Paris-based over-the-counter derivatives pricing analytics and valuation provider, Pricing Partners, has been mandated by Natixis Equity Markets as the independent calculation agent for a new proprietary index.
"We forecast that the business of independent valuation of proprietary indices will become very important in the coming years," said Pricing Partners chief, Eric Benhamou (pictured). "Every day, new proprietary indices are created to address the growing demand for transparent strategies that generate alpha - thanks to innovative algorithmic investment strategies."
Following the agreement with Natixis Equity Markets which is already an existing client of Pricing Partners for structured products valuation through the firm's Price-it Online tool, the valuation firm will provide in its corporate website index calculation reports on the new proprietary gauge including product description, historical prices and index value.
The Excellence index is a benchmark comprising eight managed funds including Lazard Frères Gestion's Norden; M&G Investment Fund's M&G American Fund Euro; DNCA Finance's Centifolia; E de Rothschild Asset Management's Europe Synergy I; Carmignac Gestion's Carmignac Emergents A; Morgan Stanley Investment Management's US Advantage Fund; and Franklin Templeton Investments' Asian Growth Fund and Natural Resources Fund.
The Excellence index is based on an insurance portfolio allocation method which is optimised through the use of an advanced indicator of risk perception (AIRP).
The AIRP can detect sudden changes in trends in the financial markets and is built from market parameter objectives used by market participants to determine the levels of risk perception in financial markets.
Using this indicator, the index adopts a defensive approach by reducing the allocation dedicated to Excellence selection in favour of a pocket of risk-free assets in times of 'high risk', or increases the weight of the pocket of risky assets during a 'low risk' trend.
The Excellence index is calculated in euros and will be launched on 27 July.
SRP understands that a number of investment strategies including capital-protection, yield-enhancement, participation and leverage are being considered by the French bank to be launched using different wrappers including structured notes, warrants and certificates.
Structured products, equity derivatives sales at Natixis in London, Xavier Priour, declined to comment.