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FTSE EDHEC-Risk ERAFP SRI Index

The FTSE EDHEC-Risk Efficient ERAFP SRI Large Cap Custom Index 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 the constituent securities from the FTSE Eurobloc Index, filter by ERAFP's SRI criteria. 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.

To date, the following index has been launched: