NXS Low Volatility Europe Equity Index
Performance & Volatility
| Accumulated performance | Volatility | |
|---|---|---|
| Intraday | 0.21% | n/a |
| 1m | 2.05% | n/a |
| 3m | 11.93% | 9.81% |
| ytd | n/a | 9.68% |
| 1y | 19.79% | 15.59% |
| 3y | 18.87% | 17.25% |
| 5y | 39.52% | 15.13% |
Last valuation date: 26/05/2021
Risk / Return from: 03/01/2002
| Annualized return | 8.33% |
| Volatility | 14.69% |
| Information ratio | 0.57 |
| Max Drawdown | -36.03% |
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.
Main Characteristics
Index level
1,435.07
Category
Risk Premia
Asset Class
Equity
Geographical Area
Europe
Currency
EUR
Bloomberg Ticker
NXSRLOVE
Weighting Method
Return
Total Return
Inception
27/11/2014
Sponsor
Calculation Agent
NXS Low Volatility Europe Equity Index is a dynamic strategy index with exposure to the financial markets via a basket of 50 European stocks with low volatility that are liquid and tradable. The aim of the index is to give investors access to a basket of European stocks with low volatility, with a view to outperforming the risk-adjusted return on the STOXX® Europe 600 Total Return Index.
To be included in the NXS Low Volatility Europe Equity Index, a stock must: be part of the STOXX® Europe 600 Index, have a market capitalisation of over EUR 1.5bn and show average liquidity over the preceding 6 months of over EUR 15mn a day in volume.
From the stocks that meet these criteria, we have selected 50 stocks with the lowest realised volatility over the past year and based on the following sector diversification: each of the 10 sectors of the ICB(1) classification is represented by at least one stock and no more than seven stocks. The stocks in the basket are equally weighted daily and dividends received are reinvested.
The strategy consists of taking advantage of a persistent anomaly observed on the equity markets: the least volatile stocks deliver better performances than the most volatile stocks over the long term. This anomaly is due to behavioural biases such as investor risk aversion during periods when markets are stressed or the irrational search for outperformance.
This strategy is particularly well-suited to investors sensitive to their exposure’s risk adjusted return, and its outperformance versus the benchmark is noticeable during a period of highly stressed markets. The strategy also seeks to avoid the sector bias typical of such strategies by adding a sectorial diversification constraint.
