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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

    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".

    Index Notifications

    Index Notifications

     

    Nomura Yield Curve Modification Notification – 9 November 2020PDF Nomura Credit Momentum Indices - Restatement Notification – 29 October 2020PDF Nomura Yield Curve Modification Notification – 22 October 2020PDF Nomura Yield Curve Modification Notification – 1 October 2020PDF Nomura Indices Termination Notification – 4 September 2020PDF Nomura Credit and Basket Indices – Restatement Notification – 10 August 2020PDF Nomura Yield Curve Modification Notification – 29 July 2020PDF Nomura Indices Termination Notification – 20 July 2020PDF Nomura Yield Curve Modification Notification – 24 June 2020PDF Nomura Growth Poland Indices – Restatement Notification – 17 June 2020PDF Nomura WTI Futures Index – Index Modification Notification – 30 April 2020PDF Nomura Indices – Restatement Notification – 20 April 2020PDF Nomura CoLRS and Liquidity Roll in USD and EUR Indices - Index Modifcation Notification – 2 April 2020PDF Nomura EVRP – Index Modification Notification – 19 March 2020PDF Nomura Indices – Restatement Notification – 13 March 2020PDF Nomura EVRP Disruption Notification – 10 Mar 2020PDF Nomura Interest Rate Swaps Momentum & Value Volatility Target Indices Restatement Notification – 6 December 2019PDF Nomura Interest Rate Swaps Indices Modification Notification – 15 November 2019PDF Nomura IVRP Indices Modification Notification – 25 September 2019PDF Nomura Macro Curve Strategy and IRIS Indices – Restatement Notification – 30 May 2019PDF Nomura Index Modification Notification – 26 April 2019PDF Nomura Index Error Event Notification – 26 April 2019PDF Nomura Credit Beta Crossover indices and derived Indices – Restatement Notification – 30 November 2018PDF Nomura Credit Beta High Yield Indices and Derived Indices – 22 October 2018PDF Nomura G10 FX Value Indices - Restatement Notification – 23 May 2018PDF Nomura Volatility Risk Premium Index – Amendment Notification – 09 May 2017PDF Nomura Credit Momentum Index – Restatement Notification – 13 April 2017PDF Nomura Index Amendment Notification – 15 March 2016PDF Nomura Index Amendment Notification – 2 March 2016PDF
    Index Documents (Selected Indices)

    Index Documents (Selected Indices)

     

    Nomura Cross Asset Momentum Daily IndexPDF Nomura EM Momentum Daily Index (Net of charges) RulebookPDF Nomura G10 Mean Reversion IndexPDF Nomura EM Momentum IndexPDF Nomura Illiquid G10 Value IndexPDF Nomura FX Return Index FamilyPDF Nomura Credit Momentum IndexPDF Nomura Fallen Angels Premium Credit IndicesPDF Nomura Credit Beta Index FamilyPDF Nomura Cross Asset Momentum IndexPDF Nomura Cross Asset Momentum 8percent Target Vol IndexPDF Nomura Commodity Momentum Select IndexPDF Nomura Equity Momentum IndexPDF Nomura IRS Momentum Duration Scaled IndexPDF Nomura Interest Rate Receiver Swap IndicesPDF Nomura NKYTPX Spread Reversion Series IndexPDF 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)

    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 EM Momentum 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 Equity G3 Momentum Index PositionsPDF Nomura Cross Asset Momentum Index PositionsPDF Nomura Cross Asset Momentum 8% Index PositionsPDF Nomura Cross Asset Momentum Daily Index PositionsPDF Nomura Commodity Momentum Select Index PositionsPDF Nomura IRS Momentum D5 Index PositionsPDF Nomura NKYTPX Spread Reversion Series IndexPDF Nomura Multi Asset Carry without Credit Index PositionsPDF Nomura Multi Asset Value Index PositionPDF Nomura IRS Value 9% Index PositionsPDF Nomura IRS Absolute Carry 9% Index PositionsPDF Nomura IRS Momentum+ 9% Index PositionsPDF Nomura Energy and Metals Trend B Index PositionsPDF

    Disclaimer

    • 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.

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