Performance & Volatility
Last valuation date : 16-09-2021
Risk / Return from03-06-2002
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 Protected Optimum World USD Index is a dynamic strategy index exposed to the financial markets through a basket composed of liquid worldwide stocks. The aim is to allow investors to capture the potential of the unlimited upside return of a worldwide equity exposure while protecting them via a put-options-based hedging overlay.
Based on a worldwide stock selection, the stocks composing are first filtered according to liquidity, currency and capitalisation criteria. They are then sorted by their realized volatility, selecting the least volatile ones and respecting concentration constraints.
The final stock weights are determined according to a risk management model that reduces the overall portfolio variance. Non-USD stocks are hedged against FX variations and the selection and weighting process is repeated every 3 months.
The NXS Protected Optimum World USD Index also embeds a Volatility Control Mechanism at 8% in order to control the volatility close to 8% as well as an Overlay Strategy to protect the portfolio against extreme losses. The hedging overlay simply consists of purchasing and automatically rolling 1-year vanilla Put options with strike at 95%. It is compliant with Solvency 2 regulation.
The main objective of the strategy is to build an investable liquid strategy that provides exposure to equity markets with a safety net. On one hand, the strategy is equivalent to an option on the upside potential of equity markets. The downside risk is mitigated, and so is the entry point risk. On the other hand, the strategy embeds an efficient and cheap protection through the purchase of put options, neutralizing the basis risk and minimizing the hedging costs.