09/25/2015

Nasdaq Exceed One Year Index Performance Review

In September 2014, Exceed Investments and the Nasdaq launched the first family of defined outcome indexes (Here’s our original blog post on the launch). The indexes allow investors to access defined outcome investments within a wide range of investment solutions, providing public markets with:

  • Shaped exposures to the S&P 500, allowing investors to pre-define their preferred risk metrics and thereby experience a controlled investing experience
  • Widespread access to strategies generally only available to institutions and ultra high net worth individuals via insurance or banked wrapped programs
  • A liquid and diversified portfolio of securities that is regularly rebalanced

With one year of performance under our belt, it is worthwhile comparing how the indexes did vs. their objectives and the back testing we conducted on each of them.  As expected, each index did what it was supposed to when it was supposed to; please take a look for yourself:

Nasdaq Exceed Structured Protection Index (Ticker:EXPROT)

Index Overview

  • Seeks to provide significant protection from market downturns in exchange for capping upside participation
  • Seeks to limit losses of an investment to approximately the first 12.5% of S&P 500 losses as well as participate on S&P 500 gains up to a cap of 15% on an annual basis

Performance Summary

  • EXPROT demonstrated lower volatility and beta as compared to the S&P 500, resulting in a smoother ride as well as a superior Sharpe Ratio
  • EXPROT provided a material level of protection against the largest drawdown experienced by the S&P; the more the S&P would have declined, the greater EXPROT’s defined floor would have been a source of protection

Performance Metrics: 

EXPROT vs S&P 500 Returns (September 15, 2014 – September 15, 2015)

Exprot 1 yr perf

 

Nasdaq Exceed Structured Hedged Index (Ticker:EXHEDG)

Index Overview

  • Seeks to provide first loss protection from market downturns in exchange for capping upside participation
  • Seeks to protect against the first 10% decline of the S&P 500 with exposure thereafter while participating on 150% of S&P 500 gains up to a moderate cap on an annual basis

Performance Summary

  • EXHEDG demonstrated lower volatility and beta as compared to the S&P 500, resulting in a smoother ride as well as a significantly superior Sharpe Ratio
  • EXHEDG illustrated good performance through the modest upswing of the market and was able to provide a level of protection against the largest drawdown experienced by the S&P; the strategy is expected to provide additional protection given further declines prior to exhausting the built-in buffer

Performance Metrics

EXHEDG vs S&P 500 Returns (September 15, 2014 – September 15, 2015)

Exhedg 1 yr perf

 

Nasdaq Exceed Structured Enhanced Index (Ticker:EXENHA)

Index Overview

  • Seeks to provide enhanced returns on market gains with regular exposure to the downside
  • Seeks to participate on 200% of S&P 500 gains up to a high cap while only participating on 100% of S&P 500 losses on an annual basis

Performance Summary

  • EXENHA demonstrated similar volatility and beta characteristics to the S&P 500 with materially higher returns resulting in a superior Sharpe Ratio
  • EXENHA was able to generate enhanced returns during the market upswing. Some of these gains helped insulate the strategy during the market downturn that occurred towards the end of the period

Performance Metrics

EXENHA vs S&P 500 Returns (September 15, 2014 – September 15, 2015)

Exenha 1 yr perf

With innovation comes excitement and interest and we are thankful to all of our early advocates and followers of this blog. Our strategies reflect a new process of obtaining defined outcomes. The one year track records briefly reviewed above illustrate the consistency and transparency of matching a specified risk / reward exposure. In a world that is increasingly complex, we are providing a standardized, straight forward approach to defining your outcomes.

We welcome comments and questions and look forward to sharing our future progress.

 

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