NXS Momentum Fund Stars ER Index
Performance & Volatility
| Intraday | 1m | 3m | ytd | 1y | 3y | 5y | |
|---|---|---|---|---|---|---|---|
| Accumulated performance | 0.13% | -3.40% | -3.75% | -3.96% | -4.65% | -10.39% | -9.34% |
| Volatility | n/a | 8.19% | 5.56% | 5.35% | 4.05% | 3.67% | 22.66% |
| Accumulated performance | Volatility | |
|---|---|---|
| Intraday | 0.13% | n/a |
| 1m | -3.40% | 8.19% |
| 3m | -3.75% | 5.56% |
| ytd | -3.96% | 5.35% |
| 1y | -4.65% | 4.05% |
| 3y | -10.39% | 3.67% |
| 5y | -9.34% | 22.66% |
Last valuation date : 15/04/2025
Risk / Return from : 02/11/2009
| Annualized return | Volatility | Information ratio | Max |
|---|---|---|---|
| 2.44% | 13.24% | 0.18 | -28.97% |
| Annualized return | 2.44% |
| Volatility | 13.24% |
| Information ratio | 0.18 |
| Max Drawdown | -28.97% |
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.
Main Characteristics
Index level
1,450.71
Category
Thematic
Asset Class
Funds & ETFs
Geographical Area
World
Currency
EUR
Bloomberg Ticker
NXSRMFS
Weighting Method
Return
Excess Return
Inception
27/07/2016
Sponsor
Calculation Agent
In some of the OECD countries, short-term interest rates are practically equal to zero and have resulted in a sharp fall in long-term interest rates. This context prompted investors to search for bespoke solutions linked to strategies that aim to deliver positive
return in different market environments.
To that purpose, Natixis successfully designed the NXS Momentum Fund Stars Excess Return Index. The index aims to capture momentum across a diversified portfolio of funds invested in diverse asset classes with an attractive risk/return profile.
The NXS Momentum Fund Stars Excess Return Index is a dynamic strategy index invested in a basket of global multi
asset funds. It is based on a daily risk adjustment of the portfolio of the five funds where the weightings of each fund
are defined on a bi-monthly basis.
Additionally, the index aims to limit the possibility of poor performance by increasing and decreasing its allocation to the selected funds in order to maintain the volatility of the index at below 3.50%.
The portfolio is composed of 5 funds:
- JP Morgan Investment Funds – Global Income Fund
- Merian – Global Equity Absolute Return Fund
- M&G Optimal Income Fund
- PIMCO Global Investors Series PLC – Emerging Markets Bond Fund
- Nordea 1 SICAV – European High Yield Bond Fund.
The NXS Momentum Fund Stars Excess Return Index boasts simple rules which buys funds with strong returns adding significant value over time. It utilises trend-following strategies which have the potential to provide diversification on downside risk events with negative correlation to equities and positive skew. The index also offers allocation amongst diversified funds covering different regions, asset classes and instruments which exhibit strong momentum, provide diversification as well as creating value.
