NYSE Launches Smart Beta Index With Roger Ibbotson, Zebra Capital
The New York Stock Exchange, part of Intercontinental Exchange and Zebra Capital Management, launched the NYSE Zebra Edge Index, an index that incorporates behavioral finance research on high-turnover, or “popular” stocks, with the goal of capturing higher returns with lower volatility.
The NYSE Zebra Edge Index is the first to be founded on the academic research demonstrating the relationship between highly-traded stocks and returns by renowned economist Professor Roger Ibbotson, one of the nation’s most respected thought leaders in behavioral finance. The index allocates to an equal-weighted portfolio of large cap equities after removing for both overly popular, or high-turnover, stocks and stocks with a higher level of volatility.
“Our research in behavioral finance shows that the most popular stocks tend to experience higher volatility and provide lower future returns,” said Professor Ibbotson, founder and Chief Investment Officer at Zebra Capital Management. “By removing the most popular and the most volatile stocks, you are left with less popular, less volatile stocks which have historically provided higher returns with less risk.”
Co-branded and developed with Zebra Capital, the NYSE Zebra Edge Index incorporates a proprietary risk control overlay to target a specific level of portfolio volatility and leverages the NYSE’s industry-leading index development capabilities, index calculation engine and widely-distributed index data feeds.
“We’re delighted to partner with Roger and the team at Zebra Capital Management to launch the NYSE Zebra Edge Index,” said Dwijen Gandhi, Head of NYSE Indices at Intercontinental Exchange. “Innovation is one of the hallmarks of the NYSE, and this cutting-edge index is the first NYSE index to be used in an insurance product, exclusively licensed to and available with the Nationwide New Heights fixed indexed annuities.”
UBS will act as the hedge provider and sub-licensor for the NYSE Zebra Edge Index. More information on the NYSE Zebra Edge Index can be found at www.nyse.com/zedgeny.
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