NXS Low Volatility U.S. Equity Index – Permanent suspension of the calculation and publication of the Index
Performance & Volatility
| Accumulated performance | Volatility | |
|---|---|---|
| Intraday | 0.28% | n/a |
| 1m | -1.07% | 10.15% |
| 3m | 4.35% | 8.03% |
| ytd | n/a | 9.43% |
| 1y | 16.58% | 11.29% |
| 3y | 44.82% | 9.92% |
| 5y | 85.55% | 10.73% |
Last valuation date: 14/05/2019
Risk / Return from: 06/01/1999
| Annualized return | 9.06% |
| Volatility | 14.31% |
| Information ratio | 0.63 |
| Max Drawdown | -40.44% |
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
1,610.75
Category
Risk Premia
Asset Class
Equity
Geographical Area
America
Currency
USD
Bloomberg Ticker
NXSRLOVU
Weighting Method
Return
Total Return
Inception
19/02/2015
Sponsor
Calculation Agent
The NXS Low Volatility US Equity index is a dynamic strategy index with exposure to the financial markets via a basket of 50 US liquid stocks with low volatility.
The aim of the index is to give access to a basket of US stocks with low volatility, with a view to outperform the risk-adjusted return on the S&P 500® Total Return Index.
To be included in the NXS Low Volatility US Equity index, a stock must:
– be part of the S&P 500® index ;
– have a market capitalisation of over USD 1.5bn ;
– show average liquidity over the preceding 6 months of over USD 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 seven stocks.
The strategy is to take advantage of a persistent anomaly in the equity markets: the least volatile stocks outperform the most volatile stocks over the long term.
This anomaly is due to behavioural biases such as investors’ risk aversion in times of stressed market conditions or the irrational pursuit of outperformance.
This strategy is particularly suitable for investors who are sensitive to the risk-adjusted return of their exposure, and the outperformance compared to the benchmark is remarkable in a period of highly stressed markets. The strategy also seeks to avoid the sectoral bias usually present in this type of strategy by adding a sectoral diversification constraint.
