Nasdaq Validation — AlphaBlock
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// Listed & calculated by Nasdaq

The 3N™ engine, listed on Nasdaq.

The Nasdaq Orpheus RMI Value-Growth US 20 Index (symbol RMIVG20) was calculated by Nasdaq from December 2004 and listed on the exchange from August 2014 to April 2021 — an independent, exchange-grade record of the Reversion–Divergence framework that became 3N™.

NASDAQ SOURCE   Index values are provided by Nasdaq. Values prior to the August 2014 launch are back-tested and indicative. Past performance is not indicative of future results.
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Growth of 100, Dec 2004 – Apr 2021
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Annualised (price index)
17 yrs
Nasdaq-calculated history
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Max drawdown (2009 GFC)
01Growth & drawdown

Growth of 100, and every drawdown to hold it.

Every point below is a Nasdaq index value — the strategy curve and its true peak-to-trough drawdowns, including the −62.5% fall through the 2008–09 crisis.

11.2× the strategy vs 3.2× the benchmark over 17 years — and through the −62.5% GFC drawdown.
Nasdaq RMIVG 20 — growth of 100 Benchmark (S&P 100 → Nasdaq US Benchmark)
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 CALCULATED BY NASDAQ · 2004–2014 LISTED ON NASDAQ · 2014–2021 100 300 500 700 900 1100 361 1124 · 11.2×
Strategy drawdown  Benchmark drawdown
−20% −40% −60% −62.5% 2005 2008 2011 2014 2017 2020

Source: Nasdaq RMIVG 20 daily index values (price index), rebased to 100 at 1 Dec 2004; back-tested prior to the Aug 2014 listing. Drawdown = decline from the prior all-time peak. Benchmark (real index values): S&P 100 through the calculated era, continued by the Nasdaq US Benchmark through the listed era — chained into one series rebased to 100 at inception.
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02Return vs benchmark

Beat the benchmark in both eras.

2004–2014 · calculated by Nasdaq · vs S&P 100
25.22%+13.53
annualised · vs S&P 100  11.69%
0.90
Information ratio
10.98%
Tracking error
3.6×
Grew (vs 1.5×)
330 d
Avg holding
2014–2021 · listed on Nasdaq (RMIVG20) · vs Nasdaq US Benchmark
18.23%+6.09
annualised · vs Nasdaq US Bmk  12.14%
0.54
Information ratio
11.19%
Tracking error
3.1×
Grew (vs 2.2×)
335 d
Avg holding
03Every entry year

Held from any year, it beat the benchmark.

Cumulative return from the start of each year to the end of the respective Nasdaq-calculated period — the index outperformed from every single entry point.

Nasdaq RMIVG 20 Benchmark
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Source: Nasdaq RMIVG 20 factsheets. Cumulative (not annualised) return from each January to the period end (Aug 2014 / Apr 2021). Excess in percentage points.

What Nasdaq calculated

RMIVG20 owns 20 large-cap Nasdaq US equities and uses the Reversion–Divergence framework to score, weight and rebalance — designed for higher risk-weighted excess returns at low tracking error, without the size bias and concentration of cap-weighted benchmarks. It is the same engine now delivered as 3N™.

Read the research

The index is grounded in peer-reviewed and working-paper research on mean reversion, Markov processes and the [3N] framework.