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Quantitative Investment Strategies
Nomura QIS provides state-of-the-art Quantitative Investment Strategies, offering our clients alternative approaches to capture risk premia.
- Why Us
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Why Us
A challenging market environment has prompted growing interest in alternative strategies. Nomura’s QIS platform offers a range of solutions via transparent investable indices.
Nomura International plc as administrator of the Nomura indices is responsible for launching, calculations, rebalancing and retiring the indices.1
How Nomura stands out
- Research - a leading global quantitative research effort, covering both desk and publishing analysts.
- Experience - our team has worked in this space for over 10 years, providing solutions and on-going support for professional clients across many geographies and jurisdictions.
- Solutions - client feedback has included that we (a) are like an extension of their own team, and (b) offer pragmatic solutions without looking to impose fixed ideological stances
- Macro - while many quant teams are micro/equity-oriented, we have strong macro and fixed income expertise
- Heritage - Japan had to embrace risk premia much earlier than other regions, with strategies such as looking to foreign currencies to earn higher yields, as equities and bonds failed earlier
1 Reference made to Nomura International plc as “Index Sponsor” in any of the documentation means index administrator for the purposes of the IOSCO’s "Principles for Financial Benchmarks".
ESG Statement for Nomura Credit, Equity and Multi-Asset IndicesPDF EBR Compliance StatementPDF Interest Rates Benchmark StatementPDF FX Benchmark StatementPDF Equity Benchmark StatementPDF Commodity Benchmark StatementPDF Credit Benchmark StatementPDF Multi Asset Benchmark StatementPDF IOSCO Compliance StatementPDF Index Governance and Control Framework SummaryPDF NIP List of IndicesPDF Periodic Reviews PolicyPDF Termination and Transition PolicyPDF
- Index Notifications
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Index Notifications
Nomura Index Termination Notification – Bespoke Transaction Multi Asset Risk Premia Basket Indices – 17 April 2024 Nomura Index Termination Notification – CAD CDOR and Euroyen Indices – 08 March 2024 Nomura Index Rulebook Update Notification – Nomura FX Return Indices – 25 January 2024 Nomura Index Rulebook Update Notification – Nomura FX Return Indices – 27 December 2023 Nomura Index Modification Notification – Nomura Credit Beta Indices – 20 December 2023 Nomura Index Modification Notification – CAD CDOR Interest Rate Swap Changes – 29 November 2023 Nomura Index Modification Notification – IRIS Macro Indices – 20 November 2023 Nomura Index Modification Notification – CAD CDOR Interest Rate Swap Changes: Stakeholder Consultation – 30 October 2023 Nomura Index Restatement Notification – Nomura Europe Crossover 5Y Unfunded Credit Index: Credit Event – 08 September 2023 Nomura Index Restatement Notification – E-mini S&P 500 Future Contracts: CME Early Close Holiday – 12 July 2023 Nomura Index Modification Notification – Nomura Long Only Interest Rate Futures: TWAP – 17 April 2023 Nomura Index Modification Notification – Nomura iVRP Indices: USD LIBOR Interest Rate Swap Changes – 5 December 2022 Nomura Index Restatement Notification – Nomura Rates Vega EUR Related Indices – 02 November 2022 Nomura Index Termination Notification – Nomura Interest Rate USD Receiver Swaps Series Index – 26 October 2022 Nomura Index Modification Notification – Nomura FX Indices: USD LIBOR Interest Rate Swap Changes – 27 September 2022 Nomura Index Modification Notification – Nomura CoLRS Index: USD LIBOR Interest Rate Swap Changes – 27 September 2022 Nomura Index Restatement Notification – Nomura IRS Related Indices – 21 September 2022 Nomura Index Termination Notification – Nomura Interest Rate USD Receiver Swap Index – 06 September 2022 Nomura Index Restatement Notification – Nomura Equity Derivatives ConTAS Long Only JPY Price Return Index – 18 August 2022 Nomura Index Modification Notification – USD LIBOR Interest Rate Swap Changes – 26 July 2022 Nomura Index Modification Notification – USD LIBOR Interest Rate Swap Changes – 20 June 2022 Nomura Index Restatement Notification – Nomura FX and Basket Indices – 26 May 2022 Nomura Index Termination Notification – Nomura FX and