ActiveBeta Strategies consist of two product lines:

• ActiveBeta Public Indices – Market capitalization-weighted Momentum and Value indices for global equity markets, offered in partnership with FTSE. These indices are called the FTSE ActiveBeta Index Series.
• ActiveBeta Portfolios – Characteristic- or signal-weighted Momentum and Value portfolios for global equity markets.

ActiveBeta Strategies provide an independent as well as combined capture of Momentum and Value stock characteristics. They are designed to:

• Be cost-effective for investors
• Significantly reduce the magnitude of potential short-term underperformance

Cost-Effective

ActiveBeta Public Indices provide a rules-based, passive capture of Momentum and Value stock characteristics. These indices are ideally suited to serve as the basis for investment vehicles that provide a low-cost, transparent, and high-capacity alternative to traditional active management for capturing Momentum and Value returns.

ActiveBeta Portfolios offer a high-efficiency, characteristic-weighted “beta capture” of Momentum and Value through an innovative, patent-pending portfolio construction technique. The management fees charged for ActiveBeta Portfolios are consistent with a beta capture philosophy. Also, Westpeak encourages and actively engages in designing fee structures that suit the specific needs of prospective clients. In addition, in order to provide easy and cost-effective implementation, ActiveBeta Portfolios are also offered in the form of a “custom” index, which asset owners can replicate either internally or through an external manager of their choice.

Limited Underperformance

While Momentum and Value depict significant cyclicality of returns, with periods of pronounced underperformance relative to the market, Momentum and Value active returns (i.e., returns in excess of the market) are also highly negatively correlated. The average correlation of annual returns for the Fama-French long-only large cap momentum and value portfolios is -20% over the 1940-2009 period.

Taking advantage of the risk reducing attributes of Momentum and Value active returns is our motivation for creating a combined Momentum and Value Index (MVI). For the FTSE ActiveBeta Indices and ActiveBeta Portfolios, the MVI outperforms the underlying market index and produces higher information ratios than the independent Momentum and Value indices in all markets (Developed and Emerging) and market segments (large and small), except for Japan. More importantly, the magnitude of the maximum underperformance relative to the market is at least 50% lower for the MVI compared to the independent Momentum and Value indices in all markets and market segments.

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