FRR 2024: a smart beta strategy operated with Fair Cost Index
In its 2024 Annual Report, the Fonds de Réserve pour les Retraites (FRR) outlines the implementation of a Eurozone Large & Mid-cap equity strategy based on the Equity GPS model. To deploy this approach, Equity GPS selected Fair Cost Index (FCI) to provide index administration (valuation) and day-to-day operational monitoring.
Key elements presented by the FRR:
- Equity GPS model: a systematic, objective framework grounded in academic research and 30 years of historical data.
- Portfolio design: liquidity and turnover constraints, decarbonisation objectives, and control of tracking error versus the capitalisation-weighted benchmark.
- FCI’s role: an ESMA-authorised index provider delivering customisable global equity indices with transparent, unbiased, and cost-efficient methodologies, responsible for index valuation and operational oversight.
Figures reported by the FRR:
- €205 million invested since 2021 in the strategy developed with Equity GPS and operated with FCI’s support.
- Estimated outperformance of approximately 13.5% versus the capitalisation-weighted benchmark as of end-2024, including over 6.2% in 2024 alone.
Supporting the French financial ecosystem
By choosing a France-based, ESMA-authorised benchmark administrator, the FRR helps strengthen the domestic financial ecosystem:
- Proximity and accountability: a local interlocutor for governance, methodology reviews, and operational controls.
- EU data and regulatory alignment: processes and infrastructure operated under EU/BMR rules and European data-protection standards.
- Economic footprint: engaging French expertise in index design, technology, and operations contributes to the broader French financial-services value chain.
About Fair Cost Index
Fair Cost Index is an ESMA-authorised benchmark administrator based in France, specialising in the design and production of customisable global equity indices for institutional investors. Our methodologies prioritise transparency, neutrality, and cost efficiency, in full alignment with the EU Benchmark Regulation (BMR).
