Performance & Volatility
Last valuation date : 18-04-2019
Risk / Return from 30-06-2008
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 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.