# Risk analysis
|  |  |  |  |  |
| --- | --- | --- | --- | --- |
|  | 1Y. | 3Y. | 5Y. | Launch |
| Annualised volatility Portfolio* | 2.08% | 2.60% | - | 2.66% |
| Sharpe Ratio | -0.43 | -2.83 | - | -2.65 |

* 1st NAV date: 21/07/2017
** Benchmark : Please refer to the Benchmark section in the characteristics/disclaimers part of the document.
***The calculation period of the annual performance for 2017 starts from 21/07/2017, inception date of the share class to 31/12/2017. Source(s): AXA Investment Managers as at 30/06/2021
Editor: AXA Investment Managers Paris
| Portfolio analysis |  |
| --- | --- |
| Breakdown by event (% of NAV) |  |
| Event | % of NAV |
| U.S. Southeast, Gulf of Mexico, Caribbean Hurricane | 59.43% |
| California Earthquake | 53.00% |
| U.S. Northeast Hurricane | 52.13% |
| Other U.S. Earthquake | 49.32% |
| Other U.S. Hurricane | 46.91% |
| New Madrid Earthquake | 43.27% |
| Any Other perils | 27.71% |
| Canada Earthquake | 25.77% |
| Caribbean Earthquake | 23.36% |
| Other U.S. Wind | 20.99% |
| US Wildfire | 9.69% |
| Europe Windstorm | 6.63% |
| Japan Earthquake | 5.54% |
| Mortality, Morbidity | 2.28% |
| Mexico Earthquake | 2.19% |
| Western Mediterranean EQ | 1.41% |
| Japan Typhoon | 1.37% |
| Any Other Non-Nat Cat | 0.97% |
| Any Second Event | 0.80% |
| Eastern Mediterranean Earthquake | 0.72% |
| Pacific Mexico Hurricane | 0.24% |

The sum of all the percentage may not be equal to 100% as the fund may hold assets accounting for more than one event defined above. For example, an asset which covers both an Europe windstorm and a Japan typhoon will enter into both events definition. However, for avoidance of any doubt, the fund is only exposed to the size of its invested amount on such asset.

## Breakdown by trigger type (% of ILS assets)
60%
50%
40%
30%
20%
10%
0%
Indemnity	Industry Index	Parametric	Other
Breakdown by term to maturity (% of NAV)
| Key information at 30/06/2021 |  |  |
| --- | --- | --- |
| Number of Holdings | 94 |
| AXA/XL deals (% of NAV) | 0.00% |
| Cash | 6.42% |
| Weighted Average Duration | 1.89 |
| Annual Expected Loss (With Cash) | 2.50% |
| Annual VaR 90% (With Cash) | -1.46% |
| Annual VaR 95% (With Cash) | -9.30% |
| Annual VaR 99% (With Cash) | -37.45% |
| VaR includes coupon Breakdown of expected loss on invested assets |  |
| Event |  | % |
| North America Hurricane |  | 69.11% |
| North America Earthquake |  | 21.66% |
| Asia Earthquake |  | 2.01% |
| Europe Windstorm |  | 1.62% |
| Europe Earthquake |  | 1.26% |
| Asia Typhoon |  | 1.02% |
| Caribbean Hurricane |  | 0.84% |
| North America Tornado |  | 0.66% |
| Central America Earthquake |  | 0.48% |
| Central America Hurricane |  | 0.45% |
| North America Wildfire |  | 0.38% |
| Caribbean Earthquake |  | 0.13% |
| North America Winter Storm |  | 0.12% |
| North America Health Cost |  | 0.11% |
| Oceania Pandemic |  | 0.04% |
| North America Pandemic |  | 0.03% |
| Asia Flood |  | 0.03% |
| Europe Pandemic |  | 0.03% |
| North America Flood |  | 0.01% |
| Caribbean Health Cost |  | 0.00% |

