Nasdaq Exceed Defined Protection Index (EXPROT)

Index Overview

The Nasdaq Exceed Defined Protection Index (“Protection Index”) is a large cap based index targeting a high degree of principal protection. The Index tracks a basket of four rolling investment portfolios, each of which targets exposure to the S&P 500 with the following characteristics:

  • Targets annual minimum 87.5% protection against downside performance, with planned exposure to the first 12.5% of S&P 500 losses and no losses thereafter
  • Targets annual upside participation to a maximum gain of 15%

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

Index Characteristics

Index symbol EXPROT
Index value
52 week high / low
Base value 98.39 10/1/2001
Exchange Nasdaq
Credit exposure Investment grade,
< 3 years
Equity exposure Large cap
Rebalancing Credit: monthly Equity: quarterly

Updated on Jul 21 2017 7:00 PM

Advantages of the Index

The Protection Index provides defined exposure to the S&P 500 with the goal of providing several benefits to the market:

  • Significant protection from market downturns through our portfolio of defined outcome investments, each of which seeks to limit annual losses to 12.5%
  • Historical performance demonstrates significantly reduced volatility relative to both the S&P 500 and minimum volatility indexes
  • The combination of targeted protection from downturns and reduced volatility has led to superior risk adjusted returns in backtested studies when compared with the S&P 500 and minimum volatility indexes

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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From: * To: *
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EXPROT SPY Total Return
  • Annualized
  • Daily

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Annualized Returns Annualized Risk (Vol)
1 Year 3 Year 5 Year 10 Year 1 Year 3 Year 5 Year 10 Year
Nasdaq Exceed Defined Protection Index (EXPROT)EXPROT
252.689678000
13.04%
8.08% 9.38% 6.82% 6.64% 8.49% 7.65% 7.33%
S&P 500 Total Return IndexS&P 500 TRI
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0.00% 0.00% 0.00% 0.00%
Annualized Risk (Vol)
1 Year 3 Year 5 Year 10 Year
EXPROT 6.64% 8.49% 7.65% 7.33%
S&P 500 TRI 0.00% 0.00% 0.00% 0.00%
Index Level 1-Day MTD QTD YTD
Nasdaq Exceed Defined Protection Index (EXPROT)EXPROT 285.65 0.02% -1.26% 5.42% 5.42%
S&P 500 Total Return IndexS&P 500 TRI 0.00
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Updated on Jul 21 2017 7:00 PM