Performance & Volatility
Last valuation date : 07-09-2021
Risk / Return from02-04-2002
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 Optimum Income Index is a dynamic strategy index with exposure to a basket of 30 European stocks selected from the STOXX® Europe 600.
The aim of the index is to achieve exposure of the returns of a European stocks basket as part of active risk management with a maximum volatility objective of 8%.
To be included in the NXS Optimum Income, a stock must present one of the highest dividend rates with a low volatility among the 600 stocks that composed the STOXX® Europe 600.
The weight of a stock in the index depends on its volatility, stocks with the lowest volatility are over-weighted. The stocks composing the index are systematically reviewed on a monthly basis.
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 Income Index aims to allow 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.