Amundi citywire montreux may 2011

Amundi Funds Equity Statistical Arbitrage (EUR)

Long Short Strategy on Global EquitiesAlexandre Drabowicz, Julia Kung

Product Specialists

Citywire Montreux 11 - 13 May 2011

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

Citywire Montreux - May 2011 - page 2

Investment Case: Absolute return UCITS

Amundi Equity Arbitrage team

Investment team run by Olivier Avertin since 2007

Investment process implemented in January 2008Eurohedge Awards 2008 nominee under new fund of the year 1

Assets under management: EUR 231 million

Strong expected growth in Absolute Return

Flows in 2011: + € 140 billion expected 2

55% of investors willing to increase their L/S equity allocation 2

Significant demand for Long/Short Equity strategy

Wide offer on European Long/Short equity but smaller offer on the Global Long/Short equity universe

Amundi Funds Equity Statistical Arbitrage (EUR) is a global market neutral sub-fund

1 Source: EuroHedge for the French domiciled fund 2 Source: Deutsche Bank, February 2011



Behavioural finance

High & daily

High volatility / Dispersion

Investment Universe

Performance Driver

Turnover

Cyclicity of Alphas

Large caps1 with high liquidity

Source: Amundi, as of 31/03/2011- Given for illustrative purpose only1 Current capitalization applied. Please note that no restriction in terms of capitalization exists in the Prospectus. Accordingly, this allocation on Large cap may be changed without prior notice to another capitalization2 Current investment universe, may be changed without prior notice, please refer for further details about universe to the prospectus of Amundi Funds

Performance objective : Eonia +4%

Volatility (Ex post) Target: 4-6%

A UCITS III sub-fund with daily liquidity

US and European equities universe2

Strategy with low to zero correlation with major assets classes

An attractive addition to a portfolio due to diversification and decorrelation benefits

Simple portfolio construction with an active risk management

A real Market Neutral Portfolio


Launch date: December 2008

AUM :€127M


Table of contents

1. Investment process

2. Investment decisions: examples

3. Key Benefits

4. Performance


Mean Reverting:“Selling outperformers & buying laggards”

Performance engines: Statistical Arbitrage Objective: Long/Short equity strategy, market neutral

– To achieve the objective, three categories of strategies may be used: systematic stock picking strategy, global macro strategy, tactical alpha strategy

Universe

– US & European equities1 – Performance swaps (CFD) and futures to implement short positions

Performance engines– Behavioural finance: arbitrage mispricing in price or return– Dynamic allocation between momentum and mean reverting adapted to market structure– Active management of risk to keep stable volatility

Equity universe

Sell

outperformers

Sort by mid term performance criteria

Buy

underperformers

Buy of equities with high momentum

Sort by mid term performance criteria

Momentum:“Trend Following”

Given for illustrative purpose only1 Current investment universe, may be changed without prior notice, please refer for further details about universe to the prospectus of Amundi Funds


Step 2Dynamic

allocation

Step 3Risk

monitoring

Discretionary Risk Hedging

Relative weighting of each strategy according to the market

structure

Global Long Short market neutral portfolio

Risk concentration analysis

Amundi Funds Equity Statistical Arbitrage (EUR) final portfolio

Step 4Discretionary

hedging

Step 1Systematic

stock-pickingMEAN REVERTING strategy

Long Short portfolio ± 250 positions

Investment universe: 1,000 stocks

MOMENTUM strategy

US stocks1 European stocks1

MEAN REVERTING strategy MOMENTUM strategy MEAN REVERTING strategy MOMENTUM strategy

Investment process

Given for illustrative purpose only1 Current investment universe, may be changed without prior notice, please refer for further details about universe to the prospectus of Amundi Funds


80% MR 20% MOM

80% Momentum20% Mean Reverting

50% Momentum50% Mean Reverting

Low volatility & dispersion High volatility & dispersion

1 3

2

Different levels of risk allocation adjustment:

