Natixis presentation

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Natixis presentation

  1. 1. Turning Uncertainty into OpportunityVolatility – a new route to diversificationEmmanuel Bourdeix - Natixis AM Co-CIO, Seeyond Managing Director AN EXPERTISE OF
  2. 2. In briefSeeyond in brief4 investment capabilities€15 bn under management Non traditional32 investment experts strategiesDivision headed by pioneer in active volatility designed toinvestingDedicated quantitative research platform leverage investmentCore beliefs opportunities inMarkets have become durably volatile an uncertainRisk factors demonstrate greater stability market environment.Value propositionExtract value through dispersion and volatilityBuild resilient portfolios that put risk first 01/10/2012 AN EXPERTISE OF 2
  3. 3. Why invest actively in volatility?Managing volatility dynamically contributes towards making a portfoliomore durable…Growth of 100 USD since April 2006 Source : Bloomberg, Natixis AM The Natixis flexible volatility strategy is represented by simulated performance. Past simulated performance may not be indicative of future results. 140 140 130 130 120 120 110 110 100 100 90 90 80 80 70 70 60 60 50 50 Apr-06 Apr-07 Apr-08 Apr-09 Apr-10 Apr-11 Apr-12 Apr-06 Apr-07 Apr-08 Apr-09 Apr-10 Apr-11 Apr-12 100% equity (MSCI World NR USD) 100% equity (MSCI World NR USD) 95% equity 5% S&P 500 VIX Short-Term Futures Index 95% equity 5% Natixis Flexible Volatility Strategy (net of fees) 85% equity 15% S&P 500 VIX Short-Term Futures Index 85% equity 15% Natixis Flexible Volatility Strategy (net of fees) 01/10/2012 AN EXPERTISE OF 3
  4. 4. Product featuresInvestment approachProvide investors with effective protection against Market condition Alpha potentialmarket downturns while generating absolute returnsduring normalised market environments Bear +++8% target return (before fees) per annum within a Normalised +target annualised volatility of 8% over a three-yearrecommended investment period Bull ++Distinguishing featuresActive indexation to volatility looking to exploit multiplemarket configurationsOpen end product utilising only listed instrumentsTeam & resourcesPioneer in active volatility management and team ofdedicated volatility specialistsSupport from quantitative research platformDevelopment of proprietary portfolio management tools 01/10/2012 AN EXPERTISE OF 4
  5. 5. How we turn volatility into performance“We are convinced that it is possible to turn volatility into a recurring source of performance by adopting a flexible approach”How?Through improved volatility Uptrend Absolute levelregime identification Market data analysis of volatilityDynamic management ofexposure within each regime VSI Uptrend Mean Momentum reversionOur proprietary volatilitystrength index Cost of carry DowntrendCapturing uptrends / downtrendsIdentifying ranges within meanreversion regimes 01/10/2012 AN EXPERTISE OF 5
  6. 6. Our edge : volatility regime positioning Source : Bloomberg, Natixis AM. The observation periods extends from March 2006 to June 2012. 90 3 Volatility Strength Indicator Volatility Strength Indicator 80 2 1 indicates an up-trending volatility regime 70 60 1 0 indicates a stationary volatility regime 50 -1 indicates a down-trending volatility regimeVIX 0 40 30 -1 20 -2 10 0 -3 Mar-06 May-07 Jul-08 Sep-09 Nov-10 Dec-11 VIX Volatility Strength Indicator (VSI) Occurences Min Duration Max Duration Average duration Regime (Nb of times) (Nb of days) (Nb of days) (Nb of days) Down 6 42 273 123 Flat 11 35 155 69 Up 4 22 48 32 Annualized return Natixis Annualized return Regime Nb of days % Days Average Vega Flexible Volatility MSCI World NR Strategy (net of fees) USD Down 735 45% -0.46% 14.16% 28.19% Flat 754 47% -0.01% 5.65% -6.23% Up 129 8% 0.72% 97.04% -63.16% 01/10/2012 AN EXPERTISE OF 6
