Performance & Volatility
Last valuation date : 24-06-2019
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 Long Value Europe Equity Index is a dynamic strategy index with exposure to a basket of 50 European stocks selected from the STOXX® Europe 600 Total Return Index universe.
The aim of the index is to capture the performance offered by a number of European stocks.
The objective of the Index is to enable investors to capture the upside potential of certain so-called undervalued European equities while stabilising performance volatility and capturing the outperformance of the selected stocks against the benchmark.
The “Value” risk premium is part of Fama-French’s (1992) three-factor model for explaining stock returns.
Strategies invested in a “Value” approach offer attractive returns during economic recovery phases, as the economic context is therefore more favourable to undervalued companies to help them overcome their difficulties.
The objective of the risk management process included in the index is to reduce the index’s sensitivity to market movements and to offer better consistency in its performance compared to other direct equity investment alternatives.
Within the NXS Long Value Europe Equity ER index, exposure to selected securities is associated with continuous hedging on the Eurostoxx 50® index to neutralise beta related to the sensitivity of benchmark price movements.
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 socalled 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.