November 13, 2012 / 10:20 AM / in 5 years

TEXT-Fitch asgns CPR Croissance Reactive 'strong' fund quality rtg

Nov 13 - Fitch Ratings has assigned CPR Croissance Reactive a ‘Strong’ Fund Quality Rating. The fund is a flexible multi-asset global fund, managed by CPR Asset Management (CPR AM), a wholly owned subsidiary of Amundi Asset Management.

Launched in 1997, CPR Croissance Reactive is a French-domiciled “Fonds Commun de Placement” with EUR96.7m of assets as of end-September 2012. The fund aims to outperform a composite benchmark of 50% MSCI World Euro and 50% JPM GBI World Hedged with a 15% maximum volatility. Equity exposure can vary between 20% and 80%. The fund is almost fully invested in ETFs.

The investment process is well defined and executed, based on a balanced systematic and discretionary approach. The asset allocation is model-driven, with a tactical judgemental overlay. The proprietary multi-scenario model has been in place since 1998. It uses discretionary scenario-based asset performance forecasts agreed at committees and selected correlation matrices as inputs. The model’s output is a portfolio, optimised for given risk budget and constraints. The fund typically outperforms in bear or volatile markets but doesn’t fully capture market upside in rapid trend reversals.

The fund is well resourced. The fund’s core portfolio management team of three (average experience of 14 years) is part of a seven strong multi-asset team. The quantitative research team counts seven analysts, including one fully dedicated to the asset allocation model and the head of the team who originally developed the model. Other support functions include a team of four CPR investment risk managers and Amundi shared resources for operations and trading. The fund also benefits from Amundi’s IT platform.

The fund has achieved the best Lipper Leader score over three, five and ten years, in the “Mixed Asset/ EUR Flexible Global” Lipper category. Its performance is first quartile over three and five years, achieved with a lower volatility than the category’s average.

Established in 1989, CPR Asset Management is a 100% subsidiary of Amundi Asset Management. It managed EUR20.2bn as at June 2012, including EUR4.1bn in multi-assets. Fitch’s Fund Quality Ratings combine Fitch’s experience in qualitative fund analysis with rankings and performance data from Lipper, a Thomson Reuters company.

Fitch’s Fund Quality Ratings offer an independent, forward-looking assessment of a fund’s key performance and risk attributes and consistency of longer-term returns, relative to peer group or benchmarks. The ratings focus on the fund manager’s investment process, key fund performance drivers, risk management, and the quality of the fund’s operational infrastructure.

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