  7. 7. Performance over timeAccess to a consistent and uncorrelated source of return.Source : Bloomberg, Natixis AMThe Natixis flexible volatility strategy is represented by simulated performance. Past simulated performance may not be indicative of future results. Growth of 100 USD over time Growth of 100 USD over time 270 90 112 30 250 110 80 230 108 70 210 25 106 60 190 104 VIX Index VIX Index 170 50 102 20 150 40 100 130 98 30 110 96 20 15 90 94 10 70 92 50 0 90 10 Apr-06 Jun-07 Aug-08 Oct-09 Dec-10 Feb-12 Mar-12 May-12 Jul-12 Sep-12 VIX Index VIX Index MSCI World NR USD MSCI World NR USD Natixis Flexible Volatility Strategy Natixis Volatilité Actions I 01/10/2012 AN EXPERTISE OF 7
  8. 8. Volatility profile over timeRisk reduction is signifcant.Source : Bloomberg, Natixis AMThe Natixis flexible volatility strategy is represented by simulated performance. Past simulated performance may not be indicative of future results. 1 year rolling volatility (%) since inception 3 month volatility (%) since inception (April 2006 to end of August 2012) (March 2012 to end of August 2012) 100 20 73 40 18 71 90 16 69 30 80 14 67 70 12 20 65 60 10 63 8 50 10 61 6 40 4 59 0 30 2 57 Mar-07 Mar-08 Mar-09 Mar-10 Mar-11 Mar-12 Jun-12 Jul-12 Aug-12 Risk Reduction (%) Risk Reduction (%) MSCI WORLD NR USD MSCI World NR USD Natixis Flexible Volatility Strategy (net of fees) Natixis Volatilité Actions I 01/10/2012 AN EXPERTISE OF 8
  9. 9. Winning by not loosingDrawdown participation is limited ensuring capital preservation over timeSource : Bloomberg, Natixis AMThe Natixis flexible volatility strategy is represented by simulated performance. Past simulated performance may not be indicative of future results. 0.0 0.0 -5.0 -2.0 -10.0 -4.0 -15.0 -6.0 -20.0 -25.0 -8.0 -30.0 -10.0 -35.0 -12.0 -40.0 -14.0 -45.0 -16.0 -50.0 -18.0 -55.0 -20.0 -60.0 Mar-12 Apr-12 May-12 Jun-12 Jul-12 Aug-12 Apr-06 Apr-07 Apr-08 Apr-09 Apr-10 Apr-11 Apr-12 MSCI World NR EUR Index MSCI World NR EUR Europe OE Alt - Volatility Europe OE Alt - Volatility Flexible Volatility Strategy Natixis Volatilité Actions I EUR 01/10/2012 AN EXPERTISE OF 9
  10. 10. Thank you. AN EXPERTISE OF
  11. 11. Additional NotesIn Spain This material is provided for information purposes only to investment service providers or other Professional Clients by NGAM S.A. or its branch officeNGAM, Sucursal en España. NGAM S.A. is a Luxembourg management company that is authorized by the Commission de Surveillance du Secteur Financier(CSSF) and is incorporated under Luxembourg laws and registered under n. B 115843. NGAM, Sucursal en España is authorised and supervised by the ComisiónNacional del Mercado de Valores (CNMV) in relation to its activities in Spain. Registered office of NGAM S.A.: 51, avenue J.F. Kennedy, L-1855 Luxembourg,Grand Duchy of Luxembourg. Registered office of NGAM, Sucursal en España: Torre Colon II - Plaza Colon, 2 - 28046 Madrid, Spain.The above referenced entities are business development units of Natixis Global Asset Management, the holding company of a diverse line-up of specialisedinvestment management and distribution entities worldwide. The investment management subsidiaries of Natixis Global Asset Management conduct anyregulated activities only in and from the jurisdictions in which they are licensed or authorized. Their services and the products they manage are not available toall investors in all jurisdictions.Although Natixis Global Asset Management believes the information provided in this material to be reliable, it does not guarantee the accuracy, adequacy, orcompleteness of such information.The provision of this material and/or reference to specific securities, sectors, or markets within this material does not constitute investment advice, or arecommendation or an offer to buy or to sell any security, or an offer of services. Investors should consider the investment objectives, risks and expenses of anyinvestment carefully before investing. The analyses, opinions, and certain of the investment themes and processes referenced herein represent the views of theportfolio manager(s) as of the date indicated. There can be no assurance that developments will transpire as may be forecasted in this material.This material may not be distributed, published, or reproduced, in whole or in part. All amounts shown are expressed in EUR unless otherwise indicated.

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