Crédit Agricole Asset Management (“CAAM”) has launched a capital-protected multi-asset fund as part of its Luxembourg range, which will invest primarily in ETFs. It is unclear whether the new fund will invest in ETFs from within the same group, or use other issuers’ ETFs as well. Crédit Agricole’s structured products unit, CASAM, has embarked on an aggressive expansion of its exchange-traded fund range over the last year.

The new multi-asset fund is called CAAM Funds Multi Asset Protected, and is a sub-fund of the group’s Luxembourg SICAV structure. It is compliant with UCITS III rules, and is designed to offer a diversifed investment, together with 85% capital protection.

The fund will be run according to a formulaic, “momentum optimisation” process. This will rebalance the portfolio every quarter, taking into account a series of indicators, such as performance over the past year, risk parameters and correlation between asset classes. The managers will seek to overweight the best asset classes and avoid those which perform poorly.

The fund will be available in 11 countries across Europe.

Capital-protected funds typically purchase financial options as insurance against market falls, or use a hedging technique called constant proportion portfolio insurance (“CPPI”). This results in higher costs for investors, but offers them reassurance in the case of future market declines.