Tue, 08/07/2014 - 06:00
Source and Morgan Stanley have launched the Source Morgan Stanley Europe MEMO Plus UCITS ETF, which provides investors with provides exposure to the Morgan Stanley Europe MEMO Plus Strategy.
MEMO Plus aims to outperform the broad European equity market by exploiting the “month-end effect” whereby equities tend to perform better around the end of the month, when many investors receive and invest cash.
The Morgan Stanley Europe MEMO Plus Strategy aims to capture this performance, and thereby enhance returns. The MEMO Plus strategy combines continuous exposure to European equities with additional exposure, of 2x leverage, around month-end.
In simulations over the past 13 years, MEMO Plus has outperformed MSCI Europe by an average six per cent per annum.
“The month-end effect is a simple concept backed by academic research, but to capture it effectively you need to apply a dynamic approach,” says Aleksandar Ivanovic, managing director at Morgan Stanley.
MEMO Plus takes European equity exposure via the MSCI Europe Index. However, around month-end, it takes additional exposure, to a basket of six regional and country indices. Each month, MEMO Plus uses a proprietary algorithm to determine the optimal investment period for each index.
“Because the month-end effect is a behavioural pattern, it can vary slightly across markets and over time,” says Ivanovic. “By using a selection of regional and country indices, and by adjusting its investment periods, MEMO Plus can capture these variations and generate improved returns over the long term.”
“Source continues to deliver differentiated products to investors,” says Source CEO Ted Hood. “This fund provides exposure to a well-known market anomaly, via a smart strategy delivered in a convenient ETF format.”
The Source Morgan Stanley Europe MEMO Plus UCITS ETF trades on Deutsche Börse in EUR. The
management fee is 0.30 per cent per annum.
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