3

1

2

A dynamic allocation based on systematic market monitoring

Given for illustrative purpose onlySource: Amundi. The “Dispersion & Volatility Indicator” tool is used by the management team on an indicative basis only Past behaviours do not prejudge future behaviours

The risk allocation between Mean Reverting and Momentum strategies is driven by the Volatility & Dispersion Indicator

Dispersion & Volatility Indicator

-2

-1

0

1

2

3

4

5

Jan-89 Jan-92 Jan-95 Jan-98 Jan-01 Jan-04 Jan-07 Jan-10

European Universe

US Universe

2000Favourable

to MR strategies

2008Favourable to MR strategies

2003-2007Favourable to

MOM strategies


Table of contents



3. Key Benefits

4. Performance


-2

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-10

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Europe indicator US Indicator

2008: special market, special year

Given for illustrative purpose onlySource: Amundi. The “Dispersion & Volatility Indicator” tool is used by the management team on an indicative basis only Past behaviours do not prejudge future behaviours

Early 2008: change of market structure Dynamic allocation: switched to 80% mean reverting (MR) in Europe in Feb’08, U.S. May’08

Rigorous implementation of signal: market structure more adapted

New allocation allowed for stronger performance vs. a balanced 50-50 Momentum/MR (+150 bps)

Feb08: Europe Switch to MR

May08: US Switch to MR

Volatility and Dispersion indicator


2008: special market, special year

Source: Amundi, Bloomberg, * Based on French Domiciled fund Given for illustrative purpose onlyPast behaviours do not prejudge future behaviours

September 2008: deleveraging prior to Lehman Strategy records abnormal daily returns: warning signal

High correlation with Top/Down axis: warning signal

Very low stock picking contribution due to high correlation between individual stocks

Decision to reduce overall leverage by 3

Portfolio downsizing implemented in a single session

Drawdown experienced limited to -3.63% *, 3 times more potentially if leverage was kept constant

Unusual daily returns


2009: difficult market conditions

Source: Amundi, Bloomberg, Distribution of monthly rolling returns- weekly data from January 2008 to December 2009Given for illustrative purpose onlyPast behaviours do not prejudge future behaviours

Balanced risk allocation but extreme market behavior Dynamic allocation switched to 50-50 in Q3 2009 (U.S.) and Q4 2009 (Europe)

Equity markets experienced a 60% bounce: 1% probability since 1970

Under-estimated the market rally, no hedging was effective

Statistical arbitrage models are not calibrated for extreme market behavior

Average Strategy Performance against MSCI World Average Performance

-0.8%

-0.5%

-0.3%

0.0%

0.3%

0.5%

0.8%

1.0%

1.3%

-19.2% -8.4% -5.3% -2.2% -0.6% 0.8% 2.2% 3.4% 4.9% 10.4%

World MSCI Performance

Sta

tist

ical

Arb

itra

ge

Per

form

an

ce

1.85% Probabilityof MSCI World <

10% a month since 1970

1.12% Probabilityof MSCI World >

10% a month since 1970

April / July 2009 September 2008


2009: difficult conditions for both models

Source: Amundi, BloombergGiven for illustrative purpose onlyPast behaviours do not prejudge future behaviours

Volatile markets not favorable for spotting trends

Stocks that had strongest falls in 2008 were the ones which rebounded most in Q1 2009

Market bounce too strong for mean reverting strategies to be effective

In 2009, mean reverting was only effective beyond 6 months (vs. 1-3 months in “normal” markets)

In 2009, momentum was only effective over 3 months (vs. 6-12 months in “normal” markets)

Example on Peugeot/Daimler intra-sector trade shows challenging trading horizons

Mean Reverting behavior over 6 months: no momentum visible

Momentum behavior very short term, no mean reverting taking place short term

2008 2009


Table of contents



3. Key Benefits

4. Performance


Ability to control volatility of returns

Jan’08: Implementation of the new investment process - Given for illustrative purpose onlySource: Amundi, as of 31/03/2011 Past performance is not indicative of future results

Since implementation, despite volatility in equities more than tripling, sub-fund’s volatility has remained stable, in line with its volatility target

