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    NXS Low Volatility Target Beta Overlay Protected Index – Permanent suspension of the calculation and publication of the Index

    Performance & Volatility

    Intraday 1m 3m ytd 1y 3y 5y
    Accumulated performance 0.61% 1.03% 6.72% n/a 0.34% 9.34% 46.68%
    Volatility n/a 8.06% 7.16% 7.10% 10.52% 11.16% 11.84%
    Accumulated performance Volatility
    Intraday 0.61% n/a
    1m 1.03% 8.06%
    3m 6.72% 7.16%
    ytd n/a 7.10%
    1y 0.34% 10.52%
    3y 9.34% 11.16%
    5y 46.68% 11.84%

    Last valuation date : 14-05-2019

    Risk / Return from02-01-2003

    Annualized return Volatility Information ratio Max
    17.38% 13.90% 1.25 -24.30%
    Annualized return 17.38%
    Volatility 13.90%
    Information ratio 1.25
    Max Drawdown -24.30%
    Export
    BENCHMARK :

    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.

    Downloads
    Permanent suspension of the calculation and publication of the Index

    Main Characteristics

    Index level

    13,795.60

    Category

    Smart Beta

    Asset Class

    Equity

    Geographical Area

    Europe

    Currency

    EUR

    Bloomberg Ticker

    NXSHTBOP

    Weighting Method

    Return

    Total Return

    Inception

    09/04/2017

    Sponsor

    Calculation Agent

    Objective

    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.

    Strategy

    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.

    Index Rationale

    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.

    Service #1

    NXS Indices

    Consult
    Service #2

    E-Maps

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