# Risk Management (unaudited)
The market risk measurement and monitoring of the Funds is carried out using either the Commitment approach or the Value at Risk (VaR) approach.
Funds which do not make significant use of financial derivative instruments and/or limit their use of financial derivative instruments to efficient portfolio management or hedging strategies are monitored using the Commitment approach.
Funds which utilise financial derivative instruments for efficient portfolio management purposes and/ or for investment purposes in pursuing their investment objective (in addition to those used for hedging purposes) are monitored using either the relative or absolute VaR approach.
Risk Type
The Management Company uses the Commitment approach and the VaR approach for the Aberdeen Standard SICAV I Funds as detailed below.
Commitment approach
The Commitment approach is based on the positions of financial derivative instruments, converted into their corresponding underlying equivalents as per ESMA Guidelines 10-788 – BOX 2.
Netting and Hedging might be considered for financial derivative and their underlying assets. The sum of these underlying equivalents must not exceed the net asset value of the Fund.
The global risk on derivatives has been determined according to the commitment approach during the reporting year.
| Global Exposure: Commitment Approach Fund name	Notes |
| --- |
| Asia Pacific Equity Fund Asian Property Share Fund Asian Smaller Companies Fund Australasian Equity Fund Australian Dollar Income Bond Fund Brazil Equity Fund	Closed 15/10/2020 China A Share Equity Fund All China Equity Fund	Changed name from: Chinese Equity Fund Eastern European Equity Fund Emerging Markets Sustainable and Responsible	Changed name from: Emerging Markets Equity Ethical Fund Investment Equity Fund Emerging Markets Equity Fund Emerging Markets Infrastructure Equity Fund Emerging Markets Smaller Companies Fund European Equity (ex-UK) Fund European Equity Dividend Fund European Equity Fund Frontier Markets Equity Fund German Equity Fund Indian Equity Fund Japanese Equity Fund Japanese Smaller Companies Fund |

| Global Exposure: Commitment Approach Fund name	Notes |
| --- |
| Latin American Equity Fund American Focused Equity Fund	Changed name from: North American Equity Fund North American Smaller Companies Fund Russian Equity Fund Select Emerging Markets Bond Fund Select Euro High Yield Bond Fund Technology Equity Fund UK Equity Fund World Equity Fund World Resources Equity Fund World Smaller Companies Fund Asian Sustainable Development Equity Fund	Launched 25/08/2020 Emerging Markets Bond Fixed Maturity 2023 Fund  Launched 01/10/2019 Global Bond Fixed Maturity 2023 Fund	Launched 23/10/2019 Global Mid-Cap Equity Fund	Launched 22/04/2020 Listed Private Capital Fund	Changed GE from Relative VaR to Commitment |

| Global Exposure: Commitment Approach Fund name	Notes |
| --- |
| Asia Pacific Equity Fund Asian Property Share Fund Asian Smaller Companies Fund Australasian Equity Fund Australian Dollar Income Bond Fund Brazil Equity Fund	Closed 15/10/2020 China A Share Equity Fund All China Equity Fund	Changed name from: Chinese Equity Fund Eastern European Equity Fund Emerging Markets Sustainable and Responsible	Changed name from: Emerging Markets Equity Ethical Fund Investment Equity Fund Emerging Markets Equity Fund Emerging Markets Infrastructure Equity Fund Emerging Markets Smaller Companies Fund European Equity (ex-UK) Fund European Equity Dividend Fund European Equity Fund Frontier Markets Equity Fund German Equity Fund Indian Equity Fund |

| Global Exposure: Commitment Approach Fund name	Notes |
| --- |
| Japanese Equity Fund Japanese Smaller Companies Fund Latin American Equity Fund American Focused Equity Fund	Changed name from: North American Equity Fund North American Smaller Companies Fund Russian Equity Fund Select Emerging Markets Bond Fund Select Euro High Yield Bond Fund Technology Equity Fund UK Equity Fund World Equity Fund World Resources Equity Fund World Smaller Companies Fund Asian Sustainable Development Equity Fund	Launched 25/08/2020 Emerging Markets Bond Fixed Maturity 2023 Fund  Launched 01/10/2019 Global Bond Fixed Maturity 2023 Fund	Launched 23/10/2019 Global Mid-Cap Equity Fund	Launched 22/04/2020 Listed Private Capital Fund	Changed GE from Relative VaR to Commitment |

