15 March 2011
The situation in Japan /// The point of view of Natixis Asset Management
written by Equity, Asset Allocation and Structured Products, and Fixed Income Departments at Natixis Asset Management The direct exposure of Natixis Asset Management’s mutual funds to Japanese assets is very marginal (less than 1% of funds under management) and restricted to a limited number of portfolios: a few equity, fixed income and international balanced funds, as well as funds specialized in Japanese equities. In terms of asset allocation, the balanced portfolios had adopted a more prudent exposure to risky assets early in the month, by moving notably from an overweight to a neutral to an underweight position on equities. This desensitization move had been prompted, amongst other things, by soaring commodity prices and their impact on growth. Last Friday, the magnitude of the catastrophe that had begun to hit Japan led the allocation team to decide to neutralize the overweight on Japanese equities within even the equity portion of the international balanced portfolios. Past experience of similar cases effectively demonstrates that the relevant stock markets had difficulties. Since Monday morning, asset allocation has thus remained oriented towards reducing overall equity risk and, more specifically, Japanese equity risk. In terms of fixed income management, no Japanese corporate credit exposure needs to be flagged in the funds with sovereign benchmarks. For their part, the international fixed income portfolios have exposure to Japanese indexes at the neutral minimum in sensitivity relative to their benchmarks. Since Monday morning (14/03), the Yen short positions were closed on fears of a flow of funds being repatriated. Lastly, concerning the funds specialized in Japanese equities, the returns are in line with their benchmarks, given a moderate asset risk concentrated on the stock selection, to the detriment of systemic risk (market exposure and sector allocation close to neutral). Written on 15/03/2011 by Equity, Asset Allocation and Structured Products, and Fixed Income Departments at Natixis Asset Management
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