FTSE EDHEC-Risk Efficient Index Series
The FTSE EDHEC-Risk Efficient Index Series, launched in association with EDHEC-Risk Institute
(EDHEC-Risk), is based on all constituent securities in the FTSE All-World Index Series. Constituents’ weights
result from EDHEC-Risk’s portfolio optimisation, which targets improvements in efficiency for a broad market
index by maximising the Sharpe ratio.
- • The indexes attempt to improve the risk/reward trade-off available in the broad stock market.
- • The indexes are highly diversified.
- • The high concentration and the poor diversification of cap-weighted indexes can be avoided.
- • Stocks are liquidity screened to ensure that index is tradable.
- • The indexes are designed for the creation of derivatives, index tracking funds and ETFs.