Value at Risk (VaR) approach
The Investment Risk Oversight Department monitors and reports market risk and VaR metrics using Aberdeen Standard Investment’s risk modelling system, Sungard Advanced Portfolio Technologies (APT). This model estimates and computes variability and probability of the portfolio returns based on historical data (180 observations equally weighted) which is fed with data from the front office systems.
A number of risk measures are produced to quantify the probability of loss at the sub-fund level for any given day, either as an absolute measure (absolute VaR), or in relative terms using a pre-defined benchmark (relative VaR).
In accordance with CSSF Circular 11/512, the regulatory VaR limit associated with a Fund’s total portfolio positions must not exceed two times (i.e. 200%) the VaR of its assigned Risk Benchmark or 20% for Funds monitored under the absolute VaR approach. The Table below defines the VaR approach and its related Risk Benchmark for each Fund.
| Global Exposure: Absolute VaR Fund name	Notes |
| --- |
| Asia Pacific Multi Asset Fund Brazil Bond Fund	Closed 10/12/2019 Diversified Growth Fund Diversified Income Fund Emerging Markets Total Return Bond Fund	Changed GE from Relative VaR to Absolute VaR |

| Global Exposure: Relative VaR Fund name | Risk Benchmark | Notes |
| --- | --- | --- |
| Asian Bond Fund Asian Credit Bond Fund Asian Local Currency Short Term Bond Fund Australian Dollar Government Bond Fund | Markit iBoxx Asian Local Bond Index (USD) JP Morgan Asia Credit Diversified Index (USD) Markit iBoxx Asia ex Japan (1-3 year) Index (USD) JP Morgan Australia Government Bond Index (AUD) |

| Global Exposure: Relative VaR Fund name	Risk Benchmark	Notes |
| --- |
| China Onshore Bond Fund	FTSE World Government Bond Extended China (1-10 year) Index (USD) Emerging Markets Corporate Bond Fund	JP Morgan CEMBI Broad Diversified Index (USD) Emerging Markets Local Currency Bond Fund JP Morgan GBI-EM Global Diversified Index (USD) Emerging Markets Local Currency Corporate	ICE BofAML Diversified Broad Local Emerging Bond Fund	Markets Non-Sovereign Index (USD) Euro Government Bond Fund	Bloomberg Barclays Euro Aggregate Treasury Bond Index (EUR) Euro Short Term Bond Fund	FTSE EMU Government Bond (1-3 Year), (ex BBB) Index (EUR) European Convertibles Bond Fund	Thomson Reuters Europe Convertible Bond	Closed 13/12/2019 Frontier Markets Bond Fund	JP Morgan Next Generation Markets Index (USD) GDP Weighted Global Government Bond	Bloomberg Barclays Global Treasury Fund	Universal-GDP Weighted by Country Index (USD) Global Bond Fund	Bloomberg Barclays Global Aggregate Bond TR Index Global Government Bond Fund	FTSE World Government Bond Index (USD) Indian Bond Fund	Markit iBoxx Asia India Index (USD) Select Emerging Markets Investment Grade	JP Morgan EMBI Global Diversified Investment Bond Fund	Grade Index (USD) US Dollar Credit Bond Fund	Bloomberg Barclays US Credit Index (USD) US Dollar Short Term Bond Fund	FTSE World Government Bond US (1-3 year) Index (USD) World Credit Bond Fund	Bloomberg Barclays Global Aggregate Credit Index (Hedged to USD) Multifactor Global Equity Fund	MSCI AC World Index (USD)	Changed name from: Smart Beta Low Volatility Global Equity Growth Fund Multifactor Global Equity Income Fund	MSCI AC World Index (USD)	Changed name from: Smart Beta Low Volatility Global Equity Income Fund Artificial Intelligence Global Equity Fund	MSCI AC World Index (USD)	Changed GE from Commitment to Relative VaR Global Corporate Bond Sustainable and	Bloomberg Barclays Global Aggregate Corporate Launched 24/06/2020 Responsible Investment Fund	Bond (Hedged to USD) Index |

VaR Table and Model Assumptions
The average leverage figures below have been compiled based on the daily figures of the period from 1 October 2019 to 30 September 2020.
| Global Exposure: Absolute VaR Regulatory Limit: 20% | Min Absolute VaR | Max Absolute VaR | Average Absolute VaR |
| --- | --- | --- | --- |
| Asia Pacific Multi Asset Fund | 4.8% | 8.8% | 7.2% |
| Brazil Bond Fund | 16.3% | 18.0% | 16.9% |
| Diversified Growth Fund | 1.8% | 8.3% | 4.5% |
| Diversified Income Fund | 1.7% | 8.2% | 4.5% |
| Emerging Markets Total Return Bond Fund | 3.9% | 7.9% | 6.7% |

