Performance & Volatility
Last valuation date : 17-04-2019
Risk / Return from 18-05-2015
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 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%.
Filtered among the members of the STOXX® 600 Index, the constituents of the NXS Selective Europe 30 Index are selected with criteria of stability, liquidity and market capitalization in order to get a minimum variance portfolio. Weightings are controlled in order to minimize Index volatility.
A detailed analysis allows to retain the 3 stocks with the lowest historical volatility for each sector and provides a sector diversification within the 10 sectors constituting the index.
In order to optimise the allocation, each sector weighs between 5% and 25% of the index weight, each stock cannot represent more than 10% of the index weight and a country cannot represent more than 35% of the index weight.
This strategy emphasizes on risk-adjusted return, and on its outperformance versus the benchmark.
The strategy also seeks to avoid the sector biasby adding a sectorial diversification constraint.