Performance & Volatility
Last valuation date : 07-08-2020
Risk / Return from04-01-2000
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.
NXS Optimum World USD Index is a dynamic strategy index exposed to financial markets via a basket composed of liquid worldwide stocks, weighted in order to minimize the portfolio variance.
The aim of the index is to allow investors to capture the potential of unlimited upside return of a worldwide equity exposure with an optimized risk level.
Based on a worldwide stock selection, the stocks composing NXS Optimum World USD Index are filtered according to liquidity and capitalisation criteria. Stock weights are determined according to a risk management model that reduces overall portfolio variance.
The exposure to a single country cannot exceed 50% and the exposure to a single sector cannot exceed 25% (ICB(1) classification). The composition of the index is reviewed quarterly.
The stocks are selected on the basis of objective criteria determined
by Natixis equity strategists. To be included in the selection process, a stock needs:
- to be a component of the S&P Global 1200 Index;
- to have a market capitalization higher than EUR 1.5bn;
- to have an average liquidity higher than EUR 15mn in daily volume, over the last 6 months.
- to have a currency within the short list (EUR, USD, GBP, CHF, JPY, SEK, PLN, CAD, AUD, HKD, NOK, DKK, SGD and KRW).
The strategy consists of taking advantage of a persistent anomaly observed on the equity markets: over the long term, the least volatile stocks deliver better performances than the most volatile stocks.
The strategy provides an optimised exposure to a basket of diversified underlyings while minimising the volatility of the portfolio.
The optimisation program defines the quarterly allocation that has the lowest volatility of the constrained portfolio:
- Diversification: maximum weighting per component, per sector and per geographic area.
- No short position: minimum weighting of 0% per component.
This method leads to an over-weighting of the less volatile and less correlated underlyings.