Amundi Index Equity Global Multi Smart Allocation Scientific Beta

Objective and Investment Policy

Objective

To track the performance of Scientific Beta Developed Multi-Beta Multi-Strategy Four-Factor ERC Index ("the Index"), and to minimize the tracking error between the net asset value of the sub-fund and the performance of the Index.

Index Description

• General description of the Index

Scientific Beta Developed Multi-Beta Multi-Strategy Four-Factor ERC Index is an equity index made of equities from the universe of mid and large-cap markets of developed countries. Its objective is to generate a higher return than the universe of large and mid-cap developed market equities (Global universe) weighted by market capitalisation. The index applies several security selection filters to this Global Universe and several weighting systems to obtain a composition aiming to achieve this objective. The Index is a Net Total Return Index: dividends net of tax paid by the index constituents are included in the Index return.

• Index currency: Euro
• Index Composition

The Global Universe comprises large- and mid-cap developed market equities. In order to optimise the liquidity of the Scientific Beta Developed Multi-Beta Multi-Strategy Four-Factor ERC Index, the securities selected within this Global Universe are those of companies in countries that:

• have a recent history with the highest volume and frequency of trading; and
• have the largest float market caps compared to all the securities in the underlying investment universe.

The securities of the companies used therefore comprise the Benchmark Universe, which includes approximately 2,000 securities (hereinafter “the 2000 securities”).

Four security selection filters are applied to the Benchmark Universe to create sub-indices:

• “Valuation” criterion: from the 2,000 securities in the Benchmark Universe, 50% of those with the lowest market valuations are selected, i.e. those with the highest valuation ratio (book value of the company divided by its market value);
• “Size” criterion: from the 2,000 securities in the Benchmark Universe, 50% of those with the smallest stock market capitalisation are selected;
• “Momentum” criterion: from the 2,000 securities in the Benchmark Universe, 50% of those with the highest returns over the 12 months preceding selection are selected (the return taken into account is equal to the performance of the security with dividends reinvested);
• “Volatility” criterion: from the 2,000 securities in the Benchmark Universe, 50% of those with the lowest volatility over the 12 months preceding selection are selected.

Each of those four selections of approximately 1,000 securities constitutes a sub-index.

Five weighting methods are applied to the securities comprising each of those four sub-indices:

• Maximum Deconcentration: strategy consisting of attributing an identical weighting to each constituent (equal weighting);
• Maximum Decorrelation: strategy consisting of attributing a weighting to each constituent calculated on the basis of a correlation matrix. The aim is to minimise the portfolio’s expected volatility assuming that the individual volatility of securities is identical;
• Risk diversification (“Diversified Risk Weighted”): strategy consisting of attributing a weighting to each constituent that enables it to contribute equally to the total risk of the sub-index measured by its historical volatility over the 12 months preceding selection;
• Minimum Volatility (“Efficient Minimum Volatility”): strategy consisting of attributing a weighting to each constituent calculated on the basis of historical volatility and of its correlation with the other components over the 12 months preceding selection in order to minimise the portfolio’s expected volatility;
• Maximisation of the Sharpe ratio (“Efficient Maximum Sharpe ratio”): strategy consisting of attributing a weighting to each constituent based on its contribution to the expected Sharpe ratio. The constituents that contribute the most to the expected Sharpe ratio are weighted relatively higher than those that contribute the least to this objective. The Sharpe ratio measures the return compared to the risk taken, with risk measured by volatility over the 12 months preceding selection.

The weighting of securities in each of the four sub-indices is obtained by taking for each security the average weight obtained using the five weighting methods described above.

These four sub-indices used to establish the Scientific Beta Developed Multi-Beta Multi-Strategy Four-Factor ERC Index are then weighted in accordance with the “equal risk contribution” method: this means that each sub-index must contribute equally to the relative risk measured using the tracking error compared to the Benchmark Universe weighted by market capitalization.

• Index Revision

The Index rebalancing is planned quarterly.

• Index Publication

The Index is calculated and published by ERI Scientific Beta ("SciBeta").

SciBeta official indices are those calculated by SciBeta using:

• the official closing prices of the stock exchanges on which the component securities are traded;
• the WM Reuters closing (16:00 GMT) exchange rates.

Scientific Beta Developed Multi-Beta Multi-Strategy Four-Factor ERC Index value is available via Bloomberg. At the date of the prospectus, the ticker is: SBDXRHMN.

The performance tracked is the closing price of the Scientific Beta Developed Multi-Beta Multi-Strategy Four-Factor ERC Index.

