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 Small Cap US Equity index is a dynamic strategy index with exposure to a basket of 50 US stocks selected on the basis of their low market capitalisations.
The aim of the index is to tap into the potential growth that may be offered by some Small Caps stocks relative to Blue Chips, according the Fama French Model, with a view to outperform the risk/adjusted return of the S&P 500® Total Return Index.
To be included in the NXS Small Cap 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, 50 are selected with the lowest capitalisations, based on the following sector diversification: each of the 10 sectors of the ICB(2) classification is represented by at least one stock and no more than seven stocks.
The Small caps risk premium is part of the Fama-French three factor model (1992) to explain equity returns.
The approach is to take advantage of a risk premium linked to small companies, which results from the fact that these companies are by nature more risky because they have uncertain revenues, fewer financial resources and a higher risk of default in times of crisis.
“Small Caps” outperformed “Large Caps” over the long term to compensate for this risk or following announcements or rumours of acquisitions. An investment in Small Caps also provides a source of diversification.