Performance & Volatility
Last valuation date : 17-04-2019
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 allows to invest in a Market-Neutral format with a continuous hedge on the Eurostoxx 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 optimise the diversification.
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.
• Optimizing the allocation between the single Risk Premia indices.