Evolution Index – Permanent suspension of the calculation and publication of the Index
Performance & Volatility
| Accumulated performance | Volatility | |
|---|---|---|
| Intraday | 0.00% | n/a |
| 1m | 0.07% | 0.06% |
| 3m | 0.11% | 0.05% |
| ytd | n/a | 0.08% |
| 1y | -0.79% | 0.06% |
| 3y | -3.50% | 0.04% |
| 5y | -5.92% | 0.03% |
Last valuation date: 06/01/2023
Risk / Return from: 04/08/2014
| Annualized return | -1.64% |
| Volatility | 2.11% |
| Information ratio | -0.78 |
| Max Drawdown | -15.74% |
All information for an index prior to its Inception Date is back-tested, based on the methodology that was in effect on the Inception Date. Back-tested performance, which is hypothetical and not actual performance, is subject to inherent limitations because it reflects application of an Index methodology and selection of index constituents in hindsight. No theoretical approach can take into account all of the factors in the markets in general and the impact of decisions that might have been made during the actual operation of an index. Actual returns may differ from, and be lower than, back-tested returns.
The key elements of the index methodology are available upon demand.
Main Characteristics
Index level
870.13
Category
Dynamic Allocation
Asset Class
Funds & ETFs
Geographical Area
World
Currency
EUR
Bloomberg Ticker
NXSHEVOL
Weighting Method
Return
Total Return
Inception
04/08/2014
Sponsor
Calculation Agent
Allocation table
The Evolution Index is an innovative strategy index designed by Natixis, calculated and published by an independent calculation agent: Thomson Reuters.
The weightings are determined by Natixis as promoter of the Index (which is also the Issuer of the Bonds) and transmitted daily to the Calculation Agent.
The Evolution Index is based on a flexible allocation method for “portfolio insurance”.
The so-called “portfolio insurance” method consists in regularly adjusting the allocation between a pocket of so-called “risky” assets (the Evolution Selection, described below) and a pocket of non risky assets (correlated to a monetary return) and allows full capital protection at maturity (excluding fees, investment framework taxation and issuer default):
– in the event of an increase in the Evolution Selection, the Index’s exposure to these risky assets will be increased in order to benefit (partially) from the financial market environment and thus increase the performance prospects.
– in the event of a decrease in the Evolution Selection, the Index’s exposure to risky assets is reduced in order to protect the portfolio from a possible weakening of the markets.
The daily control and monitoring of exposure to the Evolution Selection helps to ensure compliance with the guarantee at maturity on 8 September 2022.
As a result of this so-called “portfolio insurance” method, the Index’s exposure to the pool of risky assets may become zero and remain zero until maturity.
The index will therefore no longer be able to benefit from a possible rebound in the Evolution Selection.
The Advanced Risk Perception Indicator (API), designed by Natixis, the index’s promoter, is used to detect sudden changes in financial market trends.
It is based on objective market parameters commonly used by market participants and determines the levels of risk perception in financial markets.
Using this indicator, and depending on the estimated level of risk, the index :
– adopts a defensive approach by reducing the allocation dedicated to Evolution Selection in favour of the pocket of non-risky assets during a period of perception known as “high risk”.
– increases the weight of the portfolio of risky assets, the Evolution Selection, during a period when a so-called “low-risk” trend is perceived.
The Evolution Selection: The portfolio of risky assets, the Evolution Selection, which makes up the portfolio of risky assets, includes, within the same index, funds (Collective Investment Schemes) selected by Natixis offering an optimised exposure to the financial markets.
The weighting of the funds making up the Evolution Selection may evolve, in order to respect an approach based on:
– ongoing risk management, based on the Advanced Risk Perception Indicator,
– asset allocation criteria, published by Natixis’ Economic Research Department, to provide an optimal allocation for a given risk.
The weights will be determined daily by crossing the asset allocation series and the daily risk regime.
