.

This material is solely for the attention of institutional, professional, qualified or sophisticated investors and distributors. It is not to be distributed to the general public, private customers or retail investors in any jurisdiction whatsoever nor to “US Persons”.

Moreover, any such investor should be, in the European Union, a “Professional” investor as defined in Directive 2004/39/EC dated 21 April 2004 on markets in financial instruments (“MIFID”) or as the case may be in each local regulations and, as far as the offering in Switzerland is concerned , a “Qualified Investor” within the meaning of the provisions of the Swiss Collective Investment Schemes Act of 23 June 2006 (CISA), the Swiss Collective Investment Schemes Ordinance of 22 November 2006 (CISO) and the FINMA’s Circular 08/8 on Public Advertising under the Collective Investment Schemes legislation of 20 November 2008. In no event may this material be distributed in the European Union to non “Professional” investors as defined in the MIFID or in each local regulation, or in Switzerland to investors who do not comply with the definition of “qualified investors” as defined in the applicable legislation and regulation.

Amundi, French joint stock company (“Société Anonyme”) with a registered capital of € 584 710 755 and approved by the French Securities Regulator (Autorité des Marchés Financiers-AMF) under number GP 04000036 as a portfolio management company, 90 boulevard Pasteur -75015 Paris-France - 437 574 452 RCS Paris.

www.amundi.com - www.amundi-funds.com


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