Momentum Indices – 06 May 2022 Nomura Index Modification Notification – USD LIBOR Interest Rate Swap Changes – 29 April 2022 Nomura Index Modification Notification – USD LIBOR Interest Rate Swap Changes – 12 April 2022 Nomura Index Restatement Notification – Nomura IRS, iVRP and Basket Indices – 28 February 2022 Nomura Index Termination Notification – Nomura MaCS and Commodity Indices – 09 February 2022 Nomura Index Modification Notification – Nomura Indices: USD LIBOR Interest Rate Swap Changes: Stakeholder Consultation – 27 January 2022 Nomura Index Termination Notification – Nomura Interest Rate Receiver Swap Index – 31 December 2021 Nomura Index Termination Notification – Nomura Sterling nth to Expire Futures Index – 16 December 2021 Nomura Index Termination Notification – Nomura IRIS, Macro and Risk Adjusted Indices – 14 December 2021 Nomura Index Termination Notification – Nomura CoLRS Indices – 22 November 2021 Nomura Index Modification Notification – Nomura C10, Jcress/Simple Carry, G10 FX Styles Carry and Global Carry Indices LIBOR Related Changes – 17 November 2021 Nomura Index Restatement Notification – Nomura Credit Momentum and Basket Indices – 28 September 2021 Nomura Index Modification Notification – GBP, JPY and CHF LIBOR Interest Rate Swap Changes – 24 August 2021 Nomura Index Modification Notification – Nomura Yield Curve Methodology Changes – 17 August 2021 Nomura Index Modification Notification – GBP, JPY and CHF LIBOR Interest Rate Swap Changes – 12 August 2021 Nomura Index Termination Notification – Nomura RateBalance Indices – 19 July 2021 Nomura Index Modification Notification – JPY and CHF LIBOR Interest Rate Swap Changes: Stakeholder Consultation – 09 July 2021 Nomura Index Modification Notification – Nomura Yield Curve Methodology Changes – 07 July 2021 Nomura Index Termination Notification – Nomura CoLRS Select B Spread Strategy Index – 21 June 2021 Nomura Index Modification Notification – Nomura Credit Indices – 16 June 2021 Nomura Index Termination Notification – Nomura Indices – 05 May 2021 Nomura Index Modification Notification – GBP LIBOR Interest Rate Swap Changes: Stakeholder Consultation – 24 March 2021 Nomura Index Modification Notification – Nomura EM Momentum – 18 December 2020 Nomura Index Modification Notification – Nomura Yield Curve Methodology Changes – 09 November 2020 Nomura Index Restatement Notification – Nomura Credit Momentum Indices – 29 October 2020 Nomura Index Modification Notification – Nomura Yield Curve Methodology Changes – 22 October 2020 Nomura Index Modification Notification – Nomura Yield Curve Methodology Changes – 01 October 2020 Nomura Index Termination Notification – Nomura Volatility and Multi Asset Carry Indices – 04 September 2020 Nomura Index Restatement Notification – Nomura Credit and Basket Indices – 10 August 2020 Nomura Index Modification Notification – Nomura Yield Curve Methodology Changes – 29 July 2020 Nomura Index Termination Notification – Nomura Indices – 20 July 2020 Nomura Index Modification Notification – Nomura Yield Curve Methodology Changes – 24 June 2020 Nomura Index Restatement Notification – Nomura Growth Poland Indices – 17 June 2020 Nomura Index Modification Notification – Nomura WTI Crude Oil 1st to Expire Trend Index and Impacted Indices – 30 April 2020 Nomura Index Restatement Notification – Nomura Indices: Error relating to the incorrect PHP spot price data – 20 April 2020 Nomura Index Modification Notification – Nomura CoLRS Index with BCOM Weights in USD and Nomura Commodity Liquidity Roll Strategy Index in EUR – 02 April 2020 Nomura Index Modification Notification – Nomura Volatility Odd Months Risk Premium Index – 19 March 2020 Nomura Index Restatement Notification – Nomura Indices: Error relating to incorrect Equity futures and Bond futures price data – 13 March 2020 Nomura Index Disruption Notification – Nomura Volatility Even Months Risk Premium Index – 10 March 2020 Nomura Index Restatement Notification – Nomura Interest Rate Swaps Momentum & Value Volatility Target Indices – 06 December 2019 Nomura Index Modification Notification – Nomura Interest Rate Swaps Indices – 15 November 2019 Nomura Index Modification Notification – Nomura Interest Rate Volatility Risk Premium Indices – 25 September 2019 Nomura Index Restatement Notification – Nomura Macro Curve Strategy and Nomura IRIS Indices – 30 May 2019 Nomura Index Modification Notification – Nomura