BNY Mellon Evolution Currency Option
As at 31 July 2010
Fund Profile
A unique derivative-based currency strategy from one of the world's leading currency managers
Fund highlights:
- Managed by currency management specialist Pareto
- A quantitative absolute return alpha currency fund
- 15% absolute return objective with a target information ratio of 1.1
- UCITS III mutual fund structure with various share classes, daily pricing and liquidity
- Pareto employs statistical and trading models to exploit extreme conditions in the currency markets
- Opportunistic approach with broad coverage of the currency markets
- Takes long positions using liquid OTC currency options
- Back-tested returns have a low correlation to traditional asset classes and other currency strategies
- A rigorous risk management which meets UCITS III requirements
- Euro based share class (EURIBOR benchmark) with hedged sterling (LIBOR benchmark) and hedged dollar (US$-LIBOR benchmark) available
Investment objective
The investment objective of the Sub-Fund is to achieve long-term capital growth by using an investment strategy to invest in a portfolio of foreign exchange derivative instruments, fixed income securities and other instruments.
| Share Class Table | ||||
|---|---|---|---|---|
| EUR C | EUR P | EUR S | EUR R | |
| Share Class Launch Date | 10 Jan 2007 | 04 Apr 2007 | 13 Feb 2009 | 13 Feb 2009 |
| Sedol | B1HLBF4 | B18L8M8 | B3DYTL3 | B3DYTJ1 |
| ISIN | IE00B1HLBF47 | IE00B1L8BM81 | IE00B3DYTL38 | IE00B3DYTJ16 |
| Bloomberg | MGECOCE ID | MGECOPE ID | MGECOSE ID | MGECORE ID |
| Valoren | CH2861058 | CH2861056 | N.D. | N.D. |
| WKN | A0MLDL | A0MLDP | A0RGEU | A0RGET |
| Max Initial Charge | 5% | 5% | 5% | 5% |
| Annual Mgt Charge | 1.25% | 2.00% | 1.25% | 2.00% |
| Min Initial Investment | € 5,000,000 | € 25,000 | € 5,000,000 | € 25,000 |
| Performance Fee | 20.00% | 20.00% | 20.00% | 20.00% |
General information
- Total net assets (million)
- € 112.10
- Fund domicile
- Dublin
- Fund type
- ICVC
- Fund manager
- Mauricio Bouabci
- Alternate
- Vladimir Kozak
- Base currency
- EUR
- Currencies available
- EUR, USD, GBP
Key dates
- Fund launch
- 10 Jan 2007
- Close of financial year
- 31 Dec
BNY Mellon Asset Management Company
Pareto Investment Management Limited: Pareto is one of the largest and longest established specialist currency managers in the world actively managing currency exposures for 19 years. With a balance of investment expertise and academic excellence, Pareto was founded on the principle that advanced technology could be applied to investment management. The unique insight has been to apply sophisticated techniques to the problem of managing currency.
The Fund utilises Pareto's proprietary models to systematically search for stretched market conditions through the implementation of statistical techniques and pattern recognition methods.
