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.

Key Features:

  • • 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.

Index rules should be read in conjunction with supportingFTSE Russell noticesThese notices advise of advance changes in index methodology, which may not be reflected in index rules until the change effective date. The notices may also communicate revisions in index treatment in the period up to a rule change.