Grégoire Thomas
Head of Equity Market Neutral
Marketing Communication. Please refer to the prospectus of the fund and to the key investor information document before making any investment decision. The documents can be obtained free of charge.
Célia Fseil
Fund Manager
5 Years of experience
Damien Vergnaud
Fund Manager
8 Years of experience
Sébastien De Gendre
Fund Manager
6 Years of experience
ISIN
FR0010016477
NAV - 15 APR 2024
EUR 1,475.44
AUM - 15 APR 2024
EUR 359,435,465.25
About this fund
The aim of Candriam Index Arbitrage (hereafter "the fund"), a FCP, is to use a prudent portfolio foundation strategy via bonds and money market instruments, and a dynamic investment strategy based on an arbitrage strategy on shares particularly in the context of index adjustments, of transactions on securities (e.g. companies impacted by a split) or discount of the traded assets. This FCP may be appropriate for investors who wish to achieve this objective over a medium investment holding period and who are aware of, understand and are able to bear the specific risks of the sub-fund as set out below and defined in the section entitled Risk factors in the Prospectus. The investment horizon is 3 years. The fund is managed actively, with reference to the index mentioned on the section characteristics. For further information about this index and its use, please consult the fund’s key information document (KID).
Principal assets traded:
Global units/shares of closed-end funds invested directly and/or through derivatives. As part of the strategy of the portfolio fund: bonds and other debt securities, and money market instruments, of all types of issuers with a short-term rating of at least A-2 when acquired (or equivalent) from one of the rating agencies (i.e. issuers with a good rating)
Investment strategy:
Portfolio management is built around a prudent portfolio foundation strategy via bonds and money market instruments, and a dynamic strategy.
The dynamic investment strategy is an arbitrage strategy on shares particularly in the context of index adjustments, of transactions on securities (e.g. companies impacted by a demerger) or discount of the traded assets. The arbitrage strategy consists in taking advantage of the differences in prices recorded (or anticipated) between markets and/or sectors and/or currencies and/or instruments. The fund does not have sustainable investment as its objective and does not specifically promote environmental and/or social characteristics.
The management team may use derivative products such as swaps, futures, options, CDS, etc., arising notably from equity, interest rate and foreign exchange risk. Total return swaps, or other derivative financial instruments which have the same characteristics, may also be used.
Derivatives are used for the purpose of (long or short) exposure, hedging or arbitrage.
Benchmark: €STR (Euro Short Term Rate) Capitalized.
The fund is managed actively and the investment process includes the reference to a benchmark .
Use of the benchmark:
- to calculate the performance fee for some share classes,
- for performance comparison purposes.
Investment objectives:
Over the recommended investment period and within the context of its totally discretionary management, the fund seeks to outperform the €STR (Euro Short Term Rate) Capitalized with an annualised target volatility (an indicator of the upward or downward fluctuations of the fund's value) of less than 5% under normal market conditions.
NAV & Performances
Historical values graph
Candriam Index Arbitrage C - Cap - EUR
This graph represents the synthetic net asset value of the fund. It is provided for information and illustrative purposes only. The synthetic net asset value is obtained by a recalculation of the values of the fund’s assets by leveling out the effect of securities transactions (split, coupon, dividend distribution...) in order to reflect the real performance of the fund share or unit. Data may be rounded for convenience. Data expressed in a currency other than that of the investor's country of residence is subject to exchange rate fluctuations, with a positive or negative impact. Gross performance may be impacted by commissions, fees and other expenses.
Annual return over the last years (%)
This chart shows the fund’s performance as the percentage loss or gain per year over the last 10 years.
It can help you to assess how the fund has been managed in the past and compare it to its benchmark.
The index composition may change over time. The performance reported may therefore differ from the performance of the relevant index before its change. Performance is shown after deduction of ongoing charges. Any entry and exit charges are excluded from the calculation. Performances expressed in a currency other than that of the investor's country of residence are subject to exchange rate fluctuations, with a negative or positive impact on gains. If the present document refers to a specific tax treatment, such information depends on the individual situation of each investor and may change. If for one year, there is no performance information, it is because there is no data or the data is insufficient to provide investors with useful or reliable indications on this performance.
The performances of the years prior to the material change have been blurred on the graph.
