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 indices attempt to improve the risk/reward trade-off available in the broad stock market.
- The indices are highly diversified.
- The high concentration and the poor diversification of cap-weighted indices can be avoided.
- Stocks are liquidity screened to ensure that index is tradable.
- The indices are designed for the creation of derivatives, index tracking funds and ETFs.
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