Macro Duration, Nomura Macro Cross-Country, Nomura IRIS and Nomura RateBalance Macro Indices – 26 April 2019 Nomura Index Error Event Notification – Nomura Macro Duration, Nomura Macro Cross-Country, Nomura IRIS and Nomura RateBalance Macro Indices – 26 April 2019 Nomura Index Restatement Notification – Nomura Europe Crossover 5Y Unfunded Credit Indices and Derived Indices – 30 November 2018 Nomura Index Restatement Notification – Nomura North America High Yield 5Y Unfunded Credit Indices and Derived Indices – 22 October 2018 Nomura Index Restatement Notification – Nomura G10 FX Value Indices – 23 May 2018 Nomura Index Rulebook Update and Restatement Notification – Nomura Volatility Odd Months Risk Premium Index USD ER Index and Nomura Volatility Even Months Risk Premium Index USD ER Index – 09 May 2017 Nomura Index Restatement Notification – Nomura Credit Momentum Index – 13 April 2017 Nomura Index Rulebook Update Notification – Nomura Commodity Momentum Select Strategy Index – 15 March 2016 Nomura Index Restatement Notification – Commodity and Cross Asset Momentum Indices – 02 March 2016 - Index Documents (Selected Indices)
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Index Documents (Selected Indices)
Nomura Emerging Markets FX return Indices RulebookPDF Nomura FX return Indices RulebookPDF Nomura Swaption Straddle Indices – Index summaryPDF Nomura Equity Futures IndicesPDF Nomura Interest Rate Receiver Swap IndicesPDF Nomura Overnight Interest Rate Receiver Swap IndicesPDF Nomura Equity Trend IndexPDF Nomura Interest Rate Momentum+ Duration 5 IndexPDF Nomura Cross Asset Momentum Daily IndexPDF Nomura Cross Asset Momentum Daily Mini IndexPDF Nomura EM Momentum Daily Index (Net of charges) RulebookPDF Nomura G10 Mean Reversion IndexPDF Nomura Illiquid G10 Value IndexPDF Nomura Credit Momentum IndexPDF Nomura Fallen Angels Premium Credit IndicesPDF Nomura Credit Beta Index FamilyPDF Nomura Multi Asset Carry without Credit IndexPDF Nomura Multi Asset Value IndexPDF Nomura IRS Momentum+ Volatility Targeted IndexPDF Nomura IRS Absolute Carry Volatility Targeted IndexPDF Nomura IRS Value Daily Volatility Targeted IndexPDF Nomura Commodities Futures IndicesPDF Nomura Commodities Trend B IndicesPDF Nomura Commodities Trend IndicesPDF
- Index Constituents (Selected Indices)
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Index Constituents (Selected Indices)
Disclaimer
The information contained herein has been furnished solely for your information and must not be referred to, disclosed, transmitted, reproduced or redistributed, in whole or in part, to another person. The information is provided to you without compensation to promote investment services generally and Nomura International Plc and its affiliates do not accept any liability whatsoever for any direct, indirect or consequential loss arising from any direct or indirect use of the information or its content. It is intended for (a) professional clients and eligible counterparties as they are defined under the regulatory rules in the European Economic Area (“EEA”) and (b) institutional investors as defined in the U.S. and is not subject to the independence and disclosure standards applicable to debt research reports prepared for retail investors. Nomura is not a designated investment adviser and the information is therefore provided on the basis that you have such knowledge and experience to evaluate its merits and risks and are capable of undertaking your own objective analysis of the Information with respect to your specific requirements. Nomura International Plc is not soliciting any action based on the information and it should not be considered as an offer to buy or sell any financial instruments or other products which may be mentioned in it. The information does not constitute a personal recommendation under applicable regulatory rules in the EEA or take into account the particular investment objectives, financial situations or needs of individual investors nor does it constitute tailor made investment advice as this term may be defined under applicable regulations in any jurisdiction. Any views expressed in the information may differ from the views offered in Nomura ’s independent research reports prepared for any investors including retail investors or from views that may be expressed by other financial institutions or market participants on the same subject matter as the information.
