Performance & Volatility
Last valuation date : 17-07-2019
Risk / Return from 01-08-2002
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 Momentum Europe Equity ER Index is a dynamic strategy index exposed to a basket of European liquid and marketable European equities selected on the basis of their past performance, combined with a continuous hedge on the Eurostoxx 50® Index.
Each year, a ranking is made based on the 50 stocks that performed best over the past year.
The objective of the Index is to outperform the risk-adjusted return of the Eurostoxx 50® by taking advantage of the trend observed on its component stocks and using this trend as information for the passage of a buy or sell signal.
To be included in the NXS Momentum Europe Equity Excess Return Index, a stock must meet the same criteria than within the NXS Momentum Europe Equity Index. The stocks in the basket are equally weighted daily and dividends are reinvested.
Additionally, the Beta between the NXS Momentum Europe Equity Excess Return Index and the futures on EURO STOXX 50® Index is calculated on a monthly basis. The sensitivity of the stock selection to the market is neutralised by shorting EURO STOXX 50® futures proportionally to the calculated Beta.
The strategy involves taking advantage of the observed trend for the performance of an asset and using it as a signal to buy or sell. The approach with this model is based on the fact that financial markets can, in the short term, call into question the theory of market efficiency. The empirical evidence from the academic literature on the subject shows that financial assets that have appreciated in the past can continue to follow a bullish trend, thanks to the presence of a behavioural bias.
The outperformance of stocks with strong momentum also relates to the positive link between the performance of the share and the availability of capital to finance the future growth of the company. Therefore, this outperformance is stronger in a growth economic environment.
The aim of the risk management process included in the Index is to reduce sensitivity to market movements and offer greater performance stability compared to a direct equity investment. Within the NXS Momentum Europe Equity Excess Return Index, the exposure to the stock selection is combined with continuous hedge on the EURO STOXX 50® Index that aims to Betaneutralise the sensitivity to the price movements of the benchmark.