Performance & Volatility
Last valuation date : 24-04-2019
Risk / Return from 02-01-2003
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.
Launched on the 4th of September 2017, the NXS Low Volatility Target Beta Overlay Protected Index is a dynamic strategy index aiming to provide exposure to the equity market through the Solactive Europe Low Volatility Target Beta Index (SOLELVTB Index), while benefiting from a permanent protection against market downturn risk via the NXS Smart Option Overlay Europe Index. The strategy of the latter aims at reducing the maximum draw down and the volatility of an equity exposure. The Solactive Europe Low Volatility Target Beta (SOLELVTB Index) by Solactive AG consists of the 50 most liquid and lowest volatile companies from the Solactive Europe Total Market 675 Index. The 50 stocks in the leveraged ‘long only’ strategy are weighted equally and the leverage amount is monitored to target a beta ratio of 1 with the EURO STOXX 50® Index.
The NXS Low Volatility Target Beta Overlay Protected Index is a combination of an equity leg and a hedging leg. The equity leg is fully invested in the Solactive Europe Low Volatility Target Beta Index (SOLELVTB Index). The Target Beta Mechanism is the use of leverage to efficiently harvest the low volatility anomaly and avoid underexposure to the market. The idea behind the Target Beta Mechanism is to reach higher returns for the same risk level of the benchmark index. In other words, this strategy has the same risk exposure as a classical equity strategy, but offers higher returns. The hedging leg is fully invested in the NXS Smart Option Overlay Europe Index. it aims at significantly reducing the main risk indicators: volatility, maximum drawdown and value at risk. The cost of carry of the strategy is controlled by optimising the choice of maturities and relevant protection levels with market risk aversion indicators.
The rationale behind the strategy is to combine the interesting features that both the equity leg and the hedging leg have to offer: The equity leg has the same risk exposure as a classical equity strategy, but offers higher returns. The hedging leg allows to lower the draw down and the volatility of an equity exposure in a cost efficient way. Therefore, the NXS Low Volatility Target Beta Overlay Protected Index is a unique strategy offering higher returns on an absolute and risk adjusted basis and lower draw downs than a traditional European equity exposure.