Annexus Launches Smart Beta Index with NYSE, Roger Ibbotson and Zebra Capital

The NYSE® Zebra EdgeTM Index applies renowned economist’s behavioral finance research aiming to capture higher returns with lower volatility

NEW YORK, January 12, 2017 (BUSINESS WIRE) — The New York Stock Exchange (NYSE), part of Intercontinental Exchange (NYSE:ICE), and Zebra Capital Management announce the recent launch of the NYSE Zebra Edge Index (NYSE: ZEDGENY), an index that incorporates behavioral finance research on high-turnover, or “popular” stocks, with the goal of capturing higher returns with lower volatility.

“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.”

Roger Ibbotson

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.

About NYSE Group

NYSE Group is a subsidiary of Intercontinental Exchange (NYSE:ICE), a leading operator of global exchanges and clearing houses, and a provider of data and listings services. NYSE Group includes exchanges, market data and connectivity services. The equity exchanges — the New York Stock Exchange, NYSE MKT and NYSE Arca — trade more U.S. equity volume than any other exchange group. NYSE is the premier global venue for capital raising, leading worldwide in IPOs, including technology IPOs. NYSE Arca Options and NYSE Amex Options are leading equity options exchanges. To learn more, visit www.nyse.com/index.

About Intercontinental Exchange

Intercontinental Exchange (NYSE:ICE) operates the leading network of global futures, equity and equity options exchanges, as well as global clearing and data services across financial and commodity markets. The New York Stock Exchange is the world leader in capital raising, listings and equities trading.

Trademarks of ICE and/or its affiliates include Intercontinental Exchange, ICE, ICE block design, NYSE and New York Stock Exchange. Information regarding additional trademarks and intellectual property rights of Intercontinental Exchange, Inc. and/or its affiliates is located at www.intercontinentalexchange.com/terms-of-use.

About Zebra Capital Management

Zebra Capital Management is an SEC-registered investment adviser focusing on the application of a behavioral finance derived investment philosophy. Zebra Capital’s investment strategies are implemented via a systematic and disciplined process. Zebra Capital was established in 2001 and is based in Connecticut. For more information about Zebra Capital, please visit: www.zebracapital.com.

The mark Zebra® is a registered trademark, and Zebra EdgeTM is a trademark, of Zebra Capital Management, LLC.

Safe Harbor Statement under the Private Securities Litigation Reform Act of 1995 — Statements in this press release regarding ICE’s business that are not historical facts are “forward-looking statements” that involve risks and uncertainties. For a discussion of additional risks and uncertainties, which could cause actual results to differ from those contained in the forward-looking statements, see ICE’s Securities and Exchange Commission (SEC) filings, including, but not limited to, the risk factors in ICE’s Annual Report on Form 10-K for the year ended December 31, 2015, as filed with the SEC on February 4, 2016.

SOURCE: Intercontinental Exchange

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