NXS Selective Europe 30 Index
Performance & Volatility
| Intraday | 1m | 3m | ytd | 1y | 3y | 5y | |
|---|---|---|---|---|---|---|---|
| Accumulated performance | 0.56% | 3.63% | 5.36% | n/a | 3.51% | -1.16% | -3.24% |
| Volatility | n/a | n/a | 7.76% | 7.74% | 7.88% | 8.85% | 9.12% |
| Accumulated performance | Volatility | |
|---|---|---|
| Intraday | 0.56% | n/a |
| 1m | 3.63% | n/a |
| 3m | 5.36% | 7.76% |
| ytd | n/a | 7.74% |
| 1y | 3.51% | 7.88% |
| 3y | -1.16% | 8.85% |
| 5y | -3.24% | 9.12% |
Last valuation date : 31/05/2024
Risk / Return from : 18/05/2015
| Annualized return | Volatility | Information ratio | Max |
|---|---|---|---|
| -1.21% | 9.08% | -0.13 | -20.43% |
| Annualized return | -1.21% |
| Volatility | 9.08% |
| Information ratio | -0.13 |
| Max Drawdown | -20.43% |
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
896.12
Category
Smart Beta
Asset Class
Equity
Geographical Area
Europe
Currency
EUR
Bloomberg Ticker
NXSHNSE
Weighting Method
Return
Excess Return
Inception
19/05/2015
Sponsor
Calculation Agent
The NXS Selective Europe 30 Index is based on a dynamic strategy with exposure to a basket of 30 European stocks selected and rebalanced according to their volatility.
Thanks to a screening methodology and a mechanism optimising the level of risk, the NXS Selective Europe 30 index aims to outperform the risk-adjusted return of the STOXX® Europe 600 index as part of an active risk management with a volatility control of 10%.
Selected amongst the universe of STOXX® Europe 600 Index, stocks composing the NXS Selective Europe 30 Index are filtered on the basis of stability, liquidity and market capitalisation criteria in order to get a minimum variance portfolio.
An advanced analysis allows to hold the 3 less volatile stocks of each and to ensure an optimal sector diversification among the 10 sectors that composed the index.
In order to optimize the allocation, each sector’s weight is between 5% and 25% of the index weight. Each stock cannot represent more than 10% of the weight of the index and a country cannot represent more than 35% of the weight of the index.
The strategy consists of taking advantage of a persistent anomaly observed on the equity markets.
The least volatile stocks deliver better performances than the most volatile stocks over the long term. This anomaly is due to behavioral biases such as investor risk aversion during periods when markets are stressed or the irrational search for outperformance.
This strategy is particularly well-suited to investors sensitive to their exposure’s risk-adjusted return. The strategy also seeks to avoid sector bias typical of such strategies by adding a sector diversification constraint.
