Source, a European Exchange Traded Funds provider, has joined forces with Morgan Stanley to launch the Source Morgan Stanley Europe MEMO Plus UCITS ETF (EMSE).
The ETF, which based on the Morgan Stanley Europe MEMO Plus Strategy, seeks to outperform the broad European equity market by exploiting the month-end effect.
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Source said that the MEMO Plus Strategy is a proprietary strategy index developed by Morgan Stanley that aims to capitalise on one of the most persistent patterns in equity markets.
The month?end effect argues that stock tend to perform better around the end of the month, as many investors receive and invest cash at this time.
The Ireland-domiciled ETF, which trades on Deutsche Börse in EUR, has a management fee of 0.30% per annum.
Aleksandar Ivanovic, managing director at Morgan Stanley, said: "The month-end effect is a simple concept backed by academic research, but to capture it effectively you need to apply a dynamic approach 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.
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By GlobalData"Because the month-end effect is a behavioural pattern, it can vary slightly across markets and over time. 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," added Ivanovic.
Ted Hood, CEO of Source, said: "Source continues to deliver differentiated products to investors. This fund provides exposure to a well-known market anomaly, via a smart strategy delivered in a convenient ETF format."
