Performance & Volatility
Last valuation date : 25-02-2020
Risk / Return from 12-08-2011
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 current low rates environment favors a flexible and alternative approach when it comes to investing, while monitoring the downside risk. By not being tied to any particular equity benchmark an absolute return investment aims to produce more consistent positive returns over a given investment horizon , particularly suitable for volatile markets.
To that purpose, Natixis successfully designed the NXS Ultimate Fund Allocator index that follows a robust dynamic rule-based strategy which aims to capture momentum across a diversified portfolio of funds invested in diverse asset classes with an attractive risk – return profile.
The NXS Ultimate Fund Allocator index is a dynamic strategy index invested in a basket of global multi asset funds. It boasts simple rules which dynamically select the 8 funds with the strongest recent returns adding significant value over time. The strategy is dynamically rebalanced every two months on the last Index business day of the month.
Additionally, the index looks to provide an additional layer of protection by increasing and decreasing its allocation to the selected managers in order to maintain the volatility of the Index at below 4.00%.
The portfolio of eight funds:
– Amundi Funds II – Emerging Markets Bond Fund
– Nordea 1 – European High Yield Bond Fund
– M&G Optimal Income Fund
– DWS Concept Kaldemorgen
– DNCA Invest Eurose I EUR
– LFIS Vision UCITS Premia R EUR
– Merian – Global Equity Absolute Return Fund
– Janus Henderson – UK Absolute Return Fund
The Momentum Approach involves taking advantage of the observed trend for the performance of an asset and using it as a signal to buy or sell.
The approach is based on the fact that financial markets can, in the short term, call into question the theory of market efficiency. The empirical evidence from the academic literature on the subject shows that financial assets that have appreciated in the past can continue to follow a bullish trend, thanks to the presence of a behavioural bias.
The NXS Ultimate Fund Allocator Index shows a strong momentum over the short termthanks to a specific selection of funds providing: absolute returns, low volatility, fixed income exposure.