| Global Exposure: Relative VaR Regulatory Limit: 200% | Min Relative VaR | Max Relative VaR | Average Relative VaR |
| --- | --- | --- | --- |
| Asian Bond Fund | 85.3% | 140.9% | 114.6% |
| Asian Credit Bond Fund | 97.8% | 123.2% | 111.5% |
| Asian Local Currency Short Term Bond Fund | 80.0% | 130.4% | 107.8% |
| Australian Dollar Government Bond Fund | 81.8% | 119.5% | 105.0% |
| China Onshore Bond Fund | 93.2% | 121.0% | 100.8% |
| Emerging Markets Corporate Bond Fund | 105.8% | 139.8% | 123.5% |
| Emerging Markets Local Currency Bond Fund | 98.2% | 114.1% | 106.4% |
| Emerging Markets Local Currency Corporate Bond Fund | 89.1% | 110.4% | 97.9% |
| Euro Government Bond Fund | 94.0% | 120.2% | 107.8% |
| Euro Short Term Bond Fund | 103.0% | 185.1% | 137.0% |
| European Convertibles Bond Fund | 0.0% | 98.7% | 63.0% |
| Frontier Markets Bond Fund | 77.7% | 105.9% | 91.9% |
| GDP Weighted Global Government Bond Fund | 91.8% | 122.4% | 107.8% |
| Global Bond Fund | 98.3% | 117.6% | 110.1% |
| Global Government Bond Fund | 97.5% | 115.1% | 107.2% |
| Indian Bond Fund | 88.1% | 98.3% | 89.8% |
| Select Emerging Markets Investment Grade Bond Fund | 72.1% | 103.0% | 96.8% |
| US Dollar Credit Bond Fund | 96.4% | 112.2% | 103.5% |
| US Dollar Short Term Bond Fund | 78.0% | 139.2% | 106.3% |
| World Credit Bond Fund | 104.1% | 121.0% | 112.7% |
| Multifactor Global Equity Fund | 80.0% | 94.4% | 85.1% |
| Multifactor Global Equity Income Fund | 82.0% | 88.3% | 85.2% |
| Artificial Intelligence Global Equity Fund | 92.4% | 113.3% | 101.1% |
| Global Corporate Bond Sustainable and Responsible | 89.1% | 110.5% | 108.6% |
| Investment Fund |  |  |  |

Model assumptions for VaR table:
System:	Advanced Portfolio Technologies (APT) – Statistical Factor Model
VaR methodology:	Parametric
Confidence level:	99%
Holding period:	One month (20 Days)
Decay factor for exponential smoothing of the historical
market data:	Nil
Historical observation period:	180 weeks
Objectives and limitations of the VaR Methodology
The Advanced Portfolio Technologies (APT) model uses statistical factor techniques to capture a maximal spanning set under its component model. Risk is subsequently decomposed according to explanatory variable regression techniques. The APT bond model provides an integrated framework to measure and decompose the risk of portfolios of all fixed income securities. These can include government and corporate bonds, convertibles, and various categorisations of swaps, futures and option contracts. Portfolios are modelled at the asset level to ensure every position is represented within the component approach. Optionality can be represented either through delta-adjustment or Monte Carlo techniques. The VaR model is designed to measure market risk in a normal
market environment.
This method accurately prices all types of complex non-linear positions as well as simple linear instruments. It also provides a full distribution of potential portfolio gains and losses, which need not be symmetrical. If the underlying risk factors exhibit non-normal behaviour such as fat-tails or mean-reversion, then the resulting VaR will include these effects. However, tail risk can only be examined if the historical data set includes tail events. The distribution is calculated by using daily historical time-series data with implementation of an exponential adjustment.
The use of VaR has limitations because it is based on historical correlations and volatilities in market prices and assumes that future price movements will follow a statistical distribution. Due to the fact that VaR relies significantly on historical data to provide information and may not clearly predict the future changes and modifications of the risk factors, the probability of large market moves may be underestimated if changes in risk factors fail to align with the given distribution assumption. VaR may also be under- or over-estimated due to the assumptions placed on risk factors and the relationship between such factors for specific instruments.
Even though positions may change throughout the day, the VaR only represents the risk of the portfolios at the close of each month, and it does not account for any losses that may occur beyond the 99% confidence level. In practice, the actual trading results will differ from the VaR calculation and, in particular, the calculation does not provide a meaningful indication of profits and losses in stressed market conditions. To determine the reliability of the VaR models, actual outcomes are monitored regularly to test the validity of the assumptions and the parameters used in the VaR calculation. Market risk positions are also subject to regular stress tests to ensure that the fund would withstand an extreme market event.
Leverage
The expected levels of leverage indicated below reflect the use of all derivative instruments within the portfolio of a given Fund. An expected level of leverage does not necessarily represent an increase of risk in the Fund as some of the financial derivative instruments used may even reduce the risk. Shareholders should note that the “Sum of Notionals” approach of the expected level of leverage does not make a distinction as to the intended use of a derivative e.g. being either hedging or investment purposes.
The “Sum of Notionals” calculation typically results in a higher leverage figure than for the commitment approach calculation predominantly due to the exclusion of any netting and/or hedging arrangements.
The average leverage figures below have been compiled based on the daily figures of the period from 1 October 2019 to 30 September 2020.
| Global Exposure | Leverage % Sum of Notional | Commitment |
| --- | --- | --- |
| Asia Pacific Multi Asset Fund | Absolute VaR | 179% | 85% |
| Brazil Bond Fund | Absolute VaR | 0% | 0% |
| Diversified Growth Fund | Absolute VaR | 163% | 47% |
| Diversified Income Fund | Absolute VaR | 201% | 94% |
| Emerging Markets Total Return Bond Fund | Absolute VaR | 111% | 78% |
| Artificial Intelligence Global Equity Fund | Relative VaR | 1% | 1% |
| Asian Bond Fund | Relative VaR | 200% | 79% |
| Asian Credit Bond Fund | Relative VaR | 20% | 12% |
| Asian Local Currency Short Term Bond Fund | Relative VaR | 167% | 48% |
| Australian Dollar Government Bond Fund | Relative VaR | 39% | 36% |
| China Onshore Bond Fund | Relative VaR | 36% | 2% |
| Emerging Markets Corporate Bond Fund | Relative VaR | 43% | 31% |
| Emerging Markets Local Currency Bond Fund | Relative VaR | 67% | 27% |
| Emerging Markets Local Currency Corporate Bond Fund | Relative VaR | 7% | 2% |
| Euro Government Bond Fund | Relative VaR | 310% | 192% |

