Description
The Fund may invest in markets worldwide and is not subject to any limitations regarding emerging markets or market liquidity. No thresholds have been set for maximum exposure to fixed income equity securities or currencies other than the euro. The portfolio will be made up of short-term bonds (treasury bills), long equity futures traded on organized markets and a systematic hedging strategy (put spread). The portfolio's average turnover and exposure to the various assets will be adapted to the Investment Committee's expectations.The overall exposure to derivatives will be measured by absolute VaR, a measure of risk that, referenced to a probability and a timeframe, indicates the loss that may be exceeded by an investment portfolio. A maximum 1-month VaR of 20% will be used, implying a maximum estimated loss (99% confidence) of 20% per month. The expected leverage is 100% and the maximum 500%.Investing in assets with limited capitalisation or a low rating can restrict the liquidity of the Fund.The recommended time horizon is 5 years.