Statistical Arbitrage Strategy

3-month realised Volatility - Weekly Returns

0%

2%

4%

6%

8%

10%

12%

14%

16%

18%

20%

Apr-08 Sep-08 Feb-09 Jul-09 Dec-09 May-10 Oct-10 Mar-11

3mth

Wee

kly

retu

rns

vola

tili

ty -

Sta

tist

ical

Arb

itra

ge

Str

ateg

y

0%

10%

20%

30%

40%

50%

60%

70%

3mth

Wee

kly

retu

rns

vola

tili

ty -

MS

CI

Wo

rld

MSCI World


Diversification benefits across all asset classes

Statistical Arbitrage strategy shows low correlation with equities, bonds, commodities and hedge funds

Asset Class Correlation

World Equity Index MSCI World 0.01

Global Bond Index JP Morgan GGB -0.07

Commodity Index S&P GSCI Tot Return -0.08

Hedge Fund Equity Index HFRX Equity Market Neutral 0.02

Hedge Fund Index HFRX Global Hedge 0.09

Volatility CBOE SPX Volatility Index -0.05

Currency Euro Spot -0.11

Source: Bloomberg, using French domiciled fund as of Dec 27, 2007 to March 31, 2011Correlation based on weekly data. Past performance does not prejudge future results, nor is it a guarantee of future returns


Complementary with the Volatility funds

Source: Amundi. Performance figures are net of fees on I share (institutional investors)As of end of March 2011- Past performance is not indicative of future results

Performances March 2010 - March 2011

Amundi Funds Equity Statistical Arbitrage (EUR): +7.00%

Amundi Funds Volatility World Equities: +6.96%

6/12 with complementary performances

5/12 with both positive performances

1/12 only with negative performances

1.3%

0.5%0.8%

-0.1%

-0.8% -0.7%

-1.3%-1.0%

3.1%

-0.5%

-1.2%

2.0%

0.3%0.5%

0.3%0.8% 1.0%

4.7%

-0.8%

0.7%

0.6%

1.7%

1.0%

0.2%

-0.1%

0.9%

-2%

-1%

0%

1%

2%

3%

4%

5%

Mar-10 May-10 Jul-10 Sep-10 Nov-10 Jan-11 Mar-11

AMUNDI FUNDS VOLATILITY WORLD EQUITIES - IU (C)

AMUNDI FUNDS EQUITY STATISTICAL ARBITRAGE (EUR) - IE (C)


Complementary with the Volatility funds

Source: Performance figures are net of feesPast performance is not indicative of future resultsPlease refer for further details to the prospectus of Amundi Funds

Performances 2010-2011

For Amundi Funds Equity Statistical Arbitrage (EUR) sub-fund, moderate/low volatility regimes are favorable

For volatility, fall of volatility below the mean and low volatility environments are not favorable

Overall, a good fit: Q1-Q3-Q4 are good for Statistical Arbitrage, Q2-Q3 for Volatility

Strategy

Performance

Statistical Arbitrage

Drivers

Performance

Volatility World

Drivers

Q1 2010 +2.47% Momentum models -1.72% Falling volatilities and long vega

Q2 2010 -0.83% Contrarian models hit as sell off was too aggressive +6.53% Brutal change in risk appetite

Q3 2010 +3.13% Momentum & Mean reverting benefit from lower correlation +1.38% Volatility of Volatility

Q4 2010 +1.14% Momentum models perform best -0.99% Falling volatilities and long vega

Q1 2011 +1.69%Mean-reverting models contributing more than momentum

+0.80% Volatility declining, but good opportunities for trading in March


Table of contents



3. Key Benefits

4. Performances


90,00

95,00

100,00

105,00

110,00

115,00

12/07 04/08 08/08 12/08 04/09 08/09 12/09 04/10 08/10 12/10

Composite performances: Equity Statistical Arbitrage

EONIA

Equity Statistical Arbitrage composite (gross performance)