| Global Exposure | Leverage % Sum of Notional | Commitment |
| --- | --- | --- |
| Euro Short Term Bond Fund | Relative VaR | 11% | 11% |
| European Convertibles Bond Fund | Relative VaR | 25% | 19% |
| Frontier Markets Bond Fund | Relative VaR | 44% | 24% |
| GDP Weighted Global Government Bond Fund | Relative VaR | 220% | 77% |
| Global Bond Fund | Relative VaR | 326% | 154% |
| Global Corporate Bond Sustainable and Responsible | Relative VaR | 70% | 16% |
| Investment Fund |  |  |  |
| Global Government Bond Fund | Relative VaR | 349% | 148% |
| Indian Bond Fund | Relative VaR | 27% | 10% |
| Multifactor Global Equity Fund | Relative VaR | 3% | 3% |
| Multifactor Global Equity Income Fund | Relative VaR | 2% | 2% |
| Select Emerging Markets Investment Grade Bond Fund | Relative VaR | 94% | 64% |
| US Dollar Credit Bond Fund | Relative VaR | 85% | 57% |
| US Dollar Short Term Bond Fund | Relative VaR | 1% | 0% |
| World Credit Bond Fund | Relative VaR | 156% | 71% |

Translation (ENFR, 2020-09-30):
# Gestion des risques (non vérifié)
La mesure et le contrôle des risques de marché de tous les Fonds sont conduits sur la base de l’approche par les engagements ou de l’approche par la VaR (valeur à risque).
Les Fonds qui n’ont pas recours de manière significative à des instruments financiers dérivés et/ou limitent leur utilisation à des stratégies de gestion efficace de portefeuille ou de couverture font l’objet d’un contrôle selon l’approche par les engagements.
Les Fonds qui utilisent les instruments financiers dérivés à des fins de gestion efficace de portefeuille et/ou aux fins d’in vestir en vue d’atteindre leur objectif d’investissement (en parallèle des dérivés utilisés à des fins de couverture) sont contrôl és sur la base de l’approche par la VaR relative ou absolue.
Nature des risques
La Société de gestion utilise ces deux méthodes d’approche pour les Fonds Aberdeen Standard SICAV I, tel que repris plus en détail ci- dessous.
L’approche par les engagements
Elle se fonde sur les positions dérivées converties dans leurs équivalents sous-jacents correspondants conformémentaux Directives 10- 788 - encadré 2 de l’AEMF.
Des techniques de compensation et de couverture peuvent être envisagées pour l’instrument dériv é et son sous-jacent. La somme de ces sous-jacents ne doit pas dépasser la Valeur Nette d’Inventaire du Fonds.
Le risque global associé aux instruments dérivés a été établi sur la base de l’approche par les engagements pour l’exercice considéré.
| Exposition globale : Approche par les engagements |
| --- |
| Nom du Fonds | Notes |
| Asia Pacific Equity Fund |  |
| Asian Property Share Fund |  |
| Asian Smaller Companies Fund |  |
| Australasian Equity Fund |  |
| Australian Dollar Income Bond Fund |  |
| Brazil Equity Fund | Fermé le 15/10/2020 |
| China A Share Equity Fund |  |
| All China Equity Fund | Nom précédent : Chinese Equity Fund |
| Eastern European Equity Fund |  |
| Emerging Markets Sustainable and Responsible Investment Equity Fund | Nom précédent : Emerging Markets Equity Ethical Fund |
| Emerging Markets Equity Fund |  |
| Emerging Markets Infrastructure Equity Fund |  |
| Emerging Markets Smaller Companies Fund |  |
| European Equity (ex-UK) Fund |  |
| European Equity Dividend Fund |  |
| Fonds European Equity |  |
| Frontier Markets Equity Fund |  |
| German Equity Fund |  |
| Indian Equity Fund |  |
| Japanese Equity Fund |  |
| Japanese Smaller Companies Fund |  |

