Performance & Volatility
Last valuation date : 17-04-2019
Risk / Return from 03-01-2002
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 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 institutionals access to a basket of European stocks with low volatility, with a view to outperform 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® 600 Europe index,
– have a market capitalisation of over €1.5bn,
– show average liquidity over the preceding 6 months of over €15m 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 classification is represented by at least one stock and no more than 7 stocks.
This strategy is sensitive to its risk-adjusted return. The strategy seeks to avoid sector bias by adding a sectorial diversification constraint.