NXS Momentum Europe Equity Index
Performance & Volatility
| Accumulated performance | Volatility | |
|---|---|---|
| Intraday | 0.20% | n/a |
| 1m | -4.03% | n/a |
| 3m | 5.05% | 24.64% |
| ytd | n/a | 22.21% |
| 1y | 35.18% | 19.78% |
| 3y | 27.03% | 21.70% |
| 5y | 67.85% | 19.87% |
Last valuation date: 26/05/2021
Risk / Return from: 03/01/2002
| Annualized return | 9.02% |
| Volatility | 19.83% |
| Information ratio | 0.45 |
| Max Drawdown | -57.25% |
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
1,886.88
Category
Risk Premia
Asset Class
Equity
Geographical Area
Europe
Currency
EUR
Bloomberg Ticker
NXSRMOME
Weighting Method
Return
Total Return
Inception
27/11/2014
Sponsor
Calculation Agent
NXS Momentum Europe Equity Index is a dynamic strategy index with exposure to a basket of European stocks selected on the basis
of their past returns.
Each year, a classification is carried out to produce the 50 best-performing stocks in the past year.
The index aims to outperform the risk-adjusted return on the STOXX® Europe 600 Total Return Index by taking advantage of the trend for the stocks comprising it and using this as an indicator signal to buy or sell.
To be included in the NXS Momentum Europe Equity index, a stock must:
(i) be part of the STOXX® 600 Europe index;
(ii) have a market capitalisation of over €1.5bn;
(iii) show average liquidity over the preceding 6 months of over €15m a day in volume.
The strategy systematically rebalances, on a daily basis, the 50 stocks that make up the portfolio: from the stocks that meet the criteria defined above, 50 are selected with the strongest momentum over the past year.
In accordance with the following sector diversification: each of the 10 sectors of the ICB classification is represented by at least one stock and by no more than 7 stocks.
The strategy involves taking advantage of the observed trend for the performance of an asset and using it as a signal to buy or sell. The approach with this model is based on the fact that financial markets can, in the short term, call into question the theory
of market efficiency. The empirical evidence from the academic literature on the subject shows that financial assets that have appreciated in the past can continue to follow a bullish trend, thanks to the presence of a behavioural bias.
The outperformance of stocks with strong momentum also relates to the positive link between the performance of the share and the availability of capital to finance the future growth of the company. Therefore, this outperformance is stronger in a growth economic environment.
