# Risk analysis
|  |  |  |  |  |
| --- | --- | --- | --- | --- |
|  | 1 Y. | 3 Y. | 5 Y. | Launch |
| Annualized volatility Portfolio* | 2.53% | 3.09% | 3.19% | 3.71% |
| Performance Indicator** | 2.49% | 2.99% | 3.04% | 3.56% |
| Relative risk ('tracking error') | 0.76% | 0.57% | 0.54% | 0.53% |
| Sharpe ratio | -0.72 | 0.90 | 1.12 | 1.12 |
| Information ratio | 0.11 | 1.09 | 1.13 | 1.05 |

* 1st NAV date: 23/03/2011
** Performance indicator : Please refer to the Benchmark section in the characteristics/disclaimers part of the document. Source(s): AXA Investment Managers as at 31/08/2018
Editor: AXA Investment Managers Paris
| Portfolio analysis |  |
| --- | --- |
| Fund indicators |  |  |  | Fund indicators |  |  |  |  |  |
|  | Portfolio | Performance Indicator* |  |  |  | Portfolio |  | Performance Indicator* |  |
| Cash | 5.69% | - |  | Duration to worst |  | 6.23 |  | 6.46 |  |
| Number of Holdings | 291 | 9181 |  | Spread duration |  | 5.83 |  | 6.37 |  |
| Number of Issuers | 222 | 1277 |  | Average Coupon |  | 3.80% |  | 3.47% |  |
| Linear Average Rating | BBB | BBB+ |  | Yield To Worst |  | 3.13 |  | 3.11 |  |
| Exponential Average Rating | BBB | BBB+ |  | Asset swap spread |  | 123 |  | 103 |  |
| Average Life | 8.56 | 8.65 |  |  |  |  |  |  |  |
| Allocation by rating / maturity |  |  |  |  |  |  |  |  |  |
| AAA | AA | A |  | BBB | BB |  | Cash | Total |  |
| Cash |  |  |  |  |  |  | 5.69% | 5.69% |  |
| 0-1 year |  | 0.70% |  | 1.28% | 2.10% |  |  | 4.08% |  |
| 1-3 years | 1.63% | 1.46% |  | 8.26% | 1.23% |  |  | 12.57% |  |
| 3-5 years | 1.03% | 5.09% |  | 16.99% | 1.90% |  |  | 25.00% |  |
| 5-7 years	0.17% | 0.38% | 1.37% |  | 12.74% | 0.71% |  |  | 15.37% |  |
| 7-10 years | 1.01% | 1.98% |  | 14.31% | 1.12% |  |  | 18.42% |  |
| 10-20 years |  | 0.43% |  | 4.44% | 0.49% |  |  | 5.36% |  |
| +20 years | 0.98% | 2.38% |  | 9.57% | 0.59% |  |  | 13.51% |  |
| Total	0.17% | 5.02% | 13.40% |  | 67.59% | 8.13% |  | 5.69% |  |  |

EUROPE 5Y
ITRAXX Eur Sen
Financial 5Y
ITRAXX JAPAN
5Y
AUSTRALIA 5Y
ITRAXX ASIA-EX
JAPAN

## Average maturity evolution	Breakdown of CDS on Index
9
8
7
6
5
4
3
2
1
0
31/07/18	31/08/18
Portfolio
ITRAXX
CDX IG 5Y
ITRAXX
0%
-1%
-2%
-3%
-4%
-5%
-4.38%
% NAV
56.13%
47.26%

