Performance & Volatility
Last valuation date : 30-10-2020
Risk / Return from02-04-2004
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 Be-AIR index is to provide returns inverse to the hedge funds universe, while being exposed to liquid assets. The diversification provided by its various components aims to reduce risks.
The index is inversely correlated to hedge fund returns so it represents a strategy to protect hedge fund portfolios against major crises.
The NXS Be-AIR index follows a strategy mainly based on the processing of a statistical model designed by Natixis Research Department dedicated to the Hedge Fund universe.
The dynamic modeling aims at capturing the changes of markets 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-picking and 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.