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    NXS Global Dividend Futures Access ER JPY Index

    Performance & Volatility

    Intraday 1m 3m ytd 1y 3y 5y
    Accumulated performance 0.31% 0.15% 4.06% n/a -23.56% -23.56% -21.56%
    Volatility n/a 8.22% 8.32% 5.28% 31.60% 18.31% 14.20%
    Accumulated performance Volatility
    Intraday 0.31% n/a
    1m 0.15% 8.22%
    3m 4.06% 8.32%
    ytd n/a 5.28%
    1y -23.56% 31.60%
    3y -23.56% 18.31%
    5y -21.56% 14.20%

    Last valuation date : 19/01/2021

    Risk / Return from : 18/06/2010

    Annualized return Volatility Information ratio Max
    0.20% 9.97% 0.02 -49.39%
    Annualized return 0.20%
    Volatility 9.97%
    Information ratio 0.02
    Max Drawdown -49.39%
    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

    763.21

    Category

    Dividends

    Asset Class

    Futures

    Geographical Area

    World

    Currency

    JPY

    Bloomberg Ticker

    NXSRFUDJ

    Weighting Method

    Return

    Excess Return

    Inception

    18/09/2017

    Sponsor

    Calculation Agent

    Objective

    The objective of the NXS Global Dividend Futures Access ER JPY Index is a dynamic strategy that aims synthetically replicate the returns from a managed long position of regional futures contracts in the EURO STOXX 50® Index Dividend Futures (with a weight of 80%) and Nikkei 225 Stock Average Dividend Point Index Future (with a weight of 20%) contracts.

    Strategy

    The index is composed by a long-position rolling strategy on the “Nearby’’ future (with the nearest expiry). During 80 days around the expiry dates of each futures, the performance is crystallised and the position is rolled (daily purchase of the new “Nearby” futures). Dividends and dividend futures have always been deemed as a less risky asset class when compared to equities. The pricing of dividend futures depends not only of the current estimation of dividend payments but also of the time to maturity of these contracts:

    • The price of the nearest dividends (< 1 year) is typically very close of the expected dividend payments of each single company comprised in the index, reflecting the low probability of a dividend move over this period.
    • The dividend futures with longer maturities (> 2 years) have a price which is much more sensitive to the level of the equity market.

    Index Rationale

    NXS Global Dividend Futures Access ER JPY Index provides a gateway to a more liquid dividend market that investors typically overestimate the risk of a dividend decrease or of a dividend cut of the companies. There is a systematic selling bias (and mispricing) of the market created by the banks’ trading desks who hedge their risks. A typical mechanism is illustrated by:

    • banks sell structured products (autocall, put structures, etc…) on Price Return indices;
    • these positions (long equity) are hedged by selling equity index forward/futures that give them Total Return performances 
    • the residual exposure borne by the trading desks is a long dividend position (Price Return minus Total Return) which is hedged by selling dividend futures or dividend swaps.

    NXS Global Dividend Futures Access ER JPY Index is a way to benefit from the dividend future risk premia.

    Service #1

    NXS Indices

    Consult
    Service #2

    E-Maps

    Consult

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