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    NXS Low Volatility U.S. Equity Index – Permanent suspension of the calculation and publication of the Index

    Performance & Volatility

    Intraday 1m 3m ytd 1y 3y 5y
    Accumulated performance 0.28% -1.07% 4.35% n/a 16.58% 44.82% 85.55%
    Volatility n/a 10.15% 8.03% 9.43% 11.29% 9.92% 10.73%
    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 Volatility Information ratio Max
    9.06% 14.31% 0.63 -40.44%
    Annualized return 9.06%
    Volatility 14.31%
    Information ratio 0.63
    Max Drawdown -40.44%
    Export

    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.

    Downloads
    Permanent suspension of the calculation and publication of the Index

    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

    Objective

    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.

    Strategy

    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.

    Index Rationale

    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.

    Service #1

    NXS Indices

    Consult
    Service #2

    E-Maps

    Consult

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