CompositePerformance Out-performance Sharpe ratio

YTD +0.17% +2.06% +1.90% -

2010 +0.44% +7.58% 7.14% 1.45

2009 +0.73% -5.92% -6.65% -1.69

2008 +4.00% +12.35% 8.34% 1.74

Since inception* +5.36% +16.05% +10.66% 0.64

Sources: Amundi, Bloomberg data as of 31/03/2011 Past performance is not indicative of future results.*Composite Absolute Return: Equity Statistical Arbitrage, gross performances, since 31/12/2007 **HFRX Equity Market Neutral Index is a benchmark of hedge fund equity market neutral strategies performance, used here for comparison purposes *** Compounded EONIA (O.I.S.) (360 basis) is the strategy official benchmark

1yr volatility 3.79%

Best month+2.96%July 2008

Worst month-2.46%

Nov 2009

Composite Asset €194,28 million

COMPOSITE Equity Statistical Arbitrage

EONIA***

HFRX EMN**

Launch date of Amundi funds Equity Statistical Arbitrage (EUR) : 09/12/2008


Calendar year performance

Source Amundi, Share class IE (Institutional investors) Capitalisation in Euro; Net performance; Data as of 29 April 2011Past performance does not prejudge future results, nor is it a guarantee of future returns

Performances: Amundi Funds Equity Statistical Arbitrage IE1

-6,8%

6,0%

0,9%0,7% 0,4% 0,2%

-10%

-5%

0%

5%

2009 2010 2011

Portfolio Performance Reference Indicator

Calendar year performance and risk indicators

2009 2010 2011Portfolio Performance -6,82% 5,99% 0,87%Reference Indicator 0,73% 0,44% 0,24%Spread -7,55% 5,55% 0,63%

Portfolio Volatility 5,27% 3,03% NAReference Indicator Volatility 0,07% 0,02% NAEx-post Tracking Error 5,26% 3,03% NAPortfolio Sharpe Ratio -1,43 1,83 NA


Performance against main Equity Market Neutral funds

Source: BloombergJan’08: Implementation of the new investment process *Using French Domiciled fund – as of 31/03/2011Past performance is not indicative of future results

Performance shows that we rank favorably against the largest competitors

Exane

Amundi*

JPM Highbridge

Gartmore

Marshall Wace

HFRX EMN

Carmignac

Performance since 28/12/07

90

95

100

105

110

115

Dec-07 Mar-08 Jun-08 Sep-08 Dec-08 Mar-09 Jun-09 Sep-09 Dec-09 Mar-10 Jun-10 Sep-10 Dec-10 Mar-11

Bas

e 10

0 28

/12/

2007

French Domiciled fund HFRX Equity Market Neutral IndJPM INV-HIGH STAT MAR N-I€-A MLIS-MARSHALL WAC TP U F-€AACARMIGNAC PT-MARKET NEUTR-A EXANE GULLIVER FUND-IALPHAGEN CAPELLA FUND LTD-B


Equity Arbitrage: Absolute UCITS Rankings

Source: HedgeFund Intelligence, as of end of December 2010Past performance is not indicative of future results1Dédicated Sicav

First quartile in 2010 and over the last 6-month period


Conclusion

Market Neutral portfolio on Global equities

Robustness of the process

A process that has delivered performance to rival the “big names” in Equity Market Neutral over the last 3 years1

Best environments to be in a market neutral product

Source: Amundi, assets and organisation as of 31/03/20111Past performance is not indicative of future results

An attractive strategy to benefit from inflows into the equity markets. These inflows should result in greater dispersion, which should generate decent performance for the strategy.


Amundi’s Equity Arbitrage: Team biographies Olivier Avertin - Head, Equity Arbitrage

– Mr. Avertin joined Amundi Paris in April 2007 as Global Equity and Absolute return portfolio manager. He was formerly proprietary trader at Exane for 8 years, managing absolute return quantitative stock picking and discretionary global macro strategies.

– Mr. Avertin holds a postgraduate degree in Finance from IEP (Institute of Political Science Paris) in 1996. He also holds a postgraduate degree in Applied Mathematics from the University of Paris Dauphine in 1995.