| Exposition globale : Approche par les engagements |  |
| --- | --- |
| Nom du Fonds | Notes |
| Latin American Equity Fund |  |
| American Focused Equity Fund | Nom précédent : North American Equity Fund |
| North American Smaller Companies Fund |  |
| Russian Equity Fund |  |
| Select Emerging Markets Bond Fund |  |
| Select Euro High Yield Bond Fund |  |
| Technology Equity Fund |  |
| UK Equity Fund |  |
| World Equity Fund |  |
| World Resources Equity Fund |  |
| World Smaller Companies Fund |  |
| Asian Sustainable Development Equity Fund | Lancé le 25/08/2020 |
| Emerging Markets Bond Fixed Maturity 2023 Fund | Lancé le 01/10/2019 |
| Global Bond Fixed Maturity 2023 Fund | Lancé le 23/10/2019 |
| Global Mid-Cap Equity Fund | Lancé le 22/04/2020 |
| Listed Private Capital Fund | Modification de l’EG de la VaR relativeà l’approche par les engagements |
|  |  |
| Exposition globale : Approche par les engagements |  |
| Nom du Fonds | Notes |
| Asia Pacific Equity Fund |  |
| Asian Property Share Fund |  |
| Asian Smaller Companies Fund |  |
| Australasian Equity Fund |  |
| Australian Dollar Income Bond Fund |  |
| Brazil Equity Fund | Fermé le 15/10/2020 |
| China A Share Equity Fund |  |
| All China Equity Fund | Nom précédent : Chinese Equity Fund |
| Eastern European Equity Fund |  |
| Emerging Markets Sustainable and Responsible Investment Equity Fund | Nom précédent : Emerging Markets Equity Ethical Fund |
| Emerging Markets Equity Fund |  |
| Emerging Markets Infrastructure Equity Fund |  |
| Emerging Markets Smaller Companies Fund |  |
| European Equity (ex-UK) Fund |  |
| European Equity Dividend Fund |  |
| Fonds European Equity |  |
| Frontier Markets Equity Fund |  |
| German Equity Fund |  |
| Indian Equity Fund |  |

| Exposition globale : Approche par les engagements |  |
| --- | --- |
| Nom du Fonds | Notes |
| Japanese Equity Fund |  |
| Japanese Smaller Companies Fund |  |
| Latin American Equity Fund |  |
| American Focused Equity Fund | Nom précédent : North American Equity Fund |
| North American Smaller Companies Fund |  |
| Russian Equity Fund |  |
| Select Emerging Markets Bond Fund |  |
| Select Euro High Yield Bond Fund |  |
| Technology Equity Fund |  |
| UK Equity Fund |  |
| World Equity Fund |  |
| World Resources Equity Fund |  |
| World Smaller Companies Fund |  |
| Asian Sustainable Development Equity Fund | Lancé le 25/08/2020 |
| Emerging Markets Bond Fixed Maturity 2023 Fund | Lancé le 01/10/2019 |
| Global Bond Fixed Maturity 2023 Fund | Lancé le 23/10/2019 |
| Global Mid-Cap Equity Fund | Lancé le 22/04/2020 |
| Listed Private Capital Fund | Modification de l’EG de la VaR relativeà l’approche par les engagements |