## Geographical exposure per issuer	Contribution to duration by sector
60%
50%
40%
8.33%
8.22%
8.14%
7.88%
3.00%
2.50%
30%
20%
10%
United States
United Kingdom
France
0%
1.60
1.17
1.32
0.55
0.68
0.44
0.58
0.32
0.50
1.11
0.83
1.20
0.47
0.45
0.39
0.31
0.37
0.27
0.35
0.29
0.31
0.18
0.27
0.42
0.25
0.41
0.23
0.22
0.80
6.28%
12.37%
5.69%
0.00%
0.40
Other
Cash
Banking
Energy
Telecommunications
Utility
Insurance
Retail
Basic Industry
Healthcare
Real Estate
Consumer Goods
Technology &
Electronics
Transportation
Other
0.00
Australia
Spain 2.21%
2.20%
Canada 2.08%
3.75%
Belgium 1.67%
1.45%
Netherlands 1.44%
2.93%
Italy 1.44%
1.66%
Germany 1.41%
5.37%
Switzerland 1.19%
1.99%
Japan 1.00%
2.42%
Portfolio	Performance Indicator*	Portfolio	Performance Indicator*
| Portfolio analysis |  |
| --- | --- |
| Main stocks |  |  |  |  |
| Name | Weighting | Issuer country | Modified duration | Contribution** |
| JPMorgan Chase & Co 4.5% 01/24/2022 | 0.86% | United States | 3.1 | 0.03 |
| CVS Health Corp 5.05% 03/25/2048 | 0.79% | United States | 15.0 | 0.12 |
| AT&T Inc 5.15% 11/15/2046 | 0.77% | United States | 14.2 | 0.11 |
| Eutelsat SA 3.125% 10/10/2022 | 0.72% | France | 3.8 | 0.03 |
| Dell International EMC Corp 5.45% 06/15/2023 | 0.70% | United States | 4.0 | 0.03 |
| BNP Paribas SA 2.95% 05/23/2022 | 0.65% | France | 3.5 | 0.02 |
| Manufacturers & Traders Trust VAR 12/01/2021 | 0.63% | United States | 0.1 | 0.00 |
| Macquarie Group Ltd VAR 11/28/2023 | 0.63% | Australia | 3.9 | 0.02 |
| Bank of America Corp 4.1% 07/24/2023 | 0.62% | United States | 4.4 | 0.03 |
| RCI Banque SA 1.25% 06/08/2022 | 0.61% | France | 3.7 | 0.02 |
| **Contribution to portfolio risk (%) |  |  |  |  |

Translation (ENES, 2018-08-31):
# Análisis del riesgo
|  |  |  |  |  |
| --- | --- | --- | --- | --- |
|  | 1 A. | 3 A. | 5 A. | Inicio |
| Volatilidad anualizada Cartera* | 2.53% | 3.09% | 3.19% | 3.71% |
| Indicador de rentabilidad** | 2.49% | 2.99% | 3.04% | 3.56% |
| Riesgo relativo (' tracking error ') | 0.76% | 0.57% | 0.54% | 0.53% |
| Ratio de Sharpe | -0.72 | 0.90 | 1.12 | 1.12 |
| Ratio de información | 0.11 | 1.09 | 1.13 | 1.05 |

* Fecha del primer VL: 23/03/2011
** Indicador de rentabilidad : Consulte por favor la sección del Indicador de rentabilidad, en la parte del documento de características/aviso legal Fuente(s) : AXA Investment Managers a 31/08/2018
Redactor: AXA Investment Managers Paris.
| Análisis de la cartera |  |
| --- | --- |
| Características de la cartera |  |  |  | Características de la cartera |  |  |  |
|  | Cartera | Indicador de rentabilidad* |  |  | Cartera | Indicador de rentabilidad* |  |
| Liquidez | 5.69% | - |  | Duration to worst | 6.23 | 6.46 |  |
| Número de líneas | 291 | 9181 |  | Spread duration | 5.83 | 6.37 |  |
| Número de emisores | 222 | 1277 |  | Cupón medio | 3.80% | 3.47% |  |
| Calificación media lineal | BBB | BBB+ |  | Yield to worst | 3.13 | 3.11 |  |
| Calificación media ponderada | BBB | BBB+ |  | Asset swap spread | 123 | 103 |  |
| Vencimiento medio | 8.56 | 8.65 |  |  |  |  |  |
| Exposición rating / vencimiento |  |  |  |  |  |  |  |
|  | AAA | AA | A | BBB | BB | Liquidez | Total |
| Liquidez |  |  |  |  |  | 5.69% | 5.69% |
| 0-1 año |  |  | 0.70% | 1.28% | 2.10% |  | 4.08% |
| 1-3 años |  | 1.63% | 1.46% | 8.26% | 1.23% |  | 12.57% |
| 3-5 años |  | 1.03% | 5.09% | 16.99% | 1.90% |  | 25.00% |
| 5-7 años | 0.17% | 0.38% | 1.37% | 12.74% | 0.71% |  | 15.37% |
| 7-10 años |  | 1.01% | 1.98% | 14.31% | 1.12% |  | 18.42% |
| 10-20 años |  |  | 0.43% | 4.44% | 0.49% |  | 5.36% |
| +20 años |  | 0.98% | 2.38% | 9.57% | 0.59% |  | 13.51% |
| Total | 0.17% | 5.02% | 13.40% | 67.59% | 8.13% | 5.69% |  |

