Performance & Volatility
Last valuation date : 24-02-2021
Risk / Return from05-01-2004
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 NXS Momentum Cross-Asset JPY Index is a dynamic multi-asset portfolio that aims to target consistent returns throughout the market cycles. The Index has been launched by Natixis in April 2018. The historical performance of the Index is available on Bloomberg and the Natixis NXS index website.
Natixis offers a robust and transparent portfolio construction with a rule-based index based on three principles: Diversification, Momentum and Risk Management.
– Diversification : The index allocates in futures contracts across three asset classes (Equities, Fixed Income and Commodities) and three regions (Europe, US and Japan).
– Momentum : The dynamic allocation framework gets exposure to the best performers. It allows the index to benefit from an upside trend and market turnarounds.
– Risk Management : The index is monitored to target a reasonable and predefined level of volatility (5%) using a portfolio weighting technique that allows to attribute the same level of risk to each component.
Investors are looking for yield but also to avoid highly volatile investments. Multi-asset investing, also called cross-asset allocation, is typically seen as an effective way to use diversification as a source of long-term performance with reduced risks.
Momentum is used as the empirical evidence from the academic literature on the subject shows that financial assets that have appreciated in the past tend to continue to follow a bullish trend, thanks to the presence of a behavioural bias that call into question the theory of market efficiency.
The Natixis MOXJ index uses a Risk Management mechanism that divides equally the portfolio risk across the 6 components of the Momentum Selection. The Risk Management principle is that each component has the same contribution to the portfolio risk (taking into account volatility and correlations). It aims to reduces the risk concentration bias of a portfolio, and generates risk-return outperformance (compared to more traditional strategies).