Performance & Volatility
Last valuation date : 24-06-2019
Risk / Return from 02-06-2009
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 Climate Optimum Prospective VT Index is a dynamic strategy index exposed to a basket of European stocks selected for the dynamism of their strategy and performance related to climate, in a systematic risk framework including a 15% vol target.
The objective is to provide access to companies that are actively engaged in reducing their greenhouse gas emissions and developing low-carbon solutions.
The index is compiled according to a systematic risk framework with the aim of minimizing variance in the portfolio of stocks comprising the index.
The NXS Climate Optimum Prospective VT Index is composed of European stocks selected within the components of the STOXX® Europe 600 index.
Those stocks are then filtered (ethical, climate and financial filters) aiming to constitute a selection of 50 stocks climatically responsible with a low volatility.
The weights of the stocks are determined on the basis of a mathematical model of market risk management, aiming to minimize the variance of the portfolio (stock weightings according to their volatility, correlations and geographic and sector diversification).
The weight of each stock cannot be higher than 10%.
Through its Climate filter, the index scored European stocks according to their carbon performance (at a given point in time, thus making the selection dynamic), their climate commitments and their ability to offer products and services compatible with a low-carbon economy.
This specific filter allocates based on the reduction efforts of carbon emissions, captures companies committed in the development of low carbon solutions and avoids an exclusive focus on sectors with low carbon stakes.
The portfolio’s carbon footprint is 50% lower than that of an equity index like the STOXX Europe 600 as of September 2016.