Performance & Volatility
Last valuation date : 01-04-2020
Risk / Return from 08-05-2009
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 Real Estate Index is a dynamic strategy index exposed to the real estate market through a basket containing 10 real estate funds and ETFs.
The active selection as well as its daily weighting vary according to volatility and return criteria.
The objective of the index is to generate return while limiting the volatility through a risk control mechanism.
It allows institutionals to get exposure to a selection of real estate funds.
The funds and ETFs within the NXS Real Estate index are filtered on a semi-annual basis according to return and volatility criteria: if the index performance is positive over the period the basket is kept unchanged; otherwise, if the index performance is negative, the basket is reshuffled so that only the 6 funds with the highest Sharpe ratio are retained.
The Index also includes an additional layer of protection by adjusting daily the weighting of each fund and ETF within the basket according to their Sharpe ratio.
The NXS Real Estate Index allows institutionals to get exposure to the real estate market following a “Momentum” management strategy.
The “Momentum” approach comes from the Carhart four-factor model that identified that stocks delivering the highest return over the last 6 months will continue to outperform during the next 6 months.