OREANDA-NEWS. Fitch Ratings has placed CPR Croissance Reactive's 'Excellent' Fund Quality Rating "Under Review". The fund is a flexible multi-asset global fund, managed by CPR Asset Management (CPR AM), a wholly owned subsidiary of Amundi Asset Management.

KEY RATING DRIVERS
The fund has underperformed its benchmark and peer funds over the past 12 months. For the year ended February 2016, the net performance of the fund (P shareclass) was -10.56% compared with a benchmark (50% JPM GBI EUR Hedged TR / 50% MSCI World EUR NR) of -1.54% and ranks in the fifth quintile in Lipper's Mixed Asset EUR Balanced Global category.

The fund's long term performance remains strong, in line with Fitch's expectations for this rating. The fund has demonstrated a first quintile performance over three and five years to end- February 2016 and since launch in 1997. It has outperformed its benchmark over five years and since launch.

Nevertheless, the performance deterioration over the last one year puts pressure on the fund's ability to meet Fitch's criteria for it to achieve the 'Excellent' rating.

The fund's rating continues to reflect a stable, well executed investment process, based on a balanced model-driven and discretionary approach. Asset allocation is model-driven, but with tactical judgement. A proprietary multi-scenario model uses discretionary scenario-based asset performance forecasts established at committees and selected correlations matrices as inputs. Using these inputs the model constructs a portfolio, optimised for given risk budget and constraints.

The fund is managed collegially by a multi-asset team of five. The quantitative research team (seven engineers) includes one analyst fully dedicated to the asset allocation model. CPR AM draws on Amundi's resources for trading, reporting, performance calculations, operations and technology.

Fitch expects to resolve the "Under Review" status of the fund in six months. The agency will closely monitor the performance of the fund during this period to determine whether the recent underperformance reflects a temporary setback or a structural deterioration in the capacity of the fund to achieve its objectives and outperform peers in the long term. Specifically, Fitch will assess the quality of discretionary macro-scenarios as inputs to the model and the ability of the model to continue to deliver in the current market environment.

Fitch will likely affirm the fund's 'Excellent' rating, if over the next six months, the fund outperforms its benchmark (net of fees), ranks in the first or second quintile in its category and demonstrates the attributes of a "Strong" track-record, as defined in Fitch's criteria. However, if any of the three conditions above is not met, Fitch will downgrade the fund.

CPR Croissance Reactive is a French-domiciled "Fonds Commun de Placement" with EUR1.08bn of assets as of end-February 2016. The fund aims to outperform a composite benchmark of 50% MSCI World Euro and 50% JPM GBI World Hedged with a 15% maximum ex-ante volatility. Equity exposure can vary between 20% and 80%. The fund is mainly invested in exchange traded funds.

Created in 1989, now a wholly owned subsidiary of Amundi Group, CPR AM focuses on institutional investor solutions. At end-December 2015 it had EUR37bn asset under management (AUM), including 21% in multi-assets.

RATING SENSITIVITIES
The rating may be sensitive to material changes in the investment or operational processes, or resources dedicated to the fund. A material adverse deviation from Fitch's guidelines for any key rating driver could result in a downgrade of the rating. For example, this may be manifested in significant structural deterioration in the fund's performance resulting from a model error or inadequacy, as measured by drawdown or underperformance relative to benchmark and peers. In Fitch's view, the model-driven process and consensual decision- making process limit key person dependency.