As of 01/10/2021, the index used as a benchmark, Eonia Capi 7d, has been replaced by €STR (Euro Short Term Rate) Capitalized.
| 2014 | 2015 | 2016 | 2017 | 2018 | 2019 | 2020 | 2021 | 2022 | 2023 | |
|---|---|---|---|---|---|---|---|---|---|---|
| Share class | -0.36 % | 0.18 % | 0.94 % | 0.47 % | -0.55 % | -0.08 % | 3.00 % | 1.50 % | -1.90 % | 3.72 % |
Excluding fees/taxes: taxes are not part of the performance calculation
Additional information
The returns listed above are provided on the basis of the Net Asset Value (NAV), net of commissions and reinvested income. All management fees and commissions are included in the calculation of past performance except for any entry and exit charges. Taxes are not included in the calculation of returns. The value or price converted into euros may be reduced or increased depending on fluctuations in the exchange rate. The fund is not a guaranteed investment. The NAVs are net of fees and are provided by the accounting department and the benchmark by the official providers.
Market developments (currency conversion, coupon, split, …) have an influence on the chart. This graph is provided for information purposes only and does not precisely illustrate the evolution of the fund's net assets. Data may be rounded for convenience. Data expressed in a currency other than that of the investor's country of residence is subject to exchange rate fluctuations, with a positive or negative impact. Gross performance may be impacted by commissions, fees and other expenses
Characteristics
Fund Characteristics
- Fund name
- Candriam Index Arbitrage
- Benchmark
- €STR (Euro Short Term Rate) Capitalized
- Currency
- EUR
- Legal Form
- FCP under French law
- Fund type
- UCITS
- Creation Date
- Term of the fund
- The fund has no limited term
- Domicile Country
- France
- Regulator Name
- AMF
- Management Company, having its registered office in Luxembourg
- CANDRIAM, management Company having its registered office in Luxembourg.
- Depository Bank
- CACEIS Bank
- Transfer Agent
- CACEIS Bank
- Recommended investment horizon
- 3 years
- Swing Pricing System
- no
- Swing Pricing Description
-
Swing Pricing is a mechanism by which the net asset value is adjusted upwards (or downwards) if the change in liabilities is positive (or negative) in such a way as to reduce for existing investors the portfolio restructuring costs linked to subscription/ redemption movements in the fund. On valuation days where the difference between the amount of subscriptions and the amount of redemptions of a sub-fund (i.e. net transactions) exceeds a threshold set beforehand by the Board of Directors, the latter shall be entitled to:
- value the net asset value by adding to the assets (in the case of net subscriptions) or deducting from assets (at net redemptions) a fixed percentage of the fees corresponding to market practices and reflecting the fees and/or conditions of liquidity when buying or selling securities; - value the securities portfolio on the basis of bid or ask prices;
- assess the net asset value by setting a level of spreads representative of the relevant market;
- The dilution mechanism must not exceed 2% of the net asset value, except in exceptional circumstances, as in the event of a sharp decrease in liquidity, which would then be detailed for the sub-fund concerned in the annual (semi-) annual report of the SICAV.
Tax, Charges & Fees
- Management fees (max)
- 0.80 %
- Subscription
- 1.00 %
- Redemption
- 1.00 %
- Ongoing charges Date
-
Ongoing charges
Ongoing charges represent all operating and management costs invoiced to the UCI net of retrocessions.
- 0.41 %
Instrument
- Name
- C - Cap
- Benchmark
- €STR (Euro Short Term Rate) Capitalized
- Currency
- EUR
- ISIN
- FR0010016477
- Bloomberg Ticker
- DEXARBC FP Equity
- Morningstar Ticker
- F000001GU3
- First NAV Date
- 9/9/03
- Marketing Authorisation
- Austria; Finland; France; Germany; Ireland; Italy; Luxembourg; Netherlands; Spain; Switzerland; United Kingdom
Orders
- NAV Date
- D
- NAV Calculation Day
- D+1
- Frequency valuation
- daily
- Subscription Cut off
- D 12:00
- Redemption Cut off
- D 12:00
The corresponding time zone is the one associated with the fund's domicile.
Risks
- SRI Date
- SRI Value
- 2
- Definition
-
The summary risk indicator ("SRI") is an indicator with a rating ranging from 1 to 7 and corresponds to increasing levels of risk and return. The methodology for calculating this regulatory indicator is available in the KID.
The summary risk indicator ("SRI") is a guide to the level of risk of this product compared to other products.
