Performance & Volatility
Last valuation date : 26-02-2020
Risk / Return from 04-03-1998
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.
NXS Optimum Deutschland Index is a dynamic strategy index exposed to financial markets via a basket composed of liquid German stocksweighted in order to minimise the portfolio variance and depending on a volatility control mechanism.
The aim of the index is to capture the potential of upside return of a German stock basket with a monitored risk level.
NXS Optimum Deutschland Index follows a strategy of dynamic rebalancing.
Selected from a group of the 110 largest German companies, the stocks composing NXS Optimum Deutschland Index are filtered according to liquidity and capitalisation criteria.
Stock weights are determined according to a risk management model that reduces overall portfolio variance.
The strategy consists of taking advantage of a persistent anomaly observed on the equity markets: over the long-term, the least volatile stocks deliver better performances than the most volatile stocks.
The screening methodology of the NXS Optimum Deutschland Index allows investors to benefit from these stocks with low volatility and performances related to their strong fundamentals.
The strategy also seeks to avoid sector bias typical of such strategies by adding a sector diversification constraint.