FTSE EDHEC-Risk Efficient Index Series
The FTSE EDHEC-Risk Efficient Index Series, launched in association with EDHEC-Risk Institute (EDHEC-Risk), aims to capture equity market returns with an improved risk/reward efficiency compared to cap-weighted indices. The weighting of the portfolio of constituents achieves the highest possible return-to-risk efficiency by maximising the Sharpe ratio.
The index series is based on all constituent securities in the FTSE All-World Index Series. Constituents receive weights which result from EDHEC-Risk´s portfolio optimisation reflecting their ability to maximise the reward-to-risk ratio for a broad market index.