Performance & Volatility
Last valuation date : 14-05-2019
Risk / Return from 06-01-1999
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 Momentum US Equity Index is a dynamic strategy index with exposure to a basket of US 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 of the S&P 500® Total Return by taking advantage of the trend observed on its component stocks and using this trend as information for the passage of a buy or sell signal.
To be included in the NXS Momentum 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.
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 highest momentum over the past year, i.e. those showing the highest performance 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 seven stocks.
The strategy is to take advantage of the trend in the performance of an asset by using it as a buy or sell signal.
The philosophy of the model is based on the fact that financial markets can, in the short term, challenge the theory of market efficiency.
As the academic literature on the subject empirically shows, financial assets that have been on the rise in the past may continue to follow an upward trend, particularly because of the existence of behavioural biases.