L’approche par la Valeur à risque (VaR)
Le Département de Supervision des risquesd’investissement contrôleet établit des rapports sur les mesures du risque de marché et de la VaR à partir d’un système demodélisation des risques propre à Aberdeen Standard Investment, Sungard Advanced Portfolio Technologies (APT). Ce modèle estime et calcule les variables et probabilités de rendement du portefeuille à partir de données historiques
(180 observations à pondérations égales) alimentées par des informations fournies par les systèmesde front office. De nombreuses mesures du risque sontproduitespour quantifier la probabilitéde perte au niveau des compartiments pour un jour donné, soit à partir d’une mesure absolue (VaR absolue) soitsous la forme d’une valeur relative à l’aide d’un référentiel préétabli (VaR relative).
Conformément à la Circulaire 11/512 de la CSSF, la limite réglementaire de la VaR associée au total des positions du portefeuille d’un Fonds ne doit pas dépasser deux fois (à savoir 200 %) la VaR de son Référentiel de risque associé ou 20 % pour les Fonds contrôlés selon l’approche de la VaR absolue. Le tableau ci-dessous définit l’approche de la VaR et son Référentiel de risque associé pour chaque Fonds.
| Exposition globale : VaR absolue |  |  |
| --- | --- | --- |
| Nom du Fonds | Notes |  |
| Asia Pacific Multi Asset Fund |  |  |
| Brazil Bond Fund | Fermé le 10/12/2019 |  |
| Diversified Growth Fund |  |  |
| Diversified Income Fund |  |  |
| Emerging Markets Total Return Bond Fund | Modification de l’EG de la VaR relativeà la VaR absolue |
|  |  |
| Exposition globale : VaR relative |  |  |
| Nom du Fonds | Référentiel de risque | Notes |
| Asian Bond Fund | Markit iBoxx Asian Local Bond (USD) |  |
| Asian Credit Bond Fund | JP Morgan Asia Credit Diversified (USD) |  |
| Asian Local Currency Short Term Bond Fund | Markit iBoxx Asia ex Japan (1-3 year) (USD) |  |
| Australian Dollar Government Bond Fund | JP Morgan Australia Government Bond (AUD) |  |

| Exposition globale : VaR relative |  |  |
| --- | --- | --- |
| Nom du Fonds | Référentiel de risque | Notes |
| China Onshore Bond Fund | FTSE World Government Bond Extended China (1-10 year) (USD) |  |
| Emerging Markets Corporate Bond Fund | JP Morgan CEMBI Broad Diversified (USD) |  |
| Emerging Markets Local Currency Bond Fund | JP Morgan GBI-EM Global Diversified (USD) |  |
| Emerging Markets Local Currency Corporate Bond Fund | ICE BofAML Diversified Broad Local Emerging Markets Non-Sovereign (USD) |  |
| Euro Government Bond Fund | Bloomberg Barclays Euro Aggregate Treasury Bond (EUR) |  |
| Euro Short Term Bond Fund | FTSE EMU Government Bond (1-3 Year), (ex BBB) (EUR) |  |
| European Convertibles Bond Fund | Thomson Reuters Europe Convertible Bond | Fermé le 13/12/2019 |
| Frontier Markets Bond Fund | JP Morgan Next Generation Markets (USD) |  |
| GDP Weighted Global Government Bond Fund | Bloomberg Barclays Global Treasury Universal-GDP Weighted by Country (USD) |  |
| Global Bond Fund | Bloomberg Barclays Global Aggregate Bond TR |  |
| Global Government Bond Fund | FTSE World Government Bond (USD) |  |
| Indian Bond Fund | Markit iBoxx Asia India (USD) |  |
| Select Emerging Markets Investment Grade Bond Fund | JP Morgan EMBI Global Diversified Investment Grade (USD) |  |
| US Dollar Credit Bond Fund | Bloomberg Barclays US Credit (USD) |  |
| US Dollar Short Term Bond Fund | FTSE World Government Bond US (1-3 year) (USD) |  |
| World Credit Bond Fund | Bloomberg Barclays Global Aggregate Credit (Hedged to USD) |  |
| Multifactor Global Equity Fund | MSCI AC World (USD) | Nom précédent : Smart Beta Low Volatility Global Equity Growth Fund |
| Multifactor Global Equity Income Fund | MSCI AC World (USD) | Nom précédent : Smart Beta Low Volatility Global Equity Income Fund |
| Artificial Intelligence Global Equity Fund | MSCI AC World (USD) | Modification de l’EG de l’approche par les engagements à la VaR relative |
| Global Corporate Bond Sustainable and Responsible Investment Fund | Bloomberg Barclays Global Aggregate Corporate Bond (Hedged to USD) | Lancé le 24/06/2020 |

Tableau de la VaR et hypothèses du modèle
Les chiffres de l’effet de levier moyen ci-dessous ont été calculés sur la base des chiffres quotidiens de la période comprise entre le 1er octobre 2019 et le 30 septembre 2020.
| Exposition globale : Limite réglementaire de la VaRabsolue : 20 % | VaR absolue min. | VaR absolue max. | VaR absolue moyenne |
| --- | --- | --- | --- |
| Asia Pacific Multi Asset Fund | 4,8 % | 8,8 % | 7,2 % |
| Brazil Bond Fund | 16,3 % | 18,0 % | 16,9 % |
| Diversified Growth Fund | 1,8 % | 8,3 % | 4,5 % |
| Diversified Income Fund | 1,7 % | 8,2 % | 4,5 % |
| Emerging Markets Total Return Bond Fund | 3,9 % | 7,9 % | 6,7 % |

