Performance & Volatility
Last valuation date : 23-04-2019
Risk / Return from 01-02-2002
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.
The objective of the NXS L-AIR index is to achieve exposure to the hedge funds industry, while being exposed to liquid assets. The index offers institutionals a daily liquidity plus transparency.
The diversification provided by its various components is intended to reduce risks and enable investors to achieve a more consistent performance of their portfolio. The index has a very attractive risk-adjusted return ratio and offers investors daily liquidity and full transparency.
The NXS L-AIR index follows a strategy mainly based on the processing of a statistical model designed by the Natixis Research Department dedicated to the hedge fund universe.
The dynamic modeling aims at capturing the changes in market exposures, due to the tactical and strategic bets made by the fund managers over time. The strategy is exposed to a universe of diversified market factors, covering commodities, currencies, stocks, bonds and real estate.
The market value of the index is calculated and reported on a daily basis. The index is comparable to a hedge funds index published by HFR.
Hedge fund performances are generated by:
– (1) The alpha stemming from stock-pickingand market timing implemented by the hedge fund manager.
– (2) The beta, stemming from systematic and stable exposures to market risks (equities, bonds, forex, commodities and real estate). The beta can be reproduced by mechanically recreating the exposure of the hedge funds industry to these underlying markets.
The NXS L-AIR index is designed to offer exposure to the hedge fund market, while minimizing structural obstacles such as lack of liquidity and transparency.