SciBeta index methodology, composition, revision rules and additional information concerning the Index underlying components are available on scientificbeta.com.

Management Process

The exposure to the Index will be achieved through a direct replication, mainly by making direct investments in transferable securities and/or other eligible assets representing the Index constituents in a proportion extremely close to their proportion in the index.

The sub-fund takes into account principal adverse impacts of investments on sustainability factors in its investment process as outlined in more detail in section "Sustainable Investment" of this prospectus and will not hold any securities of companies involved in the production or sale of controversial weapons as defined in "Replication Methods".

The Sub-Fund does not integrate a consideration of environmentally sustainable economic activities (as prescribed in the Taxonomy Regulation) in its management process. Therefore, for the purpose of the Taxonomy Regulation, it should be noted that the investments underlying the Sub-Fund do not take into account the EU criteria for environmentally sustainable economic activities.

German Investment Tax Act: At least 60% of the sub-fund’s net asset value is continuously invested in equities listed on a stock exchange or traded on an organized market. For the sake of clarity, investments in Real Estate Investment Trusts (as such term is defined by the German Ministry of Finance) and UCITS or UCIs are not included in this percentage.

Tracking Error

The tracking error measures the volatility of the difference between the return of the sub-fund and the return of the Index. In normal market conditions, it is anticipated that the sub-fund will track the performance of the Index with a tracking error of up to 1%. The return, used to compute the tracking error of the sub-fund, is determined before taking into account any swing pricing mechanism.

Techniques and instruments on securities and Derivatives

In order to deal with inflows and outflows and also with some local market specificities (market access and liquidity, local tax); the Investment Manager will be able to combine the direct replication with a replication through derivatives such as amongst other futures. In case of such replication, the sub-fund may hold deposits while keeping full exposure to the Index.

The sub-fund may enter into any efficient portfolio management techniques and instruments relating to transferable securities and money market instruments, such as securities lending and borrowing, reverse purchase agreement and repurchase agreement for the purposes of efficient portfolio management as described and in compliance with sections “Techniques and Instruments on Securities Financing Transactions” and “Replication Methods” of this prospectus. In particular, such techniques and instruments may be used in order to generate additional income.

The maximum and expected proportions of the sub-fund’s assets that can be subject to SFT and TRS are disclosed in the table “USE OF SECURITIES FINANCING TRANSACTIONS AND TOTAL RETURN SWAPS.

Sub-fund base currency: Euro.

Investment Manager

Amundi Asset Management

Main Risks

Risks of ordinary market conditions

The Fund has high volatility due to its exposure to equity markets

• Currency
• Derivatives
• Equity
• Index replication
• Investment fund
• Management
• Market
• Small and mid-cap stock
• Style
• Sustainability
• Use of techniques and Instruments

Risks of unusual market conditions

• Counterparty
• Liquidity
• Operational
• Standard practices

Risk management method

• Commitment

Planning Your Investment

Designed for Investors who understand the risks of the sub-fund and plan to invest for at least 5 years.

The sub-fund may appeal to investors who:

• are interested in investment growth in the long term;
• are looking to replicate the performance of the Index while accepting its associated risks and volatility;
• are interested in investment growth in the long term while diversifying a portfolio by adding “Smart Beta” developed countries equity exposure.

Business day: Any day that is a day when Euronext Paris is fully open.

Transaction Day: Requests received and accepted by 14:00 CET on a Business day will ordinarily be processed on the NAV of the first following day that is a business day and also a bank business day in USA market.

Transaction settlement will occur within two business days after the relevant transaction day.

In addition, technical net asset values ("T-NAV") may be calculated and published for any calendar day (excluding Saturdays and Sundays) that is neither a business day nor a transaction day. These T-NAV are merely indicative and will not be the basis for purchasing, switching, redeeming and/or transferring shares.

NAV publication Day: Transaction Day +1

Switching in/out: Permitted

Main share classes and fees

			Fees for share transactions		Annual fees
Share class	Currency	Min initial Investment*	Purchase (max)	Switch (max)	Management (max)	Administration (max)
AE	EUR		4.50%	1.00%	0.36%	0.14%
IE	EUR	USD 500,000	2.50%	1.00%	0.11%	0.14%
UCITS ETF DR - EUR	EUR	USD 1,000,000	3.00%	1.00%	0.30%	0.10%
UCITS ETF DR - USD	USD	USD 1,000,000	3.00%	1.00%	0.30%	0.10%

* Those minimums are applied in USD or in the equivalent amount, in the relevant share class currency