Dealing
09:00 to 17:00 each business day
Valuation point: 22:00 Dublin time
Shareclass EUR A
- General
- Share class launch date
- 29 Jan 2007
- Minimum investment
- € 5,000
- Annual management charge
- 3.25%
- Maximum initial charge
- 5.00%
- Codes
- ISIN
- IE00B1HLBD23
- Bloomberg
- MGECOAE ID
- Sedol
- B1HLBD2
- Valoren
- CH2861053
- WKN
- A0MLDK
- Performance Fee
- 0.00%
- Registered for sale in:
- AT, BE, FR, DE, ES, GIB, GUE, IRL, IT, NL, NO, PT, UK
Shareclass EUR C
- General
- Share class launch date
- 10 Jan 2007
- Minimum investment
- € 5,000,000
- Annual management charge
- 1.25%
- Maximum initial charge
- 5.00%
- Codes
- ISIN
- IE00B1HLBF47
- Bloomberg
- MGECOCE ID
- Sedol
- B1HLBF4
- Valoren
- CH2861058
- WKN
- A0MLDL
- Performance Fee
- 20.00%
- Registered for sale in:
- AT, BE, FR, DE, ES, GIB, GUE, IRL, IT, JER, NL, NO, PT, UK
Shareclass EUR D
- General
- Share class launch date
- 29 Jan 2007
- Minimum investment
- € 5,000,000
- Annual management charge
- 2.50%
- Maximum initial charge
- 5.00%
- Codes
- ISIN
- IE00B1HLBG53
- Bloomberg
- MGECODE ID
- Sedol
- B1HLBG5
- Valoren
- CH2861075
- WKN
- A0MKGC
- Performance Fee
- 0.00%
- Registered for sale in:
- BE, FR, DE, ES, GIB, GUE, JER, IRL, IT, NL, NO, PT, UK
Shareclass EUR P
- General
- Share class launch date
- 04 Apr 2007
- Minimum investment
- € 25,000
- Annual management charge
- 2.00%
- Maximum initial charge
- 5.00%
- Codes
- ISIN
- IE00B1L8BM81
- Bloomberg
- MGECOPE ID
- Sedol
- B18L8M8
- Valoren
- CH2861056
- WKN
- A0MLDP
- Performance Fee
- 20.00%
- Registered for sale in:
- BE, DE, ES, FR, GIB, GUE, IRL, IT, JER, NL, NO, PT, UK
Shareclass EUR R
- General
- Share class launch date
- 13 Feb 2009
- Minimum investment
- € 25,000
- Annual management charge
- 2.00%
- Maximum initial charge
- 5.00%
- Codes
- ISIN
- IE00B3DYTJ16
- Bloomberg
- MGECORE ID
- Sedol
- B3DYTJ1
- WKN
- A0RGET
- Performance Fee
- 20.00%
Shareclass EUR S
- General
- Share class launch date
- 13 Feb 2009
- Minimum investment
- € 5,000,000
- Annual management charge
- 1.25%
- Maximum initial charge
- 5.00%
- Codes
- ISIN
- IE00B3DYTL38
- Bloomberg
- MGECOSE ID
- Sedol
- B3DYTL3
- WKN
- A0RGEU
- Performance Fee
- 20.00%
Shareclass GBP K
- General
- Share class launch date
- 10 Jan 2007
- Codes
Shareclass USD K
- General
- Share class launch date
- 10 Jan 2007
- Minimum investment
- $ 5,000,000
- Annual management charge
- 1.25%
- Maximum initial charge
- 5.00%
- Codes
- ISIN
- IE00B1L8BN98
- Bloomberg
- N.D.
- Sedol
- B1L8BN9
- Valoren
- N.D.
- WKN
- N.D
- Performance Fee
- 0.00%
Fund Specific Important Information
| Performance record since launch | ||||||||
|---|---|---|---|---|---|---|---|---|
|
Source: Lipper and BNY Mellon Asset Management as at 31 July 2010. Total Return, including annual charges but excluding initial charges, income reinvested gross of tax. Performance history is given in Fund - EUR C share class currency. |
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Statutory performance data updated quarterly
| From | 30 Jun 09 | 30 Jun 08 | 29 Jun 07 | 30 Jun 06 | 30 Jun 05 |
|---|---|---|---|---|---|
| To | 30 Jun 10 | 30 Jun 09 | 30 Jun 08 | 29 Jun 07 | 30 Jun 06 |
|
