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Artikelen van FTSE Russell

Fallen Angels in the US credit market

Fallen Angels in the US credit market

🕔17:59, 7.okt 2019

Characteristics, historical performance and differences between the current credit cycle and earlier regimes  A Fallen Angel (FA) is a corporate, or sovereign, bond downgraded from Investment Grade (IG) (minimum rating of BBB- with S&P, Moody’s or Fitch) to a High

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Reclassification of Saudi Arabia to Secondary Emerging Market Status

Reclassification of Saudi Arabia to Secondary Emerging Market Status

🕔18:31, 9.sep 2019

Saudi Arabia is projected to have an index weight within FTSE Global Equity Index Series (GEIS) of 0.31% and 2.86% within the FTSE Emerging All Cap Index (see Q16). Due to this projected size in the Emerging index, FTSE Russell

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Managing market volatility

Managing market volatility

🕔18:14, 9.sep 2019

How are defensive market strategies evolving today? Volatility is higher than in 2017, but not in a long-term context Brexit has been more concerning to investors than the China-US trade wars Investors are not driven to change strategy according to

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Russell US Indexes – 40 years of insights

Russell US Indexes – 40 years of insights

🕔17:55, 23.aug 2019

The Russell US Indexes were created in 1984 by the Frank Russell Company (now part of FTSE Russell) with the goal of providing accurate representation of the investable US equity market. When initially introduced, the Russell indexes provided five years

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The size exposure spectrum and factor tilts

The size exposure spectrum and factor tilts

🕔17:18, 2.aug 2019

In this note, we illustrate that capitalization weighting, equal weighting and inverse market-capitalization weighting schemes are special cases of a more general class of factor tilt indexes that embed specific and explicit levels of size exposure. This is of direct relevance

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Smart beta: 2019 global survey findings from asset owners

Smart beta: 2019 global survey findings from asset owners

🕔11:03, 11.jun 2019

FTSE Russell is proud to present the sixth annual survey of global institutional asset owners’ attitudes toward evaluation and adoption of smart beta. Each year we have surveyed decision makers across a broad spectrum of AUM tiers and organizational types

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Smart Sustainability: 2019 global survey findings from asset owners

Smart Sustainability: 2019 global survey findings from asset owners

🕔11:03, 11.jun 2019

For the last six years we’ve conducted and published the FTSE Russell Smart Beta survey of asset owners. With each passing year we learn more details about asset owners’ awareness, attitudes and behavior related to smart beta, and we continue

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The Carry Concept

The Carry Concept

🕔17:02, 7.jun 2019

FTSE Fixed Income Factor Research Series As a well-known concept to practitioners and academics, carry has been leveraged in the currency markets for decades. With the understanding of such FX carry trades becoming established, recent academic publications have explored this

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Factor valuation considerations

Factor valuation considerations

🕔15:02, 21.mrt 2019

Introduction Factor investing is increasingly in vogue with estimates of passive assets tracking such strategies reaching US$729bn [1], [2]. This popularity has led investors, academics and practitioners to question the extent to which factor premiums may have been arbitraged away

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Implementation considerations for defensive strategies

Implementation considerations for defensive strategies

🕔13:02, 14.feb 2019

With the increased availability of non-cap-weighted indexes, investors can now make more efficient allocation decisions by more precisely mapping their investment goals and constraints to the strategies used to build their portfolios. This requires a deep understanding of their investment

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Building blocks for the low carbon economy

Building blocks for the low carbon economy

🕔14:03, 13.dec 2018

Climate change poses clear and material risks to real estate assets with the potential to impact return profiles. This paper focuses on listed real estate, which historically has lacked appropriate tools to allow investors to assess their exposure to climate

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Alternative Approaches to Multi-Factor Index Construction: Like-for-Like Comparisons

Alternative Approaches to Multi-Factor Index Construction: Like-for-Like Comparisons

🕔17:02, 20.nov 2018

In this paper we undertake a theoretical comparison of the exposure and diversification outcomes of multi-factor portfolios that use a Composite Index, a Composite Factor and a Multiple Tilt approach to index construction. A Composite Index is characterized as a

