Indxx launches suite of risk-managed equity indices

Aug 12th, 2020 | By | Category: ETF and Index News

FACTOR INVESTING - THURSDAY 14TH JULY 2022 (08:15-11:30) - THE BERKELEY, LONDON Please join us for our annual factor investing breakfast briefing with participation from MSCI, FlexShares ETFs, Tabula and Professor Stefan Zohren, Deputy Director of the Oxford-Man Institute of Quantitative Finance. Please register now if you would like to attend.


New York-based Indxx has introduced a new suite of equity indices that employ a risk-managed tactical overlay in a bid to reduce drawdowns.

Rahul Sen Sharma Indxx
Rahul Sen Sharma, Managing Partner at Indxx.

The Indxx Tactical Managed Risk Index Series consists of five indices that cover the global, US, developed ex-US, European, and emerging market equity universes.

Equity exposure is delivered through regular, market-cap-weighted indices belonging to the recently unveiled Indxx Global Benchmark series.

The indices are designed to shift their exposure to short-term US Treasuries, represented by the Indxx US Treasury 1-3 Year Maturity Index, during periods of increasing stock market volatility.

The methodology analyses three trend indicators using end-of-day closing prices on a daily basis. They include the simple moving average/exponential moving average; 50-day return volatility/200-day return volatility; and the adjusted average true range.

If all three signals simultaneously indicate full allocation to either equity or US Treasuries, the strategy will be fully exposed to that asset class.

If two signals indicate full allocation to either equity or US Treasuries, and the third does not, the strategy will allocate 70% to the dominant asset class and 30% to the other.

In all other cases, the strategy maintains an equal allocation to equity and US Treasuries.

Each index will only move from one allocation to the next if the appropriate signals have been showing for six consecutive trading days. Additionally, when increasing equity exposure, the strategy will only move in incremental steps in a bid to better manage risk.

The five indices in the suite include:

Indxx Global Tactical Managed Risk Index
Indxx Developed Ex-US Tactical Managed Risk Index
Indxx Emerging Markets Tactical Managed Risk Index
Indxx Europe Tactical Managed Risk
Indxx US Tactical Managed Risk Index

Rahul Sen Sharma, Managing Partner at Indxx, commented, “As seen historically when calamities strike, the result is often a rapid sell-off across financial markets and increased market volatility. At the moment, there is substantial uncertainty about the recovery of the global economy.

“However, regardless of the current market, investors are always looking for investment strategies that can offer downside protection and safety of assets. Indxx has been able to leverage its expertise in index-based strategies to develop a robust and efficient tactical model that not only provides a cushion during volatile times but also provides consistent returns during low volatile periods.”

Vaibhav Agarwal, Chief Revenue Officer at Indxx, added, “We’re in the midst of one of the severest event-driven crises that the global markets have ever encountered. While a correction was long overdue, the suddenness and the extent of it was probably unexpected. Notwithstanding the recent uptick, there has already been a remarkable erosion of investor wealth and trust.

“The Indxx Tactical Managed Risk strategy relies on underlying market movements and employs multiple-indicators based on a proprietary model that allows in-time asset allocation changes. The objective is to reduce exposure to risk and, therefore, appropriate mechanisms are built in to ensure optimal timing and extent of such changes. This enables investors to ride through volatile times with their investments being suitable protected.”

Tags: , , , , , , , ,

Leave a Comment