Crédit Agricole Asset Management has been active in this market both in terms of the number of absolute return products it has launched and in its innovation in taking advantage of absolute return strategies to return alpha.
Many factors explain this enthusiasm: exceptionally low interest rates; the search for lowly correlated multiple engines of return and the desire to be detached from upward interest rate trends; a cautious return to the equity asset class. Against this backdrop, the absolute return meets objectives in terms of capital growth regardless of the market environment.
Our aim is to implement diversifying asset classes in our range of absolute return solutions. As a result, we use greatly diversified strategies and constantly enhanced expertise. It has also developed in depth, offering different levels of risk budgeting for the same strategy.
Absolute return expertise
Launched in 1999 with multi strategy products based on VaR and enhanced cash management, our absolute return capability broadened in 2000 to include credit and volatility strategies. In 2003, we began to identify FX as a source of performance in its own right.
Most recently, in 2005, a long/short-style equity know-how was implemented as well as a European bond multi-strategy concept that incorporates many components of added value.
We have three major assets that allow us to benefit from the boom in absolute return management. The company's long-standing experience in developing this type of product provides hindsight, know-how and long-term commitment.
The magnitude of the investment universes and strategies used by the teams is ideally suited to an absolute return approach. Finally, it is important to stress the need to control risk and the necessity of budgeting risk ex-ante (maximum volatility and Value at Risk levels as a percentage of the assets managed in the absolute return style). Crédit Agricole Asset Management has the means to ensure rigorous steering of these aspects in all its funds.
Pascal Blanqué is chief investment officer at Crédit Agricole Asset Management.
ABSOLUTE RETURN MANAGEMENT vs TRADITIONAL MANAGEMENT:
- Objective : x% or Eonia + y% rather than outperforming the benchmark index
- Main source of performance : “alpha” rather than “beta”
- Risk management: maximum Value at Risk rather than Tracking Error
ABSOLUTE RETURN MANAGEMENT MAIN FEATURES:
- Sources of performance: arbitraging interest rates, credit, equities or convertible bonds; event driven; currencies; global macro,
- Management techniques: leverage effect, long/short, complex derivatives,
- Specific organisation
- Leeway granted to the fund manager.
Written by Crédit Agricole Asset Management, a joint stock company (société anonyme) with a registered capital of 546,162,915 euros. An investment management company approved by the French Securities Authority (Autorité des marchés financiers -“AMF”) under n° GP04000036.
Registered office: 90, boulevard Pasteur 75015 Paris - France. 437 574 452 RCS Paris.
In each country where they carry on investment business, Crédit Agricole Asset Management and its affiliates are regulated by the local regulatory authority. Approved by Crédit Agricole Asset Management London Branch, 122 Leadenhall Street, London EC3V 4QH, regulated by the Financial Services Authority for the conduct of business in the UK. This information is not intended for distribution to, or use by, any person or entity in any country or jurisdiction where to do so would be contrary to law or regulation or which would subject Credit Agricole Asset Management or its affiliates to any registration requirements in these jurisdictions. Photographers : Thierry Ledoux & Stephan Gladieux
