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ICE Data Indices has partnered with Zebra Capital to offer the NYSE Zebra Edge Index

Zebra Capital Management, LLC is an independent investment management firm managing equity-focused investment strategies. Founded in 2001 by Roger Ibbotson, Professor Emeritus of Finance at Yale University, Zebra has successfully combined his leading-edge research and scientific methods with decades of direct trading, risk management, and operational experience. Zebra's strategies seek to generate superior performance without incurring additional volatility.

Early in his career, Professor Roger Ibbotson realized that for different asset classes — like stocks, bonds and cash — more risk generally offers more return. When he looked specifically at stocks, the relationship wasn’t there — riskier stocks did not offer higher returns.

Ibbotson found his answer in popularity. The most popular and frequently traded stocks tend to provide below average returns. Ibbotson believed that stocks that were less popular had a better opportunity for returns.

The NYSE Zebra Edge Index (“The Zebra Index”) is designed by Ibbotson and his team at Zebra Capital to leverage the opportunity of less popular stocks and provide an opportunity for consistent long-term returns through bull and bear markets.

Key Terms

Cool stocks – Stocks that have experienced lower trading frequency over the last two years and lower volatility over the last three months and one year.
Hot stocks – Stocks that have experienced the highest trading frequency over the last two years and the highest volatility over the last three months and one year.


The NYSE Zebra Edge® Index won Structured Retail Product’s Americas Award 2017 for Proprietary Index of the Year, Americas. The index was developed with Roger Ibbotson and Zebra Capital, and is exclusively available with the Nationwide New Heights® Fixed Index Annuities, in partnership with UBS and Annexus.

Current Performance

DateTickerEOD Level1 Day ReturnMTD ReturnYTD Return1 Year Return2 Year Return

DescriptionClosing Weight (T)Opening Weight (T+1)
US Treasury Futures
Interest Free Cash

ICE Equity Sector Breakdown & Index Weighting

As of April 29, 2022

Source: ICE Uniform Sector Classification Schema

Q & A

Roger Ibbotson

Founder and Chief Investment Officer of Zebra Capital

Tell us about the NYSE Zebra Edge Index II.
You know, all of the things are connected or combined together for me because all of my life I’ve been putting together academic thought, and with it its implementation into practical investments. And so we developed the NYSE Zebra Edge Indices for the express purpose of capturing ways to get higher returns with lower volatility.

How does your recent research into “popularity” relate to your stocks and bonds research?
I’ve done a lot of work over the years on stocks, bonds, and bills of inflation – or SBBI – studying the risk and return relationships, and how the long term equity markets have performed.

Popularity, actually, adds a whole new dimension to this, because, in the case of popularity, we are looking at ways to actually get higher returns with lower volatility. So this is a great way to mix the two lines of work for me.

Tell us about popularity. Can you define that for us?
Popularity is avoiding the hot stocks and actually considering those cool stocks. The problem with those hot stocks is they’re too popular. And being too popular, that means, that we get too excited about them and they end up being too overpriced, really.

How do you measure popularity?
We measure popularity by looking at how much interest, how much tangible interest is in a stock. And you can see this by the trading volume. Stocks that trade too much are too popular and tend to be too highly priced.

Does popularity apply to all markets, even international markets?
Popularity applies to all types of markets – many types of stock and bond markets, real estate, anything. Anything that gets too popular – that people get too excited about – that may end up with too high of a price. We’ve specifically looked at a lot of international stock markets and I have to say that in almost every country that we looked at, the stocks that have a higher trading volume actually have lower returns.

How does it feel to be here at the New York Stock Exchange?
It's really exciting to be on the floor of the New York Stock Exchange where I’ll be ringing the Bell, and it's especially interesting because the ringing of the Bell will be connected with our new product launch, the NYSE Zebra Edge Indices.

John J. Holmgren

President of Zebra Capital

What do you think increased interest of “Smart Beta” strategies?
Investors are investing in smart beta to capture long-term premiums and the way they're doing that is looking at existing traditional indices that are cap-weighted, reweighting based upon the factor that they want to identify or they want to get the return from. The problem is that the factors become popular or the premiums become popular, and people invest in what’s popular.

The key to success in investing in these types of strategies is to invest in the less popular premiums—typically they’re underpriced.

Why are you excited to be here today?
The NYSE Zebra Edge Equity Indices are designed to capture the popularity premium while maintaining a low volatility profile. We’re very excited about doing these as it’s the first time we’re able to put together Roger’s research in these types of indices for investors to consider.

We at Zebra Capital are very excited to be working with the New York Stock Exchange creating these indices, which will hopefully provide investors with a great opportunity.

Monthly & Yearly Returns


Learn more about the NYSE Zebra Edge® Index

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