It shows how likely it is that the product will lose money because of movements in the markets or because we are not able to pay you. - Main Risks
-
Arbitrage risk: Arbitrage is a technique which consists in benefiting from the differences in prices recorded (or anticipated) between markets and/or sectors and/or securities and/or currencies and/or instruments. If such arbitrage transactions perform unfavourably (a rise in sell transactions and/or fall in buy transactions), the funds net asset value may fall.
Counterparty Risk: When the fund carry out over-the-counter transactions (i.e. involving instruments not listed on the markets), they are exposed to a risk of default by the counterparty to the transaction.
Derivative risk: Derivatives are investments whose value depends on (or is derived from) the value of an underlying instrument, such as a security, asset, reference rate or index. Derivative strategies often involve leverage, which may exaggerate a loss, potentially causing the Sub-Fund to lose more money than it would have lost had it invested in the underlying instrument. Using derivatives may result in a higher portfolio volatility related to this underlying asset and an increase of the counterparty risk.
Equity Risk: Some funds may be exposed to equity market risk through direct investment (through transferable securities and/or derivative products), meaning submitted to the positive or negative evolution of stock exchanges. These evolutions can be huge and be mainly driven by expectations relative to macro-economy and company results, speculation and irrational factors (including trends, opinions or rumours).
Risk of loss of capital: Investors are advised that any capital they invest is not guaranteed and that they may therefore not receive back the full amount invested. They may thus suffer a loss.
Sustainability Risk: The sustainability risk refers to any environmental, social or governance event or condition that could affect the performance and / or the reputation of issuers in the portfolio. It may be issuer specific, in line with their activities and practices, but may also be due to external factors.
- Other Risks
-
Conservation riskThe insolvency, negligence or fraudulent acts of a custodian or a sub-custodian may result in the loss of assets. This risk is mitigated by the regulatory obligations of the depositaries.Credit riskIt constitutes the risk that an issuer or a counterparty default. This risk includes the risk of changes in credit spreads and default risk. The level of credit risk is usually evaluated by using “ratings” representing a comparative assessment of the credit quality (solvency level) of an issuer, issuer or portfolio. “High Yield” investments present the lowest rating levels and therefore a high credit risk.Currency riskFunds may hold exposure to a currency different from its valuation currency. Changes in the exchange rate of this currency may negatively affect the value of assets in the portfolio.Delivery riskIn case of liquidation of assets that are subject to a transaction with a counterparty, this last, although contractually obliged, may not be able in operational terms to return the assets quickly enough to allow the fund to honour the sale of these instruments on the market..Emerging market riskThese markets are characterized by higher volatility issues and a lower liquidity because of legal, political and structural matters. Market movements can be stronger and faster on emerging markets than on “developed markets”, which can lead to a substantial decline in the net asset value in the event of the adverse movements relative to the positions taken.ESG Investment RiskESG investment risk refers to the risks arising from the inclusion of ESG factors in the management process, such as the exclusion of activities or issuers and the inclusion of sustainability risks in the selection and/or allocation of issuers in the portfolio.Interest rate riskA change in interest rates, resulting notably from inflation, may cause a risk of losses and reduce the net asset value of the fund.Legal riskLitigations of all kinds can occur with a counterparty or a third party. The Management Company aims to reduce these risks by putting in place controls and procedures.Liquidity risklt occurs when a portfolio position cannot be sold, liquidated or closed at a limited cost and within a sufficiently short time, which jeopardizing the fund's ability to comply at any time with its obligations to redeem the shares of investors at their request.Operational riskOperational risk encompasses the risks of direct or indirect loss related to a number of factors (eg human errors, fraud and malicious acts, information system failures and external events, etc.) that could have an impact on the fund and / or the investors. The Management Company aims to reduce this risk through the implementation of controls and procedures.Risk of conflict of interestThe selection of a counterparty based on reasons other than the sole interest of the fund and/or unequal treatment in the management of similar portfolios can result in conflicts of interest.Volatility riskA fund may be exposed (taking directional positions or using arbitrage strategies for example) to market volatility risk and could therefore, based on its exposure, suffer losses in the event of changes in the volatility level of these markets.
Risk and reward indicators
-
Fund
-
Sharpe Ratio
The Sharpe Ratio measures the level of compensation an investment in the fund offered for the risk taken. It is calculated by subtracting the risk-free rate from the return of the fund and dividing that result by the volatility. The higher the Sharpe ratio the better, a negative ratio has no significance other than that the fund underperformed the risk-free rate. This indicator is based on weekly data over 3 Years (1 year if too little history).