Dave Benichou - Portfolio Manager, Equity Arbitrage– Mr. Benichou joined Systeia in June 2001 part of Amundi Group, as an Equity Analyst

and Trader for the Systematic & Statistical Arbitrage Desk. In 2005, he expanded his career as a Portfolio Manager where he implemented long term Quantitative Factor Trading Strategies. In July 2008, he joined Amundi Paris to manage an Equity Market Neutral Fund.

– Mr. Benichou received a postgraduate degree in Banking & Finance from Sorbonne University in 2001 following his Master’s Degree in Mathematics & Economics from Nice Sophia-Antipolis.

Xavier Deheul – Deputy Portfolio Manager, Equity Arbitrage– Xavier has a double education with a Computer Sciences Engineer Master Degree in

2001 and a Wealth Management Master Degree in 2007. He started his career as IT developer for the Credit Lyonnais Asset Management and became Risk Manager in 2004 for Natixis Asset Management. He joined Systeia as head of Risk Management in 2007 and recently became Portfolio Manager in the new Amundi front office team.

Source: Amundi, data as of May 2011


Amundi Funds Equity Statistical Arbitrage (EUR): Key information

AE(All investors)

IE(Institutional inv.)

SE 1

(Distributors)

Management company Amundi Luxembourg S.A.

Investment manager Amundi

Custodian CACEIS Bank Luxembourg

Reference currency of the sub-fund

EUR

Reference currency of the class EUR EUR EUR

Share categories Accumulation / Distribution Accumulation / Distribution Accumulation

ISIN Code A: LU0401972657 D: LU0401972731

A: LU0401972657 D: LU0401972731

A: LU0401972814

Minimum initial subscription None Equivalent in EUR of USD 500,000 None

Frequency of NAV calculation Daily

Cut off for dealing times Luxembourg dealing days before 2pm (Luxembourg time) 2

Maximum subscription fee 4.50% 2.50% 3.00%

Maximum annual management fee

1.10% 0.60% 1.50%

Maximum annual administration fee

0.30% 0.20% 0.30%

Performance fee 30% max. per year of the performance above the performance objective (EONIA + 4.00% after charges)3

Maximum conversion fee 1.00%

Maximum redemption fee None

Not all share classes and, as the case may be, share categories are registered for sale in all countries. Investors may contact Amundi

Luxembourg for further information.

1 All investors. Shares only available through a network of distributors specifically authorised by the Board of Directors.

2 Or, as the case may be, an earlier cut off time applicable by the relevant distributor.

3 A detailed explanation of the performance fee is provided in the Prospectus.


Amundi Funds

This document contains information about Amundi Funds Volatility Euro Equities, Amundi Funds Volatility World Equities, Amundi Funds Dynarbitrage Volatility and Amundi Funds Equity Statistical Arbitrage (EUR), each of them refers to as the “Sub-Fund” and collectively as the “Sub-Funds”), the sub-funds of Amundi Funds (the“SICAV”), an undertaking for collective investment in transferable securities existing under Part I of the Luxembourg law of 20 December 2002, 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 (the "Sub-Funds") will necessarily be registered or authorized for sale in all jurisdictions or be available to all investors.

Subscriptions in the Sub-Funds will only be accepted on the basis of the SICAV’s latest complete and simplified prospectuses, 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-Funds 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-Funds is suitable.

The value of, and any income from, an investment in the Sub-Funds can decrease as well as increase. The Sub-Funds have 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 May 2011.

Disclaimer

Amundi, French joint stock company (“Société Anonyme”) with a registered capital of € 578 002 350 and approved by the French Securities Regulator (Autorité des Marchés Financiers-AMF) under number GP 04000036 as a portfolio management company90 boulevard Pasteur -75015 Paris- France – 437 574 452 RCS Paris.www.amundi.comwww.amundi-funds.com

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 SchemesOrdinance 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 Offering within the meaning of the legislation on Collective Investment Schemes 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.

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