Nasdaq OMXS30 DUO Index Methodology

Nasdaq OMXS30 DUO Index Methodology
Index Description
The Nasdaq OMXS30 DUO Index aims to improve the risk profile of OMX Stockholm 30
Index (OMXS3) by allocating between the OMXS30 and the exchange rate of Gold to
Swedish Krona (XAUSEK) and relying upon the historical correlation between equity and
gold based on realized volatility of the OMXS30 and XAUSEK.
Index Calculation
The Nasdaq OMXS30 DUO Index is a modified market capitalization weighted index. The
value of the Index equals the aggregate value of the Index share weights, also known as
the Index Shares, of each of the Index Securities multiplied by each such security’s Last
Sale Price 1, and divided by the divisor of the Index. The divisor serves the purpose of
scaling such aggregate value to a lower order of magnitude which is more desirable for
reporting purposes. If trading in an Index Security is halted on its primary listing market,
the most recent Last Sale Price for that security is used for all index computations until
trading on such market resumes. Likewise, the most recent Last Sale Price is used if
trading in a security is halted on its primary listing market before the market is open. The
Index began on May 14, 2018 at a base value of 1,000.00.
The formula for index value is as follows:
Aggregate Adjusted Market Value/Divisor
The formula for the divisor is as follows:
(Market Value after Adjustments/Market Value before Adjustments) X Divisor before

Adjustments
Three versions of the Index are calculated in SEK.
• The price return index (OMXDUO) is ordinarily calculated without regard to cash
dividends on Index Securities.
• The total return index (OMXDUOT) reinvests cash dividends on the ex-date.
• The net total return index (OMXDUON) reinvests cash dividends on the ex-date
based on the securities incorporation withholding rate.
The Indexes are calculated during the trading day and are disseminated every 15 second
seconds. The Indexes are calculated five (5) days a week, Monday through Friday, provided
that neither OMXS30 nor XAUSEK have a trading holiday, during European hours.
For purposes of this document, Last Sale Price refers to the last regular way trade reported on such security’s
1
Index Market. The Index Market is the listing market for which prices are received and used by Nasdaq in the Index
calculation and generally will represent the most liquid trading market of the Index Security. If a security does not
trade on its Index Market on a given day or the Index Market has not opened for trading, the most recent last sale
price from the Index Market (adjusted for corporate actions, if any) is used. For securities where Nasdaq is the
Index Market, the Last Sale Price may be the Nasdaq Official Closing Price (NOCP) when Nasdaq is closed.
1
Eligibility Criteria
The Index holds one or both of the following Indexes based on the Index Evaluation
Criteria:
• OMX Stockholm 30 Index (OMXS30);

• Gold/Sweden Krona 1630GMT Spot Rate Index (SEK) (XAUSEK1630GMTSEK).
Index Evaluation
The Index is evaluated daily for determination of net allocation to eligible assets. The above
Eligibility Criteria are applied using available data with one day lag.
On a daily basis, the Index allocates between an Equity Component - Nasdaq OMXS30
referred to as “Equity” (the “Dynamic Asset”) and a Gold Component - XAUSEK referred to
as “Gold” (the “Defensive Asset”).
Index levels are calculated as weighted returns of the Net Allocation of the Nasdaq OMXS30
(Net_Exposure_Equity) and XAUSEK (Net_Exposure_Gold) as follows:
Index (t) = Index(t-1) x { Net_Exposure_Equity(i-1) x Equity(i)/Equity/(i-1) + Net_Exposure_Gold(i-1) x Gold(i)/Gold/(i-

1) }
where Equity(i) = Nasdaq OMXS30 levels on calculation date

and Gold(i) = XAUSEK levels on calculation date
Net_Exposure_Equity and Net_Exposure_Gold are calculated as defined in the Index

Rebalancing section.
Index Rebalancing
The Index is rebalanced daily. The Index allocates between an Equity Component –
OMXS30 is referred to as “Equity” (the “Dynamic Asset”) and a Gold Component – XAUSEK -
referred to as “Gold” (the “Defensive Asset”).
Step 1: Determine Gross Allocations

• Gross exposure to the equity component starts at 100%.
• The Index will add exposure to the Gold Component when its realised correlation
versus the equity component is negative. The objective is to determine the optimal
allocation where the risk of the resulting Index is in line with the Equity Component.
• Under that constraint the resulting allocation to the Gold Component is equal to:
𝑀𝑀in( 100%,𝑀𝑀𝑎𝑎𝑥𝑥(0%, (−2 ×𝐶𝐶𝑜𝑜𝑟𝑟𝑟𝑟𝑒𝑒𝑙𝑙𝑎𝑎𝑡𝑡𝑖𝑖𝑜𝑜𝑛𝑛 ×𝐸𝐸𝑞𝑞𝑢𝑢𝑖𝑖𝑡𝑡𝑦𝑦 𝑅𝑅𝑒𝑒𝑎𝑎𝑙𝑙𝑖𝑖𝑠𝑠𝑒𝑒𝑑𝑑 𝑉𝑉𝑜𝑜𝑙𝑙𝑎𝑎𝑡𝑡𝑖𝑖𝑙𝑙𝑖𝑖𝑡𝑡𝑦𝑦 /Gold𝑅𝑅𝑒𝑒𝑎𝑎𝑙𝑙𝑖𝑖𝑠𝑠𝑒𝑒𝑑𝑑
𝑉𝑉𝑜𝑜𝑙𝑙𝑎𝑎𝑡𝑡𝑖𝑖𝑙𝑙𝑖𝑖𝑡𝑡𝑦𝑦)))
• In other words, the lower the correlation and the lower gold’s volatility is compared
to equity’s volatility, the higher the allocation to gold.
• All correlation and volatility metrics are observed over a rolling window of 10
business days of weekly returns with a one day lag.
2
Step 2: Determine Net Allocations
• Weights are normalised between the Equity Component and the Gold Component to
sum to 100%.
• The allocation to the Equity Component is floored at 50% and the allocation to Gold
is capped at 50%.
Volatility and Correlation Calculations
• Correlations are calculated as:
(Sum product of weekly rolling log returns of gold and equity) / square root of ( sum
squared of weekly rolling log equity returns * sum squared of weekly rolling log
gold returns)
• Volatilities are calculated as:
square root of ((52/10) * sum squared of weekly rolling log returns)
All calculations are done with a one day trading lag.
Nasdaq may, from time to time, exercise reasonable discretion as it deems appropriate in
order to ensure Index integrity.
May 2018

Nasdaq OMXS30 DUO Index Methodology

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Nasdaq OMXS30 DUO Index Methodology

The formula for index value is as follows:

Aggregate Adjusted Market Value/Divisor

The formula for the divisor is as follows:

(Market Value after Adjustments/Market Value before Adjustments) X Divisor before

Three versions of the Index are calculated in SEK.

• OMX Stockholm 30 Index (OMXS30);

Index (t) = Index(t-1) x { Net_Exposure_Equity(i-1) x Equity(i)/Equity/(i-1) + Net_Exposure_Gold(i-1) x Gold(i)/Gold/(i-

where Equity(i) = Nasdaq OMXS30 levels on calculation date

Net_Exposure_Equity and Net_Exposure_Gold are calculated as defined in the Index

Step 1: Determine Gross Allocations

Volatility and Correlation Calculations

• Correlations are calculated as:

• Volatilities are calculated as:

square root of ((52/10) * sum squared of weekly rolling log returns)

All calculations are done with a one day trading lag.

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