Translation (ENFR, 2021-06-30):
# Analyse du risque
|  |  |  |  |  |
| --- | --- | --- | --- | --- |
|  | 1Y. | 3Y. | 5Y. | Launch |
| Annualised volatility Portfolio* | 2.08% | 2.60% | - | 2.66% |
| Sharpe Ratio | -0.43 | -2.83 | - | -2.65 |

* Date de la 1ère Valeur Liquidative : 21/07/2017
** Indice de référence : se référer à la rubrique Indicateur de référence spécifiée en dernière rubrique
***La période de calcul de la performance annuelle de 2010 court du 11/01/2010, date de constitution de la classe d'actions, au 31/12/2010. Source(s) : AXA Investment Managers au 30/06/2021
Rédacteur : AXA Investment Managers Paris
| Analyse du portefeuille |  |
| --- | --- |
| Répartition par événement (% of NAV) |  |
| Event | % of NAV |
| U.S. Southeast, Gulf of Mexico, Caribbean Hurricane | 59.43% |
| California Earthquake | 53.00% |
| U.S. Northeast Hurricane | 52.13% |
| Other U.S. Earthquake | 49.32% |
| Other U.S. Hurricane | 46.91% |
| New Madrid Earthquake | 43.27% |
| Any Other perils | 27.71% |
| Canada Earthquake | 25.77% |
| Caribbean Earthquake | 23.36% |
| Other U.S. Wind | 20.99% |
| US Wildfire | 9.69% |
| Europe Windstorm | 6.63% |
| Japan Earthquake | 5.54% |
| Mortality, Morbidity | 2.28% |
| Mexico Earthquake | 2.19% |
| Western Mediterranean EQ | 1.41% |
| Japan Typhoon | 1.37% |
| Any Other Non-Nat Cat | 0.97% |
| Any Second Event | 0.80% |
| Eastern Mediterranean Earthquake | 0.72% |
| Pacific Mexico Hurricane | 0.24% |

The sum of all the percentage may not be equal to 100% as the fund may hold assets accounting for more than one event defined above. For example, an asset which covers both an Europe windstorm and a Japan typhoon will enter into both events definition. However, for avoidance of any doubt, the fund is only exposed to the size of its invested amount on such asset.

## Répartition par type de déclencheur (% d'actifs ILS)
60%
50%
40%
30%
20%
10%
0%
Indemnity	Industry Index	Parametric	Other
Répartition par échéance (% of NAV)
| Informations essentielles 30/06/2021 |  |  |
| --- | --- | --- |
| Number of Holdings | 94 |
| AXA/XL deals (% of NAV) | 0.00% |
| Cash | 6.42% |
| Weighted Average Duration | 1.89 |
| Annual Expected Loss (With Cash) | 2.50% |
| Annual VaR 90% (With Cash) | -1.46% |
| Annual VaR 95% (With Cash) | -9.30% |
| Annual VaR 99% (With Cash) | -37.45% |
| VaR includes coupon Répartition des prévisions de perte sur les actifs investis |  |
| Event |  | % |
| North America Hurricane |  | 69.11% |
| North America Earthquake |  | 21.66% |
| Asia Earthquake |  | 2.01% |
| Europe Windstorm |  | 1.62% |
| Europe Earthquake |  | 1.26% |
| Asia Typhoon |  | 1.02% |
| Caribbean Hurricane |  | 0.84% |
| North America Tornado |  | 0.66% |
| Central America Earthquake |  | 0.48% |
| Central America Hurricane |  | 0.45% |
| North America Wildfire |  | 0.38% |
| Caribbean Earthquake |  | 0.13% |
| North America Winter Storm |  | 0.12% |
| North America Health Cost |  | 0.11% |
| Oceania Pandemic |  | 0.04% |
| North America Pandemic |  | 0.03% |
| Asia Flood |  | 0.03% |
| Europe Pandemic |  | 0.03% |
| North America Flood |  | 0.01% |
| Caribbean Health Cost |  | 0.00% |