NXS European Dividend Futures Premia Index
Performance & Volatility
| Accumulated performance | Volatility | |
|---|---|---|
| Intraday | 0.34% | n/a |
| 1m | -2.37% | 8.69% |
| 3m | -11.19% | 15.93% |
| ytd | n/a | 6.42% |
| 1y | -46.50% | 62.81% |
| 3y | -50.55% | 36.43% |
| 5y | -47.68% | 28.19% |
Last valuation date: 19/01/2021
Risk / Return from: 30/06/2008
| Annualized return | 0.03% |
| Volatility | 18.94% |
| Information ratio | 0.00 |
| Max Drawdown | -74.17% |
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
502.07
Category
Dividends
Asset Class
Futures
Geographical Area
Europe
Currency
EUR
Bloomberg Ticker
NXSHFUDP
Weighting Method
Return
Excess Return
Inception
30/06/2008
Sponsor
Calculation Agent
The NXS European Dividend Futures Premia Index is exposed to a market-neutral position in the 1st and 2nd future contracts on the Eurostoxx 50 dividends.
A long-position rolling strategy on the “Nearby” and 2nd future is established. The market beta between the dividend futures exposure and Eurostoxx 50 is neutralised using Eurostoxx 50 futures.
The NXS European Dividend Futures Premia Index Index provides the access to a liquid market in a market-neutral version. This index is a way to achieve exposure to dividend futures risk premia.