| Exposition globale : Limite réglementaire de la VaRrelative : 200 % | VaR relative min. | VaR relative max. | VaR relative moyenne |
| --- | --- | --- | --- |
| Asian Bond Fund | 85,3 % | 140,9 % | 114,6 % |
| Asian Credit Bond Fund | 97,8 % | 123,2 % | 111,5 % |
| Asian Local Currency Short Term Bond Fund | 80,0 % | 130,4 % | 107,8 % |
| Australian Dollar Government Bond Fund | 81,8 % | 119,5 % | 105,0 % |
| China Onshore Bond Fund | 93,2 % | 121,0 % | 100,8 % |
| Emerging Markets Corporate Bond Fund | 105,8 % | 139,8 % | 123,5 % |
| Emerging Markets Local Currency Bond Fund | 98,2 % | 114,1 % | 106,4 % |
| Emerging Markets Local Currency Corporate Bond Fund | 89,1 % | 110,4 % | 97,9 % |
| Euro Government Bond Fund | 94,0 % | 120,2 % | 107,8 % |
| Euro Short Term Bond Fund | 103,0 % | 185,1 % | 137,0 % |
| European Convertibles Bond Fund | 0,0 % | 98,7 % | 63,0 % |
| Fonds Frontier Markets Bond | 77,7 % | 105,9 % | 91,9 % |
| GDP Weighted Global Government Bond Fund | 91,8 % | 122,4 % | 107,8 % |
| Global Bond Fund | 98,3 % | 117,6 % | 110,1 % |
| Global Government Bond Fund | 97,5 % | 115,1 % | 107,2 % |
| Indian Bond Fund | 88,1 % | 98,3 % | 89,8 % |
| Select Emerging Markets Investment Grade Bond Fund | 72,1 % | 103,0 % | 96,8 % |
| US Dollar Credit Bond Fund | 96,4 % | 112,2 % | 103,5 % |
| US Dollar Short Term Bond Fund | 78,0 % | 139,2 % | 106,3 % |
| World Credit Bond Fund | 104,1 % | 121,0 % | 112,7 % |
| Multifactor Global Equity Fund | 80,0 % | 94,4 % | 85,1 % |
| Multifactor Global Equity Income Fund | 82,0 % | 88,3 % | 85,2 % |
| Artificial Intelligence Global Equity Fund | 92,4 % | 113,3 % | 101,1 % |
| Global Corporate Bond Sustainable and Responsible Investment Fund | 89,1 % | 110,5 % | 108,6 % |
| Hypothèses de modèle pour le tableau de la VaR : |  |  |  |
| Système : | Advanced Portfolio Technologies (APT) – Modèlefactoriel statistique |
| Méthode de VaR : | Paramétrique |  |  |
| Intervalle de confiance : | 99 % |  |  |
| Période de détention: | Un mois (20 jours) |  |  |
| Facteur de dégradation du lissage exponentiel des données historiques de marché : | Nul |  |  |
| Période d’observation : | 180 semaines |  |  |

