NXS Dual Momentum Multi Asset L/S VT 4% Index
Performance & Volatility
| Accumulated performance | Volatility | |
|---|---|---|
| Intraday | -0.09% | n/a |
| 1m | -0.56% | 4.03% |
| 3m | -1.31% | 3.35% |
| ytd | -1.82% | 3.82% |
| 1y | -3.43% | 3.78% |
| 3y | -0.28% | 3.98% |
| 5y | 6.74% | 3.90% |
Last valuation date: 14/11/2024
Risk / Return from: 01/08/2000
| Annualized return | 3.38% |
| Volatility | 3.90% |
| Information ratio | 0.87 |
| Max Drawdown | -7.66% |
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
2,242.05
Category
Risk Premia
Asset Class
Multi-assets
Geographical Area
World
Currency
USD
Bloomberg Ticker
NXSHDMV4
Weighting Method
Equal Risk Contribution
Return
Excess Return
Inception
06/12/2022
Sponsor
Calculation Agent
The NXS Momentum Dual Multi Asset VT 4% Index (“DMV4”) is a strategy that is transparent, investable and scalable.
It targets regular returns throughout the market cycles by dynamically rebalancing a multi asset portfolio based on recent performance trends.
The global universe of the Index covers 4 asset classes: Equity, Fixed Income, Forex and Commodities, and references 34 market indices (with 17 long rolling indices, each of them mirrored with its corresponding short index).
The index follows a dynamic strategy with an allocation to the top 10 best performing indices (indifferently being long or short indices).
Hence, the index allocation may evolve over time and composed exclusively with long indices, or with short indices, or a mix of them.
The dynamic allocation framework is intended to build a diversifi ed portfolio providing performance in an uncertain environment.