Nomura Indices PerformancePDF Nomura G10 FX Value VA Index PositionsPDF Nomura EM Momentum Daily Index PositionsPDF Nomura G10 FX Mean Reversion Index PositionsPDF Nomura Western Fallen Angels Premium Credit Index PositionsPDF Nomura North America Fallen Angels Premium Credit Index PositionsPDF Nomura Europe Fallen Angels Premium Credit Index PositionsPDF Nomura Credit Momentum Index PositionsPDF Nomura Credit 5Y Non-Compounding Indices PositionsPDF Nomura Cross Asset Momentum Daily Index PositionsPDF Nomura Cross Asset Momentum Daily Mini Index PositionsPDF Nomura Multi Asset Carry without Credit Index PositionsPDF Nomura Multi Asset Value Index PositionPDF Nomura IRS Value 9% Index PositionsPDF Nomura IRS Momentum+ 9% Index PositionsPDF Nomura IRS Absolute Carry D5 Index PositionsPDF Nomura IRS Value 3% Index PositionsPDF Nomura IRS Value Daily 5 Duration Index PositionsPDF Nomura IRS Momentum+ Index PositionsPDF Nomura IRS Momentum 3% Index PositionsPDF Nomura IRS Momentum+ 10% Index in EUR PositionsPDF Nomura First to Expire Energy and Metals Trend B Index PositionsPDF
Contact Us
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Disclaimer
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Index Disclaimer
Information Purpose only, No offer or solicitation
The information on this website is for information purposes only and does not create any legally binding obligation on the part of Nomura International Plc and/or its affiliates. This website, parts thereof and the information contained herein is does not constitute an offer, advertisement, recommendation or solicitation for the purchase or sale of any particular financial instrument but rather constitutes generic, non-product specific information relating to certain proprietary indices administrated and calculated by Nomura International Plc (“Index Sponsor”) which may, in whole or in part only, constitute the reference underlying for a particular transaction. When making an investment decision, you should solely rely on the final documentation relating to the transaction.
Index Linked Products subject to restrictions
Products based on indices described on this website may not be appropriate for all investors. The Promotion, offering or sale of financial instruments linked to a particular index may be (a) prohibited in certain jurisdictions by applicable law, only available to be promoted, offered or sold through restricted means (e.g. offered by way of private placement), and/or (b) only available to a limited group of investors (institutional/professional/sophisticated (howsoever defined in any given jurisdiction)).
Neither the creation, calculation nor maintenance of the indices nor any view which Nomura International plc or any of its affiliates may from time to time express constitutes a recommendation as to the merits of any investment product based on any of the Indices.
Accuracy of Information
The information on this website has been taken from various sources, including internal information providers, Nomura International Plc considers reliable. Nevertheless, Nomura International Plc does not represent or warrant the information or material contained on this website to be complete, adequate or accurate and it should not be relied upon such.
Performance Data
Any index performance information is provided for information purpose only. It is impossible to predict whether the performance of the particular indices will rise or fall. By providing any performance data, Nomura International Plc is not representing that the relevant indices are likely to achieve gains similar to those shown, past performance is no indication of future results, and the indices may further in future exhibit a higher loss than their historical performance. Index levels may not represent (i) the terms at which any potential transaction could be entered into, (ii) the actual terms at which any existing transactions could be liquidated or unwound or (iii) the calculation or estimate of an amount that would be payable following the designation of an early termination – and Nomura International Plc does not warrant the accuracy or completeness of such index levels.