Objectifs et limites de la méthode de la VaR
Le modèle Advanced Portfolio Technologies (APT) utilise des techniquesfactorielles statistiquespour obtenir un éventail maximum de données à entrer dans le modèle. Lerisqueest ensuite décomposé en fonction de techniques de régression à partir de variables explicatives. Lemodèle APT pour les obligations proposeun cadreintégré de mesureet de décomposition du risque des portefeuilles de toustypes de titres à revenu fixe. Ils peuventinclure des obligations d’État et d’entreprises, des convertibles et différentes catégories de swaps, de contrats à termeet de contrats d’options. Les portefeuilles sontmodélisés au niveau des actifs afin des’assurer de la représentation de chaqueposition dans les composantes du modèle. L’optionalité peutêtre représentée soitvia un ajustement en fonction du delta soità partir de techniques Monte Carlo. Le modèlede la VaR estconçu pour mesurer le risque de marchédans un environnement standard.
Cette méthode permet d’évaluer avec précision tous types de positions complexes non linéaires aussi bien que des instruments linéaires simples. Elle propose également une distribution complète des gains et pertes potentiels de portefeuillequi ne son t pas nécessairement symétriques. Si les facteurs de risque sous-jacents affichent des comportements anormaux, tels que les risques extrêmes (fat-tails) ou le retour à la moyenne (mean-reversion), la VaR qui en découle tiendra compte de ces effets. Toutefois, le risque de perte extrême ne peut être examiné que si les données historiques comportent ce type d’événements extrêmes. La distribution est calculée en fonction de données historiques quotidiennes par série de temps auxquelles est appliqué un ajustement exponentiel .
L’utilisation de la VaR a des limites en cela qu’elle se fonde sur des corrélations et des volatilités historiques des prix de marché et part du principe que les variations futures des cours suivront une distribution statistique. La VaR reposantlargement sur des don nées historiques comme source d’information et n’étant pas en mesure de prévoir clairement les changements et modifications à venir concernant les facteurs de risque, la probabilité de fortes variations de marché peut être sous-estimée si les changements des facteurs de risque ne correspondent pas à l’hypothèse de distribution employée. La VaR peut aussi être sous-estimée ou surévaluée en fonction des hypothèses placées sur les facteurs de risque et de la relation entre ces facteurs pour des instruments particuliers.
Alors que les positionspeuvent varier au long d’une journée, la VaR ne représente le risque des portefeuilles qu’en clôture de mois et ne tient pas compte des pertes susceptibles d’intervenir au-delà de l’intervalle de confiance de 99 %. Dans la pratique, les résultats réels des négociations serontdifférents du calcul de la VaR qui ne donne toutparticulièrementpas d’indication significative des profits et pertes dans un environnementde marché difficile. Pour établir la fiabilité desmodèles de VaR, les résultats réels sont suivis régulièrementafin de tester la validitédes hypothèses et les paramètres utilisés dans le calcul de la VaR. Les positions de risque de marché sont également régulièrement soumises à des tests de résistance(stress tests) pour garantir la résiliencedu Fonds en cas d’événementde marché extrême.
Effet de levier
Les niveaux attendus d’effetde levier indiqués ci-dessous reflètent l’utilisation des instruments dérivés au sein du portefeuille d’un Fonds donné. Un niveau d’effet de levier anticipé ne représente pas nécessairement une hausse du risque dans le Fonds, car certains instruments dérivés utilisés peuvent même réduire le risque. Les Actionnaires doiventêtre conscients que l’approche de la « Somme des notionnels » du niveau d’effetde levier anticipé ne fait aucune distinction quant à l’utilisation prévue d’un instrument dérivé, par exemple à des fins de couverture ou à des fins d’investissement.
Le calcul par la « Somme des notionnels » donne généralement un effet de levier plus élevé que le calcul reposant sur les engagements, notamment du fait de l’absence de dispositifs de compensation et/ou de couverture.
Les chiffres de l’effet de levier moyen ci-dessous ontété calculés sur la base des chiffres quotidiens de la période comprise entre le 1er octobre 2019 et le 30 septembre 2020.
| Effet de levier % |
| --- |
|  | Exposition globale | Somme des notionnels | Engagements |
| Asia Pacific Multi Asset Fund | VaR absolue | 179 % | 85 % |
| Brazil Bond Fund | VaR absolue | 0 % | 0 % |
| Diversified Growth Fund | VaR absolue | 163 % | 47 % |
| Diversified Income Fund | VaR absolue | 201 % | 94 % |
| Emerging Markets Total Return Bond Fund | VaR absolue | 111 % | 78 % |
| Artificial Intelligence Global Equity Fund | VaR relative | 1 % | 1 % |
| Asian Bond Fund | VaR relative | 200 % | 79 % |
| Asian Credit Bond Fund | VaR relative | 20 % | 12 % |
| Asian Local Currency Short Term Bond Fund | VaR relative | 167 % | 48 % |
| Australian Dollar Government Bond Fund | VaR relative | 39 % | 36 % |
| China Onshore Bond Fund | VaR relative | 36 % | 2 % |
| Emerging Markets Corporate Bond Fund | VaR relative | 43 % | 31 % |
| Emerging Markets Local Currency Bond Fund | VaR relative | 67 % | 27 % |
| Emerging Markets Local Currency Corporate Bond Fund | VaR relative | 7 % | 2 % |
| Euro Government Bond Fund | VaR relative | 310 % | 192 % |

e
| Effet de levier % |
| --- |
|  | Exposition global Som | me des notionnels | Engagements |
| Euro Short Term Bond Fund | VaR relative | 11 % | 11 % |
| European Convertibles Bond Fund | VaR relative | 25 % | 19 % |
| Frontier Markets Bond Fund | VaR relative | 44 % | 24 % |
| GDP Weighted Global Government Bond Fund | VaR relative | 220 % | 77 % |
| Global Bond Fund | VaR relative | 326 % | 154 % |
| Global Corporate Bond Sustainable and Responsible Investment Fund | VaR relative | 70 % | 16 % |
| Global Government Bond Fund | VaR relative | 349 % | 148 % |
| Indian Bond Fund | VaR relative | 27 % | 10 % |
| Multifactor Global Equity Fund | VaR relative | 3 % | 3 % |
| Multifactor Global Equity Income Fund | VaR relative | 2 % | 2 % |
| Select Emerging Markets Investment Grade Bond Fund | VaR relative | 94 % | 64 % |
| US Dollar Credit Bond Fund | VaR relative | 85 % | 57 % |
| US Dollar Short Term Bond Fund | VaR relative | 1 % | 0 % |
| World Credit Bond Fund | VaR relative | 156 % | 71 % |