EUROPE 5Y
ITRAXX Eur Sen
Financial 5Y
CDX IG 5Y
ITRAXX JAPAN
5Y
AUSTRALIA 5Y
ITRAXX ASIA-EX
JAPAN

## Evolución del vencimiento medio
9
8
7
6
5
4
3
2
1
0
31/07/18	31/08/18
Cartera
ITRAXX
ITRAXX
0%
-1%
-2%
-3%
-4%
-5%
-4.38%
% NAV
56.13%
47.26%

## Exposición geográfica por emisor	Contribución a la duración por sector
60%
50%
40%
8.33%
8.22%
8.14%
7.88%
3.00%
2.50%
30%
20%
10%
Estados Unidos
Reino Unido
Francia
0%
1.60
1.17
1.32
0.55
0.68
0.44
0.58
0.32
0.50
1.11
0.83
1.20
0.47
0.45
0.39
0.31
0.37
0.27
0.35
0.29
0.31
0.18
0.27
0.42
0.25
0.41
0.23
0.22
0.80
6.28%
12.37%
5.69%
0.00%
0.40
España 2.21%
2.20%
Canadá 2.08%
3.75%
Bélgica 1.67%
1.45%
Países 1.44%
Bajos 2.93%
Italia 1.44%
1.66%
Alemania 1.41%
5.37%
Suiza 1.19%
1.99%
Japón 1.00%
2.42%
Finanzas
Energía
Telecomunicaciones
Deuda pública
Seguros
Servicios
Industria básica
Cuidado médico
Bienes inmuebles
Consumo
Tecnología y
electrónica
Transporte
Otros
0.00
Australia
Otros
Liquidez
Cartera	Indicador de rentabilidad*	Cartera	Indicador de rentabilidad*
| Análisis de la cartera |  |
| --- | --- |
| Valores principales |  |  |  |  |
| Denominación | Ponderación | País emisor | Sensibilidad | Contribución** |
| JPMorgan Chase & Co 4.5% 01/24/2022 | 0.86% | Estados Unidos | 3.1 | 0.03 |
| CVS Health Corp 5.05% 03/25/2048 | 0.79% | Estados Unidos | 15.0 | 0.12 |
| AT&T Inc 5.15% 11/15/2046 | 0.77% | Estados Unidos | 14.2 | 0.11 |
| Eutelsat SA 3.125% 10/10/2022 | 0.72% | Francia | 3.8 | 0.03 |
| Dell International EMC Corp 5.45% 06/15/2023 | 0.70% | Estados Unidos | 4.0 | 0.03 |
| BNP Paribas SA 2.95% 05/23/2022 | 0.65% | Francia | 3.5 | 0.02 |
| Manufacturers & Traders Trust VAR 12/01/2021 | 0.63% | Estados Unidos | 0.1 | 0.00 |
| Macquarie Group Ltd VAR 11/28/2023 | 0.63% | Australia | 3.9 | 0.02 |
| Bank of America Corp 4.1% 07/24/2023 | 0.62% | Estados Unidos | 4.4 | 0.03 |
| RCI Banque SA 1.25% 06/08/2022 | 0.61% | Francia | 3.7 | 0.02 |
| **Contribución al riesgo de la cartera (%) |  |  |  |  |