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Factor Investing 2018

Factor Investing 2018

🕔13:02, 10.nov 2018

Points Of Discussion Factors allow for a high level of portfolio customization at a reasonable cost It is important that investors understand the factor exposures they need and have a flexible investment process Factors such as value, size, and momentum,

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FTSE Annual Country Classification Review

FTSE Annual Country Classification Review

🕔11:02, 17.okt 2018

China A to be assigned Secondary Emerging market status commencing June 2019 Iceland to be assigned Frontier market status in September 2019 Romania to be retained on the Watch List as a Frontier market New additions to the Watch List:

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Factor Indexes and Factor Exposure Matching: Like-for-Like Comparisons

Factor Indexes and Factor Exposure Matching: Like-for-Like Comparisons

🕔11:02, 11.okt 2018

The academic literature tells us that for suitably diversified portfolios, factors drive risk and performance outcomes (see for example [1, 2]). If this is the case, then well-diversified portfolios with identical factor exposures should have similar performance characteristics despite originating

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Understanding China’s Economic and Market Developments: Managing China’s Transition Into Global Benchmarks

Understanding China’s Economic and Market Developments: Managing China’s Transition Into Global Benchmarks

🕔09:02, 27.sep 2018

Since the introduction of economic reforms some 50 years ago, China’s economy has metamorphosed into a formidable driver of global growth as it opens its market to international investors. This growth has been driven by decades of policy and economic

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Five-year trends and outlook for smart beta

Five-year trends and outlook for smart beta

🕔11:02, 12.jul 2018

Insights from the 2014-2018 FTSE Russell global smart beta surveys This is the 5th year of the FTSE Russell smart beta global asset owner survey. This milestone presents an opportunity to look back and reflect on how smart beta indexes

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Investing in the global green economy: busting common myths

Investing in the global green economy: busting common myths

🕔17:02, 17.jun 2018

Executive summary Until now the transition to a sustainable and “green” economy1 has been a loose concept rather than a defined, investable, industrial system. This lack of definition and data has led to the impression that it is of limited

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Stewardship, Transition and Engagement Program for Change

Stewardship, Transition and Engagement Program for Change

🕔17:02, 17.jun 2018

2018 STEP Change Report Growing numbers of asset owners, asset managers and others involved in the investment chain now routinely consider stewardship and sustainability themes as core investment priorities. Around the world, they are taking action to integrate sustainability themes

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Investing in the global green economy: busting common myths

Investing in the global green economy: busting common myths

🕔17:02, 5.jun 2018

Until now the transition to a sustainable and “green” economy1 has been a loose conceptratherthan a defined, investable, industrial system. This lack of definition and data has led to the impression that itis of limited size; small cap dominated; lacking

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Smart beta: 2018 global survey findings from asset owners

Smart beta: 2018 global survey findings from asset owners

🕔11:02, 22.mei 2018

FTSE Russell is proud to present the fifth annual survey of global institutional asset owners’ attitudes toward evaluation and adoption of smart beta. Each year we have surveyed decision makers across a broad spectrum of AUM tiers and organizational types

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Embracing China’s economic shift through the Total China Concept

Embracing China’s economic shift through the Total China Concept

🕔11:02, 17.mei 2018

The China equity market landscape has changed dramatically since FTSE Russell became the first international index provider to launch mainland indexes back in 2001. The number of Chinese listings domestically and abroad has grown rapidly as has its share of

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Small cap perspectives

Small cap perspectives

🕔11:02, 17.mei 2018

The first quarter came in like a lamb and went out like a lion. At the beginning of the year, stocks recorded a string of record highs as the market absorbed the benefits of reduced tax rates that had just

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Saudi Arabia Reclassification

Saudi Arabia Reclassification

🕔13:02, 26.apr 2018

FTSE Russell announced the classification of Saudi Arabia as a Secondary Emerging market within the FTSE Global Equity Index Series (GEIS) on March 28, 2018, as part of the Country Classification Interim Update. The Kingdom’s entry into the international equity

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Implementation considerations for factor investing

Implementation considerations for factor investing

🕔13:02, 17.mrt 2018

March 2018 Investors of large pension funds or insurance companies should care about factors. They are systematic drivers of portfolio risk and return and at the heart of risk management tools. A more recent offering is the introduction of smart

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