Source: Lipper and BNY Mellon Asset Management as at 31 July 2010. Total Return, including annual charges but excluding initial charges, income reinvested gross of tax. Performance history is given in Fund - EUR C share class currency. |
|||||
| Fund | -3.5% | 11.5% | -3.0% | – | – |
| Monthly Performance | |||||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
|
Source: Lipper and BNY Mellon Asset Management as at 31 July 2010. Total Return, including annual charges but excluding initial charges, income reinvested gross of tax. Performance history is given in share class currency. |
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| Share Class | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Fund YTD | Index YTD | |
| EUR C | 2007 | - | 1.25 | 2.55 | 1.84 | 1.59 | -0.64 | 0.04 | -1.14 | -0.87 | -1.44 | 4.79 | -1.38 | 6.00 | 4.04 |
| 2008 | -1.12 | -2.17 | -0.53 | 2.39 | -0.84 | -0.54 | -0.78 | 1.45 | 2.63 | 1.43 | -0.27 | 6.60 | 8.24 | 4.45 | |
| 2009 | 0.02 | 2.18 | 0.13 | -0.24 | -0.45 | -1.51 | -2.38 | -0.98 | -0.11 | -0.25 | -1.26 | 0.62 | -4.22 | 0.99 | |
| 2010 | 0.04 | -0.03 | -0.41 | 0.10 | 1.07 | 0.06 | -0.81 | - | - | - | - | - | 0.01 | 0.25 | |
| Annualised Since Inception (10/01/07) | 2.69 | 2.72 | |||||||||||||
| EUR P | 2007 | - | - | - | - | 1.10 | -0.36 | -0.01 | -1.19 | -1.16 | -1.77 | 5.29 | -1.54 | 2.64 | 3.16 |
| 2008 | -1.14 | -2.23 | -0.59 | 2.33 | -0.90 | -0.61 | -0.84 | 1.39 | 2.57 | 1.36 | -0.33 | 6.79 | 7.74 | 4.45 | |
| 2009 | -0.03 | 2.14 | 0.08 | -0.27 | -0.47 | -1.62 | -2.44 | -1.04 | -0.17 | -0.31 | -1.32 | 0.55 | -4.87 | 0.99 | |
| 2010 | -0.02 | -0.09 | -0.47 | 0.05 | 1.00 | -0.12 | -0.87 | - | - | - | - | - | -0.53 | 0.25 | |
| Annualised Since Inception (04/04/07) | 1.38 | 2.65 | |||||||||||||
| EUR S | 2009 | - | - | 0.15 | -0.30 | -0.57 | -1.65 | -2.41 | -0.98 | -0.11 | -0.25 | -1.26 | 0.62 | -4.60 | 0.99 |
| 2010 | 0.04 | -0.03 | -0.41 | 0.10 | 1.06 | -0.21 | -0.81 | - | - | - | - | - | -0.27 | 0.25 | |
| Since Inception (13/02/09) | -4.86 | 0.96 | |||||||||||||
| EUR R | 2009 | - | - | 0.10 | -0.92 | -0.45 | -1.60 | -2.47 | -1.04 | -0.17 | -0.32 | -1.32 | 0.55 | -5.46 | 0.99 |
| 2010 | -0.02 | -0.09 | -0.48 | 0.05 | 1.00 | -0.12 | -0.87 | - | - | - | - | - | -0.54 | 0.25 | |
| Since Inception (13/02/09) | -5.96 | 0.96 | |||||||||||||
| USD K | 2007 | - | 1.42 | 2.72 | 2.03 | 1.66 | -0.55 | 0.14 | -1.04 | -0.76 | -1.34 | 4.92 | -1.38 | 7.36 | 5.24 |
| 2008 | -1.00 | -2.23 | -0.86 | 2.29 | -0.99 | -0.65 | -0.95 | 1.12 | 1.85 | 1.82 | -0.57 | 7.18 | 6.88 | 2.92 | |
| 2009 | -0.13 | 2.15 | 0.42 | -0.22 | -0.49 | -1.45 | -2.39 | -1.02 | -0.07 | -0.32 | -1.23 | 0.45 | -4.28 | 0.35 | |
| 2010 | -0.07 | -0.09 | -0.41 | 0.10 | 0.99 | -0.03 | -0.86 | - | - | - | - | - | -0.38 | 0.16 | |
| Annualised Since Inception (10/01/07) | 2.57 | 2.42 | |||||||||||||
| GBP K | 2007 | - | 1.41 | 2.71 | 1.99 | 1.73 | -0.48 | 0.19 | -1.01 | -0.72 | -1.23 | 5.03 | -1.25 | 7.95 | 5.79 |
| 2008 | -0.91 | -2.08 | -0.38 | 2.39 | -0.79 | -0.47 | -0.72 | 1.55 | 2.70 | 1.54 | -0.28 | 7.21 | 9.83 | 5.54 | |
| 2009 | 0.19 | 2.14 | 0.02 | -0.30 | -0.44 | -1.48 | -2.38 | -1.01 | -0.20 | -0.18 | -1.25 | 0.64 | -4.25 | 0.91 | |
| 2010 | 0.06 | -0.05 | -0.39 | 0.14 | 1.10 | 0.02 | -0.81 | - | - | - | - | - | 0.05 | 0.32 | |
| Annualised Since Inception (10/01/07) | 3.65 | 3.51 | |||||||||||||