Index provider Solactive has announced a new collaboration with Sarasin & Partners in order to launch a new index family aimed at offering investors exposure to a combination of momentum, low volatility and size premia.
The new index range intends to address shortcomings of the Sharpe ratio on a forward looking due to the lack of stability in a stock’s underlying trends. The Sarasin Systematic Efficient Approach (SSEA) aims to address the stability problem of the Sharpe ratio through Sarasin & Partners’ proprietary efficiency technique.
Andrea Nardon, partner at Sarasin & Partners LLP explains: “The SSEA Indices are calculated as total return. Central to an SSEA index construction is the ranking of stocks based on their efficiency profiles. Approximately 50% of the most efficient stocks in an investable universe are selected which – combined with a non-cap market weighting of constituents – results in a very well diversified outcome.”
Steffen Scheuble, CEO of Solactive (pictured) adds: “Solactive is happy to announce our cooperation with Sarasin & Partners on the calculation of indices that not only aim to outperform country markets but also employ a sophisticated and proven methodology – a methodology that is passionate about obtaining a sustainable profit in the mid-long term.”