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    NXS Europe Short Volatility Index

    Performance & Volatility

    Intraday 1m 3m ytd 1y 3y 5y
    Accumulated performance 0.05% 1.53% -4.44% n/a -15.61% -17.76% -12.17%
    Volatility n/a 2.12% 10.69% 0.81% 11.02% 7.31% 6.26%
    Accumulated performance Volatility
    Intraday 0.05% n/a
    1m 1.53% 2.12%
    3m -4.44% 10.69%
    ytd n/a 0.81%
    1y -15.61% 11.02%
    3y -17.76% 7.31%
    5y -12.17% 6.26%

    Last valuation date : 19/01/2021

    Risk / Return from : 02/01/2003

    Annualized return Volatility Information ratio Max
    4.08% 6.08% 0.67 -21.10%
    Annualized return 4.08%
    Volatility 6.08%
    Information ratio 0.67
    Max Drawdown -21.10%
    Export

    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

    2,060.78

    Category

    Volatility / Hedging

    Asset Class

    Options

    Geographical Area

    Europe

    Currency

    EUR

    Bloomberg Ticker

    NXSHSVEU

    Weighting Method

    Return

    Excess Return

    Inception

    02/01/2003

    Sponsor

    Calculation Agent

    Objective

    The NXS Europe Short Volatility is a dynamic strategy index exposed to financial markets through a basket of synthetic put options and call options on Eurostoxx 50 and a market index, the NXS European Equity Futures Index.

    Strategy

    Delta Hedged Strangles.

    The Index is therefore composed by two main mechanisms:

    • The daily sales of a Eurostoxx 50 strangle, reflecting hypothetical sales of 2-week call Options and put Options on the Eurostoxx 50, where strike are chosen in order to target 20% delta. A transparent calibration of option prices to listed Eurex options is used.
    • The dynamic delta hedge, calculated using a proprietary methodology that aims to benefit from the observed mean-reversion pattern of the Eurostoxx 50. The delta is calculated with a moving average spot over the past 5 days, and is hedged using Eurostoxx 50 futures (the NXS European Equity Futures Index). The Natixis Europe Short Volatility Strategy takes into account key factors such as strike risk, liquidity profile, vega profile and transparency.

    Index Rationale

    Implied volatility tends to be higher than realised volatility. The difference between the two is known as the Volatility Risk Premium.

    Extracting these premiums has historically been one of the most resilient risk premium strategies. In the equity space, volatility risk premia is a carry strategy captured through shorting the recurrent implied-to-realised volatility spread and derives its performance from structural market imbalances.

    The strategy aims at generating a return in a low rates environment (hunt of yield/ Demand for a carry strategy) in order to profit from a structural market bias.

    Service #1

    NXS Indices

    Consult
    Service #2

    E-Maps

    Consult

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