The ARPI is a leading indicator of risk perception that had
been designed from three classes of market observables
measuring investors’ risk aversion :
Implied volatility of equity markets ;•
Indices of credit spreads ;•
The slope of the yield curve Euro.•
ARPI’s regime are identifi ed using a Hidden Markov Model
(HMM) developped by Natixis Research, which discretizes
the signals into four regimes.
STRATEGY INVESTMENT PROCESS
PORTFOLIO CONSTRUCTION
Management Profi le
NXS SHARPe Multi Asset strategy consists of an asset allocation
plan based on the identifi ed regimes of the ARPI indicator.
The sub-portfolios according to ARPI regime
PERFORMANCE ANALYSIS (*)
STATISTICS
CORRELATION MATRIX SHARPe Multi Asset vs
SHARPe Multi Asset 100%
Equity 42%
Real Estate 34%
Commodities 33%
Hedge Funds 17%
Bonds MLT 0%
Bonds ST 1%
Cash -1%
SHARPe MULTI ASSET PERFORMANCE
Average Annual Return 11.95%
Volatility 7.67%
Sharpe Ratio 1.23
Max Drawdown -9.24%
Calmar Ratio(***) 1.33
Volatility / Max Drawdown 0.83
Average Monthly Return 0.98%
Max Monthly Return 9.72%
Min Monthly Return -4.90%
Source : Natixis
Source : Natixis
(*) Computed from January 1999 to March 2010(**) Static Portfolio : 29% Equity ; 17% Real Estate ; 11% Commodities ; 4% Alternative Assets ; 31% Bonds ; 8% Cash(***) Average Monthly Return / Max Drawdown
Past performances are not predictive of future performances.
Source : Natixis
ARPI & Regimes60%
15%
25%
Offensive Profi le Dynamic Profi le Balanced Profi le Conservative Profi le
25% 35%
15%
10%5%
5%5%
30%25%
10%
15% 10%
10%
50%
30% 20%
Regime 1 Regime 4Regime 3Regime 2
Source : Natixis, Bloomberg
NXS SHARPe Multi -AssetStatic Str ategyEquityReal-EstateCommodityHedge FundsBond MLTBond STCash
1999 2008200720062005200420032002 20012000
500
0
100
200
300
400
SHARPe Multi Asset
Static Portfolio(**)
EquityReal EstateCommodities
Bonds MLTHedge Funds
Bonds STCash
2009 2010
Equity : Dow Jones EURO STOXX 50 Return Index
Real Estate : FTSE EPRA/NAREIT Developed TR Eur Index
This document is a marketing presentation for discussion and information purposes only. It is highly confi dential and it is the property of Natixis. It should not be transmitted to any person other than its original addressee(s) without the prior written consent of Natixis. Distribution, possession or delivery of this document in, to or from certain jurisdictions may be restricted or prohibited by law. Recipients of this document are required to inform themselves of and comply with all such restrictions or prohibitions. Neither Natixis, nor any of its affi liates, directors, employees, agents or advisers or any other person accepts any liability to any person in relation to the distribution, possession or delivery of this document in, to or from any jurisdiction. This document is communicated to each recipient for information purposes only and does not constitute a personal recommendation. It is intended for general distribution to each recipient and the products or services described herein do not take into account any specifi c investment objective, fi nancial situation or particular need of any particular recipient. Therefore, it shall not be considered as a solicitation, an offer, or an undertaking of Natixis to complete a transaction subject to the terms and conditions set out in this document or subject to other terms and conditions. Any guarantee, funding, interest or currency swap, underwriting and more generally any undertaking provided for in this document requires, inter alia, that a formal approval be given by Natixis according to its prevailing internal procedures.
Natixis has neither verifi ed nor carried out independent analysis of the information set out in this document. Accordingly, no representation, warranty or undertaking, express or implied, is made to the recipients of this document as to or in relation to the accuracy or completeness or otherwise of this document or as to the reasonableness of any assumption contained in this document. Information does not take into account specifi c tax rules or accounting methods applicable to counterparties, clients or potential clients of Natixis. Therefore, Natixis shall not be liable for differences, if any, between its own valuations and those valuations provided by third parties; as such differences may arise as a result of the application and implementation of alternative accounting methods, tax rules or valuation models. Prices and margins are deemed to be indicative only and are subject to changes at any time depending on, inter alia, market conditions. Past performances and simulations of past performances are not a reliable indicator and therefore do not anticipate future results. The information contained in this document may include results of analyses from a quantitative model, which represent potential future events that may or may not be realised, and is not a complete analysis of every material fact representing any product. Information may be changed or may be withdrawn by Natixis at any time without notice. More generally, no responsibility is accepted by Natixis, nor any of their holding companies, subsidiaries, associated undertakings or controlling persons, nor any of their respective directors, offi cers, partners, employees, agents, representatives or advisors as to or in relation to the characteristics of this information.
Statements, assumptions and opinions contained in this document may be forward-looking statements, assumptions or opinions and as such involve risks and uncertainties. Actual results and developments may differ materially from those expressed or implied by such statements, assumptions or opinions, depending on a variety of factors and accordingly there can be no assurance that the projected results, projections or developments will be reached. No representation or warranty express or implied is given or made by Natixis as to the achievement or reasonableness of, and no reliance should be placed on any projections, targets, estimates or forecasts or the statements, assumptions and opinions expressed herein and nothing in this document is or should be relied on as a promise or representation as to the future. The information contained in this document should not be assumed to have been updated at any time subsequent to date shown on the fi rst page of this document and the delivery of this document does not constitute a representation by any person that such information will be updated at any time after the date of this document. Natixis shall not be liable for any fi nancial loss or any decision taken on the basis of the information disclosed in this document and Natixis does not provide any advice, including, inter alia, investment services. In any event, you should request any internal and/or external advice that you consider necessary or desirable to obtain, including from any fi nancial, legal, tax or accounting advisor, or any other specialist, in order to verify in particular that the transaction described in this document complies with your objectives and constraints and to obtain an independent valuation of the transaction, its risks factors and rewards.
Natixis is authorised in France by the Autorité de contrôle prudentiel (ACP) as a Bank – Investment Services Provider and subject to its supervision. Natixis is regulated by the AMF in respect of its investment services activities. Natixis is authorised by the ACP in France and subject to limited regulation by the Financial Services Authority in the United Kingdom. Details on the extent of our regulation by the Financial Services Authority are available from us on request. Natixis is authorised by the ACP and regulated by the BaFin (Bundesanstalt für Finanzdienstleistungsaufsicht) for the conduct of its business in Germany. Natixis is authorised by the ACP and regulated by Bank of Spain and the CNMV for the conduct of its business in Spain. Natixis is authorised by the ACP and regulated by Bank of Italy and the CONSOB (Commissione Nazionale per le Società e la Borsa) for the conduct of its business in Italy. This document is not intended for distribution in the United States, or to any US person, or in Canada, Australia, the Republic of Ireland, the Republic of South Africa or Japan.