Back-Testing
Any “back-testing” information on the website is for illustrative only and derived from proprietary models based on certain historic data (which may or may not correspond with historic data third parties would use to back-test any index) and assumptions and estimates, not all of which may be specified herein. All index performance information prior to the relevant index start date is hypothetical and back-tested, as the relevant index did not exist prior to that date. Hypothetical back-tested index performance information is subject to significant limitations. The Index Sponsor developed the index rules with the benefit of hindsight—that is, with the benefit of being able to evaluate how the index rules would have caused the indices to perform had they existed during the hypothetical back-tested period. The fact that the illustrative back-tested performance of an index may generally have appreciated over the hypothetical back-tested period may not therefore be an accurate or reliable indication of any fundamental aspect of the index methodology. Furthermore, such hypothetical back-tested performance might look different if it covered a different historical period. The market conditions that existed during the hypothetical back-tested period may not be representative of market conditions that will exist in the future. There are frequently sharp differences between hypothetical performance results and the actual results subsequently achieved. One of the limitations of hypothetical performance information is that it did not involve financial risk and cannot account for all factors that would affect actual performance. The actual future performance of the indices may bear no relation to the hypothetical back-tested or historical performance of the indices.
Potential Conflicts of Interest
Nomura International plc is the Index Sponsor of the indices, and is therefore responsible for maintaining the Indices, as well as calculating and publishing the levels of the Indices, based on a proprietary model and relying on market information. In addition, Nomura International plc (or anyone of its affiliates) may be the Nomura counterparty to or issuer of any investment product entered into based on the indices. This gives rise to potential conflicts of interest.
Nomura International plc and its affiliates, in the normal course of business, may trade in the indices or the underlying currencies or in financial instruments that are linked to any of the relevant index constituents, and such trading activity may affect the level of the Indices. These trading activities may present a conflict between the interests of an investor that is evaluating whether or not to enter into an investment product based on the Indices with Nomura International plc or any of its affiliates and the interests that Nomura International plc and its affiliates will have in their proprietary accounts, in facilitating transactions for their customers and in accounts under their management.
In the ordinary course of business, Nomura International plc or any of its affiliates may have expressed views on expected movements in the Indices or the underlying currency pairs and may do so in the future. These views or reports may be communicated to the clients of Nomura International plc or any of its affiliates. However, any such views are and will be subject to change from time to time. Moreover, other professionals who deal in markets relating to the Indices or the underlying currency pairs may at any time have significantly different views from those of Nomura International plc or its affiliates. In addition, Nomura International plc or any of its affiliates may, from time to time, publish research that may influence the level of the Index, or may express opinions or provide recommendations that are inconsistent with the investment views inherent in the Index.
Furthermore, the Index Sponsor may amend the methodology of the indices and/or make such adjustments to the Indices as it considers appropriate, in each case in its sole discretion acting in good faith, in order to account for certain events or preserve the objective of the strategy (including cancelling an Index in certain circumstances). Such action taken, or discretion exercised, by the Index Sponsor may result in benefits to Nomura International plc or any of its affiliates and/or losses to an investor.
Impact of Index Pre-Hedging, Hedging and Trading Activities
The Indices were designed by Nomura International plc with the intention of earning a profit through entering into transactions linked to the indices, including pre-hedging and hedging transactions. It is possible that Nomura International plc’s pre-hedging and hedging activities in relation to the Indices will lead to movements in the underlying equity index and options markets that could adversely affect the performance of the Indices. Nomura International plc may realise a profit in connection with its pre-hedging and hedging activities regardless of whether the levels of the Indices increase or decline.
Limitation of Liability
The website (including all information and material contained on the website) is provided “as is available”. Nomura International Plc is not providing any warranties or representations regarding the website. Nomura International Plc disclaims all warranties and representations of any kind with regard to the website, including any implied warranties of merchantability, non-infringement of third party rights freedom from viruses or other harmful code, or fitness for a particular purpose. Nomura International Plc does not warrant the accuracy, adequacy or completeness of any information and materials contained on the website and expressly disclaim liability for errors or omissions in the materials and information. Nothing inhere shall be construed as limiting or reducing Nomura International Plc’s responsibilities and obligations in accordance with applicable laws and regulations.