Need Advice?

    Please prove you are human by selecting the Truck.

    United Kingdom
    • English
    • Other country
    EN
    • English
    • Other country
    • Homepage
    • About Us
    • Investment Products
    • Indices
    • AMC
    • News
    • Easy Equity TV
    • Contact
    • Sign in

    NXS Risk Premia Diversified Europe Equity Excess Return Index – Permanent suspension of the calculation and publication of the Index

    Performance & Volatility

    Intraday 1m 3m ytd 1y 3y 5y
    Accumulated performance -0.87% -0.87% -0.87% n/a -6.76% 1.03% 4.25%
    Volatility n/a n/a n/a n/a n/a n/a n/a
    Accumulated performance Volatility
    Intraday -0.87% n/a
    1m -0.87% n/a
    3m -0.87% n/a
    ytd n/a n/a
    1y -6.76% n/a
    3y 1.03% n/a
    5y 4.25% n/a

    Last valuation date : 15-01-2020

    Risk / Return from 03-01-2003

    Annualized return Volatility Information ratio Max
    6.40% 6.26% 1.02 -8.48%
    Annualized return 6.40%
    Volatility 6.26%
    Information ratio 1.02
    Max Drawdown -8.48%
    Export

    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.

    Downloads
    Permanent suspension of the calculation and publication of the Index

    Main Characteristics

    Index level

    986.26

    Category

    Risk Premia

    Asset Class

    Funds & ETFs

    Geographical Area

    Europe

    Currency

    EUR

    Bloomberg Ticker

    NXSHRPDE

    Weighting Method

    Return

    Excess Return

    Inception

    16/09/2016

    Sponsor

    Calculation Agent

    Objective

    The NXS Risk Premia Europe Diversified Equity Excess Return Index is a dynamic strategy index exposed to a basket of equity risk factor strategies, invested in a Market-Neutral format. The aim of the index is to capture the performance of 5 risk premia in European equities.

    Strategy

    The index dynamically allocates to the 5 Natixis European Equity Risk Premia indices (Value, Small Cap, High Dividend, Momentum and Low Volatility) according to a Maximum Diversification algorithm. Each single Risk Premia index is exposed to a risk factor through investing into 50 European stocks, combined with a 2-step risk management strategy: Neutralising the market sensitivity allows to isolate and capture the outperformance of the Risk Premia selection and stabilise the volatility of the performance; the allocation between the single Risk Premia indices minimise the risk concentration of the portfolio and maximise the diversification benefits.

    Index Rationale

    So-called alternative risk premia are constructed so as to capture the return beyond traditional sources of beta coming from certain market inefficiencies, due to: investor behaviour, structural distortions on certain markets, imbalances between supply and demand.
    These alternative risk premia (Value, Size, Carry, Momentum, Low Volatility) were identified: as the remuneration for a risk factor, on a sound economic justification, on the basis that the risks relating to this factor are stable.

    The index allows to invest in a Market-Neutral format with a continuous hedge on the EURO STOXX 50® Index that aims to Beta neutralise the sensitivity to the price movements of the benchmark. Additionally, a quantitative framework is used to allocate between the 5 Risk Premia in order to maximise the diversification benefits.

    Service #1

    NXS Indices

    Consult
    Service #2

    E-Maps

    Consult

    Need Advice?

    Ask our specialists

    Contact Us

    Subscribe and stay connected

    Please enter your e-mail address


      Please prove you are human by selecting the House.

      • Contact
      • About Natixis CIB
      • Legal Information & Credits
      • Personal Data
      • Deposit Guarantee
      • Contact
      • Sign in
      • © Natixis2022