Performance & Volatility
Last valuation date : 18-04-2019
Risk / Return from 28-03-2005
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.
To be included in the NXS Activist Equity Index, a stock must:
– be denominated in US dollars,
– have a market capitalisation of over USD 1bn,
– show average liquidity over the preceding 6 months of over USD 10mn a day in volume,
– a price higher than USD 5 at the review date,
– be held by one of the top 10 best-performing activist hedge funds over the 3 months preceding the review date, and represent, in respect to the aggregate total assets of all the funds of the top 10 best performing activist hedge funds, more than 3% of the market capitalisation of that relevant share on the review date.
From the stocks that meet these criteria, the 35 stocks that have been targeted the most recently are selected.
A stop loss mechanism is used to daily monitor the position.
The cash is reinvested in the S&P 500® Net Total Return Index.
A company may be targeted by activist investors if it’s management is not efficient or if it has profitability and cost issues.
The activist investor believes that thanks to the power of decision he acquires he might bring change and make the company more valuable.
This is viewed by the market as a positive signal and may lead to the outperformance of the stock in the short and the long term.
Since most of targeted companies has a market capitalization lower than USD 20bn, a disciplined systematic investment process is necessary to ensure the full replicability of the strategy.