Nasdaq Exceed Defined Hedge Index (EXHEDG)

Index Overview

The Nasdaq Exceed Defined Hedge Index (“Hedged Index”) is a large cap based index targeting first loss protection while providing enhanced upside. The Index tracks a basket of four rolling investment portfolios, each of which provides exposure to the S&P 500 with the following characteristics:

  • Targets annual 10% buffer, providing protection against the first 10% decline in the S&P 500 and exposure to any losses thereafter
  • Targets annual 150% upside participation to a moderate cap

The Index is calculated by IDC and disseminated by Nasdaq under the ticker symbol EXHEDG.

Index Characteristics

Index symbol EXHEDG
Index value
52 week high / low
Base value 93.44 11/1/2001
Exchange Nasdaq
Credit exposure Investment grade,
< 3 years
Equity exposure Large cap
Rebalancing Credit: monthly Equity: quarterly

Updated on Mar 28 2017 7:00 PM

Advantages of the Index

The Hedged Index provides defined exposure to the S&P 500 with several added benefits:

  • Defined protection from market downturns, as each index structured investment targets protection against the first 10% decline in the S&P 500
  • Asymmetric returns of 1.5X upside to a cap with 1X downside
  • Historical performance demonstrates reduced volatility relative to the S&P 500
  • Superior risk adjusted returns in backtested studies when compared with the S&P 500

About the Index's Holdings

The Index is comprised of two asset classes:

  • Investment Grade Fixed Income: The majority of index holdings consists of a diversified rolling basket of investment grade fixed income securities with <3 year maturities. The interest income from these holdings is used to subsidize the options purchases described below.
  • Options: A small portion of index holdings consists of a rolling basket of cleared, exchange-based options linked to the S&P 500. These holdings provide the targeted exposure on the S&P 500.

 

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EXHEDG SPY Total Return
  • Annualized
  • Daily
Annualized Returns Annualized Risk (Vol)
1 Year 3 Year 5 Year 10 Year 1 Year 3 Year 5 Year 10 Year
Nasdaq Exceed Defined Hedge Index (EXHEDG)EXHEDG
272.478179000
12.97%
8.73% 9.92% 7.98% 6.81% 8.18% 7.46% 15.80%
S&P 500 Total Return IndexS&P 500 TRI 18.18% 10.93% 13.18% 7.41% 10.00% 12.94% 12.70% 20.77%
Annualized Risk (Vol)
1 Year 3 Year 5 Year 10 Year
EXHEDG 6.81% 8.18% 7.46% 15.80%
S&P 500 TRI 10.00% 12.94% 12.70% 20.77%
Index Level 1-Day MTD QTD YTD
Nasdaq Exceed Defined Hedge Index (EXHEDG)EXHEDG 307.82 0.27% 0.29% 3.55% 3.55%
S&P 500 Total Return IndexS&P 500 TRI 235.32 0.73% -0.05% 5.73% 5.73%

Updated on Mar 28 2017 7:00 PM