FTSE Teams Up With TOBAM to Maximise Equity Portfolio Diversification

17 November 2011

FTSE Group (“FTSE”), the award winning global index provider, and Paris-based asset manager, TOBAM, today announce the launch of a new family of 8 indices- the FTSE TOBAM Maximum Diversification Index Series. The index series seeks to maximize a mathematical definition of diversification, the Diversification Ratio, to provide institutional investors with the most diversified portfolio possible in any given stock universe across global and domestic markets.

Based on original research from TOBAM, the FTSE TOBAM Maximum Diversification Index Series helps investors to avoid portfolio concentration. Constituents are sourced from the FTSE All-World Index and are weighted so that each effective risk factor contributes equally to the risk of the portfolio, as opposed to a market capitalization weighted basis. The portfolio construction methodology used in the construction of the index series has already been adopted by major asset owners including CalPERS.

The index series will initially consist of the 5 regional indices:

  • FTSE TOBAM Maximum Diversification Developed World Index
  • FTSE TOBAM Maximum Diversification Developed World ex-North America Index
  • FTSE TOBAM Maximum Diversification Eurobloc Index
  • FTSE TOBAM Maximum Diversification Developed Europe Index
  • FTSE TOBAM Maximum Diversification Developed Asia Pacific ex-Japan Index

And the following 3 single-country indices:

  • FTSE TOBAM Maximum Diversification UK Index
  • FTSE TOBAM Maximum Diversification USA Index
  • FTSE TOBAM Maximum Diversification Japan Index

The FTSE TOBAM Maximum Diversification Index Series forms part of FTSE’s extensive range of alternatively-weighted indices which are being increasingly adopted by the world’s largest and most sophisticated institutional investors as a means of balancing risk and reward, managing volatility and improving the efficiency of asset allocation. The indices are designed to be suitable for the foundation of tradable instruments such as ETFs, structured products and tracker funds.

Mark Makepeace, Chief Executive of FTSE said: “FTSE was the first index provider to launch alternatively-weighted indices, and continues to innovate to ensure that global investors can better diversify their equity investments. The underlying methodology of the FTSE TOBAM Maximum Diversification Index Series has already proved highly attractive to major institutional investors, and now, for the first time, investors will have access to a series of indices incorporating this approach.”

Yves Choueifaty, President and founder of TOBAM, commented:”We are very excited by this partnership with FTSE, who are global leaders the provision of non market capitalization weighted indices, and more importantly believe the timing of this release makes a lot of sense for potential investors. In 2011 our assets under management grew by more than 50%, during a period when the robustness of investment processes was particularly tested.”

YTD

ITD

As of Nov 7th 2011

Perf

Vol

Ann Perf

Vol

FTSE Tobam MaxDiv Japan (JPY)

-5.10%

20.40%

3.10%

17.20%

FTSE All World Series Japan TR JPY

-15.40%

23.00%

-0.10%

23.40%

FTSE Tobam MaxDiv UK (GBP)

6.90%

16.20%

13.00%

16.80%

FTSE All World Series UK TR GBP

-3.60%

21.00%

7.50%

20.50%

FTSE Tobam MaxDiv USA (USD)

4.80%

19.10%

10.70%

17.60%

FTSE All World Series US TR USD

1.80%

22.90%

6.40%

21.30%

FTSE Tobam MaxDiv EuroBloc (EUR)

-9.40%

17.90%

8.70%

14.60%

FTSE All-World Eurobloc Total Return Index

-15.00%

26.90%

3.80%

22.70%

FTSE Tobam MaxDiv Dev Europe (EUR)

-2.90%

14.40%

10.20%

13.70%

FTSE All World Series Developed Europe TR EUR

-11.50%

29.90%

4.90%

24.90%

FTSE Tobam MaxDiv World Dev ex NA (USD)

-0.10%

16.00%

15.00%

14.10%

FTSE All World Series All World Developed Ex North America TR USD

-8.90%

23.80%

8.70%

20.80%

FTSE Tobam MaxDiv Dev AsiaPac Ex Japan (USD)

-5.10%

20.00%

18.40%

17.20%

FTSE All World Series Developed Asia Pacific Ex Japan TR USD

-6.80%

26.10%

15.90%

24.20%

FTSE Tobam MaxDivAll World Dev (USD)

-0.10%

14.30%

12.10%

12.60%

FTSE All World Series All World Developed TR USD

-3.80%

21.10%

7.60%

18.40%

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