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 Mar 28 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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EXPROT 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 Protection Index (EXPROT)EXPROT
249.036601000
12.87%
7.50% 8.75% 7.06% 6.96% 8.63% 7.68% 7.33%
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
EXPROT 6.96% 8.63% 7.68% 7.33%
S&P 500 TRI 10.00% 12.94% 12.70% 20.77%
Index Level 1-Day MTD QTD YTD
Nasdaq Exceed Defined Protection Index (EXPROT)EXPROT 281.10 0.35% -0.06% 3.74% 3.74%
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