-
0.03
-
Volatility
The Volatility is the statistical measure of dispersion of returns for a fund around the mean. A higher volatility means that a fund's value can potentially be spread out over a larger range of values and makes the fund a riskier investment. This indicator is based on weekly data over 3 Years (1 year if too little history).
-
0.98 %
-
Gross Equity Exposure
Gross equity market exposure refers to the absolute level of a fund’s investments expressed as a percentage of the fund’s total equity assets. It takes into account both long and short positions in a fund’s equities. Gross exposure is a measure indicating a fund’s total exposure to the equity market.
-
27.59 %
-
Number of Issues
The Number of Issues represents the total number of instruments in position.
-
75
-
Long Equity Exposure
The Long Exposure is the sum of exposures to a fund's long positions, including derivatives.
-
15.25 %
-
Net Equity Exposure
The net equity market exposure is the percentage difference between the long and short equity exposures of a fund. Net exposure measures a fund’s exposure to changes in the equity market.
-
0.30 %
-
Short Equity Exposure
The Short Exposure is the sum of exposures to a fund's short positions through derivatives.
-
14.95 %
Awards
References to rankings, awards and/or ratings are not indicators of the future performance of the funds or the asset manager.
Pyramides de la gestion de patrimoine d’Investissement Conseils
- Event Date
- Organizer
- Investissement Conseils
- Category
- Absolute performance
- Website of organizer
- https://www.pyramidesgestionpatrimoine.fr/
UCITS Hedge Awards 2022
- Event Date
- Organizer
- The Hedge Fund Journal
- Category
- Equity Arbitrage Best Performing Fund in 2021 & over 2, 3, 4, 5, 7, 10 years
- Website of organizer
- www.thehedgefundjournal.com
Globes de la Gestion 2021
- Event Date
- Organizer
- Gestion de fortune
- Category
- Performance absolue
- Website of organizer
- https://www.lesglobesdelagestion.com/
UCITS Hedge Awards 2021
- Event Date
- Organizer
- Hedge Fund Journal
- Category
- Equity Arbitrage Best Performing Fund in 2020 & over 2, 3, 4, 5, 7 Year Periods
Documents
Languages
Other important information
This is a marketing communication. Please refer to the prospectus of the funds and to the key information document before making any investment decision. This marketing communication does not constitute an offer to buy or sell financial instruments, nor does it represent an investment recommendation or confirm any kind of transaction, except where expressly agreed. Although Candriam selects carefully the data and sources within this document, errors or omissions cannot be excluded a priori. Candriam cannot be held liable for any direct or indirect losses as a result of the use of this document. The intellectual property rights of Candriam must be respected at all times, contents of this document may not be reproduced without prior written approval.
Warning: Past performance of a given financial instrument or index or an investment service or strategy, or simulations of past performance, or forecasts of future performance does not predict future returns. Gross performances may be impacted by commissions, fees and other expenses. Performances expressed in a currency other than that of the investor's country of residence are subject to exchange rate fluctuations, with a negative or positive impact on gains. If the present document refers to a specific tax treatment, such information depends on the individual situation of each investor and may change.
In respect to money market funds, please be aware that an investment in a fund is different from an investment in deposits and that the investment’s principal is capable of fluctuation. The fund does not rely on external support for guaranteeing its liquidity or stabilizing its NAV per unit or share. The risk of loss of the principal is borne by the investor.
Candriam consistently recommends investors to consult via our website https://www.candriam.com the key information document, prospectus, and all other relevant information prior to investing in one of our funds, including the net asset value (“NAV) of the funds. Investor rights and complaints procedure, are accessible on Candriam’s dedicated regulatory webpages https://www.candriam.com/en/professional/legal-information/regulatory-information/. This information is available either in English or in local languages for each country where the fund’s marketing is approved.
According to the applicable laws and regulations, Candriam may decide to terminate the arrangements made for the marketing of a relevant fund at any time.
Information on sustainability-related aspects: the information on sustainability-related aspects contained in this communication are available on Candriam webpage https://www.candriam.com/en/professional/sfdr/. The decision to invest in the promoted product should take into account all the characteristics or objectives of the promoted product as described in its prospectus, or in the information documents which are to be disclosed to investors in accordance with the applicable law.