Performance & Volatility
Last valuation date : 15-01-2020
Risk / Return from 03-01-2003
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 NXS Risk Premia Europe Diversified Equity Excess Return Index is a dynamic strategy index exposed to a basket of equity risk factor strategies, invested in a Market-Neutral format. The aim of the index is to capture the performance of 5 risk premia in European equities.
The index dynamically allocates to the 5 Natixis European Equity Risk Premia indices (Value, Small Cap, High Dividend, Momentum and Low Volatility) according to a Maximum Diversification algorithm. Each single Risk Premia index is exposed to a risk factor through investing into 50 European stocks, combined with a 2-step risk management strategy: Neutralising the market sensitivity allows to isolate and capture the outperformance of the Risk Premia selection and stabilise the volatility of the performance; the allocation between the single Risk Premia indices minimise the risk concentration of the portfolio and maximise the diversification benefits.
So-called alternative risk premia are constructed so as to capture the return beyond traditional sources of beta coming from certain market inefficiencies, due to: investor behaviour, structural distortions on certain markets, imbalances between supply and demand.
These alternative risk premia (Value, Size, Carry, Momentum, Low Volatility) were identified: as the remuneration for a risk factor, on a sound economic justification, on the basis that the risks relating to this factor are stable.
The index allows to invest in a Market-Neutral format with a continuous hedge on the EURO STOXX 50® Index that aims to Beta neutralise the sensitivity to the price movements of the benchmark. Additionally, a quantitative framework is used to allocate between the 5 Risk Premia in order to maximise the diversification benefits.