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 indexes. The weighting of the portfolio of constituents achieves the highest possible return-to-risk efficiency by maximizing 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 optimization reflecting their ability to maximize the reward-to-risk ratio for a broad market index.
Key Features and Coverage on RIMES
For this index series, RIMES hosts 17 indices and approximately 3900 companies.
Index coverage includes: FTSE EDHEC-Risk Efficient (All-World, Developed, Eurobloc, Emerging, Japan, UK, US, etc.)
Some of the data items available include:
- Adjustment Factor, Country, Date, Description, Dividend Payment, Dividend Yield, Edhec Adjustement Factor, Edhec Investable Market Value In Usd, Edhec Investable Weight, Exchange, Gross Index In Eur, Gbp, Jpy, Usd, Icb Level Code/Description, Investable Market Value In Usd, Investable Weight, Investment Factor, Iso Country Code, Iso Currency Code, Last Dividend Pay Date, Market Value, Number Of Constituents, Price Index (Eur, Gbp, Jpy, Usd), Sedol, Shares Outstanding, Unadjusted Price in Local, Xd Adjustments Year To Date, etc.