ERAFP SRI Eurobloc Large Cap
The index is based on the constituent securities in the FTSE All-World Eurobloc index, filtered 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.
Performance
The history of the FTSE EDHEC-Risk Efficient Eurobloc ERAFP SRI Large Cap Custom Index has shown that the index has had attractive risk-adjusted performance compared to the boader (non-SRI-screened) FTSE Eurobloc cap-weighted index. The efficient weighting scheme was able to compensate the potential efficiency losses which may result from a reduction of the universe. The table below shows performance statistics of the Efficient SRI Index and of the FTSE Eurobloc Cap-weighted index.
| Historical Annual Performance | Efficient Return | Efficient Volatility | Efficient Sharpe | Cap-w. Return | Cap-w. Volatility | Cap-w. Sharpe |
|---|---|---|---|---|---|---|
| Eurobloc Large Cap | -7.22% | 24.28% | 0.07 | -9.00% | 27.69% | 0.00 |
• Statistics are based on weekly return data, from 21-Dec-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.
