FTSE EDHEC-Risk Efficient Index Developed Europe
The index series is based on all constituent securities in the FTSE All-World Developed Europe index.
Performance
The back history of the FTSE EDHEC-Risk Efficient Index Series has shown that the indices have outperformed the relevant cap-weighted indices since 2002, by approximately 200 basis points annually, whilst typically lowering volatility, which leads to a higher reward-to-risk ratio for investors.
| Historical Annual Performance | Efficient Return | Efficient Volatility | Efficient Sharpe | Cap-w. Return | Cap-w. Volatility | Cap-w. Sharpe |
|---|---|---|---|---|---|---|
| United States | 10.08% | 21.08% | 0.40 | 6.79% | 20.70% | 0.24 |
| United Kingdom | 11.29% | 19.33% | 0.43 | 7.85% | 19.84% | 0.24 |
| Eurobloc | 7.49% | 18.30% | 0.28 | 4.11% | 22.04% | 0.08 |
| Developed Europe | 11.50% | 22.59% | 0.43 | 8.12% | 24.30% | 0.26 |
| Dev. Europe ex. UK | 11.58% | 22.70% | 0.43 | 8.24% | 25.05% | 0.26 |
| Japan | 3.56% | 19.93% | 0.18 | 0.92% | 22.65% | 0.04 |
| Dev. Asia ex. Jap. | 16.55% | 19.34% | 0.77 | 15.49% | 23.21% | 0.59 |
| Asia-Pac. ex. Jap. | 18.00% | 17.81% | 0.91 | 14.97% | 21.87% | 0.61 |
| Asia-Pacific | 13.22% | 17.08% | 0.67 | 10.39% | 20.32% | 0.43 |
| Developed | 10.79% | 17.05% | 0.53 | 7.63% | 17.72% | 0.33 |
| Emerging | 21.35% | 17.19% | 1.14 | 18.33% | 21.55% | 0.77 |
| All World ex. US | 13.42% | 17.43% | 0.67 | 10.03% | 19.56% | 0.42 |
| All World ex. UK | 11.64% | 16.39% | 0.60 | 8.31% | 17.42% | 0.38 |
| All World | 11.64% | 16.64% | 0.60 | 8.04% | 17.76% | 0.36 |
• Statistics are based on weekly return data, from 20-Dec-02 to 04-May-12, annualised assuming 52 weeks per year.
• Note that since negative Sharpe ratios cannot be interpreted, the Sharpe ratios are adjusted in the event that they are negative by replacing the riskfree rate with the average return on the cap-weighted index.
The following table reports the annualised performances, based on weekly returns over the past five years of the FTSE EDHEC-Risk Efficient Indices and their cap-weighted counterparts in the FTSE All-World universe.
| 5Y Annual Performance | Efficient Return | Efficient Volatility | Efficient Sharpe | Cap-w. Return | Cap-w. Volatility | Cap-w. Sharpe |
|---|---|---|---|---|---|---|
| United States | 2.83% | 26.62% | 0.09 | 0.49% | 26.00% | 0.00 |
| United Kingdom | 1.95% | 23.67% | 0.06 | 0.61% | 24.26% | 0.00 |
| Eurobloc | -6.27% | 22.84% | 0.09 | -8.22% | 26.52% | 0.00 |
| Developed Europe | -3.85% | 28.54% | 0.06 | -5.48% | 30.48% | 0.00 |
| Dev. Europe ex. UK | -4.76% | 28.75% | 0.06 | -6.52% | 31.30% | 0.00 |
| Japan | -8.97% | 23.15% | 0.15 | -12.54% | 26.59% | 0.00 |
| Dev. Asia ex. Jap. | 2.88% | 24.20% | 0.08 | 3.56% | 29.30% | 0.09 |
| Asia-Pac. ex. Jap. | 5.60% | 21.95% | 0.22 | 3.71% | 27.05% | 0.10 |
| Asia-Pacific | 2.75% | 19.58% | 0.15 | -0.10% | 23.80% | 0.00 |
| Developed | 0.46% | 21.45% | 0.10 | -1.69% | 22.22% | 0.00 |
| Emerging | 7.76% | 20.61% | 0.33 | 2.57% | 26.33% | 0.06 |
| All World ex. US | 0.02% | 21.44% | 0.12 | -2.53% | 24.18% | 0.00 |
| All World ex. UK | 1.53% | 20.50% | 0.12 | -1.01% | 21.77% | 0.00 |
| All World | 1.21% | 20.87% | 0.12 | -1.39% | 22.29% | 0.00 |
• Statistics are based on weekly return data, from 06-May-07 to 04-May-12, annualised assuming 52 weeks per year.
• Note that since negative Sharpe ratios cannot be interpreted, the Sharpe ratios are adjusted in the event that they are negative by replacing the riskfree rate with the average return on the cap-weighted index.
