Performance & Volatility
Last valuation date : 02-04-2020
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.
NXS Long Value Europe Equity Excess Return Index is a dynamic strategy index with exposure to a basket of European liquid and
marketable stocks based on their discount as reflected in a Value score, combined with a continuous hedge on the EURO STOXX 50® Index. The aim of the index is to allow investors to capture the upside potential offered by a number of so-called undervalued European stocks, and to stabilise the volatility of the performance and capture the outperformance of the selected stocks vs. the benchmark.
The Value risk premium is part of the Fama-French three-factor model (1992) to explain equity returns. The Value approach stems from the observation whereby the price of a share can move away from the underlying value of the company in question and the fact that so-called undervalued stocks historically offer returns that are generally higher than those of so-called overvalued stocks.
Strategies that invest with a Value approach offer attractive returns during phases of economic recovery, as the economic backdrop tends to favour undervalued companies as they seek to address their difficulties.
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 Long Value Europe Equity Excess Return Index, the exposure to the stock selection is combined with a continuous hedge on the EURO STOXX 50® Index that aims to Betaneutralise the sensitivity to the price movements of the benchmark.
To be included in the NXS Long Value Europe Equity Excess Return Index, a stock must meet the same criteria than within the NXS Long Value Europe Equity Index. The stocks in the basket are equally weighted daily and dividends are reinvested.
Additionally, the Beta between the NXS Long Value 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.