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Posts From FTSE Russell

Recovery headwinds spur large-cap Growth rebound

Recovery headwinds spur large-cap Growth rebound

🕔16:46, 3.Nov 2021

The robust reopening rally in US stocks lost steam in Q3, mired by broad September losses, as investors recalibrated expectations for the US recovery, inflation and Fed policy support. Amid big swings in risk appetite and a late-quarter bondmarket selloff,

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Incorporating ESG into US equity benchmarks

Incorporating ESG into US equity benchmarks

🕔09:01, 27.Oct 2021

Investors who want to incorporate ESG considerations into a broad US market passive portfolio have traditionally had to accept a certain (often high) level of deviation from the risk and return characteristics of the underlying benchmark. 

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Do factors carry information about the economic cycle?

Do factors carry information about the economic cycle?

🕔08:14, 24.Feb 2021

Institutional investors often pose the question of how factors perform across economic cycles. The concept of a normalized cycle has come under pressure in the post-Global Financial Crisis (GFC) era that has seen sustained quantitative easing (QE), financial repression and lower …

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The Right ETF Starts with the Right Index

The Right ETF Starts with the Right Index

🕔11:34, 27.Nov 2020

Deeper knowledge about how indexes work can drive better portfolio outcomes for wealth advisors  Because an index is a hypothetical basket of securities, it cannot be invested in directly. However, indexes are often licensed by fund managers to be used

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Targeted sustainability

Targeted sustainability

🕔14:47, 30.Oct 2020

This paper discusses how: multiple SI objectives can be incorporated in an index in a transparent and flexible manner. the Target Exposure methodology is an evolution of FTSE Russell’s tilting methodology, which fits well with the increasing demand for index

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Sizing the green economy: Green Revenues and the EU taxonomy

Sizing the green economy: Green Revenues and the EU taxonomy

🕔14:42, 13.Oct 2020

The greening of the global economy presents significant opportunities. However, investors and policymakers face a common challenge: How can green business activities be systematically identified, categorized, and measured across diverse sectors, supply chains and asset classes to mobilize investment at

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FTSE Russell study on EU Paris aligned benchmarks

FTSE Russell study on EU Paris aligned benchmarks

🕔14:53, 2.Oct 2020

Climate transition benchmarks have become a focal point for investors looking to integrate climate risks into their portfolios and align them with the climate goals of the Paris Agreement (or "Paris-aligned" benchmarks). This has fueled an active interest among investor

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ESG scores and beyond (Part 1)

ESG scores and beyond (Part 1)

🕔11:31, 2.Oct 2020

Factor control: Isolating specific biases in ESG ratings  Based on the FTSE Russell ESG scores, which cover nearly 4,700 companies, this report provides a) a deep analysis of the three external factors (or biases)—size, activity and country—that historically may have

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Sizing the green economy: Green Revenues and the EU taxonomy

Sizing the green economy: Green Revenues and the EU taxonomy

🕔11:32, 16.Sep 2020

The greening of the global economy presents significant opportunities to investors. However, investors and policymakers face a common challenge: How can green business activities be systematically identified, categorized …

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Smart Sustainability: 2020 global survey findings from asset owners

Smart Sustainability: 2020 global survey findings from asset owners

🕔09:26, 10.Aug 2020

Back in 2017, when we first asked questions to ascertain if asset owners were thinking of applying sustainability considerations to smart beta, we were surprised to find out …

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Real Estate and Defined Contribution Plans

Real Estate and Defined Contribution Plans

🕔15:28, 17.Jul 2020

While exposure to the real estate asset class is common in defined benefit (DB) plans, this has only become a more recent occurrence in defined contribution (DC) plans. Many target date funds (TDFs) have now started to provide exposure to

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FTSE Russell Study on EU Paris-aligned Benchmarks

FTSE Russell Study on EU Paris-aligned Benchmarks

🕔15:27, 17.Jul 2020

This paper presents the results of a FTSE Russell study examining the creation of a climate-focused FTSE All-World Paris-aligned Benchmark (PAB) Index. Such a benchmark is intended to satisfy the requirements for an EU Paris-aligned …

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Chinese bond market – Evolution and characteristics

Chinese bond market – Evolution and characteristics

🕔15:20, 17.Jul 2020

Since the free-market reforms of the late-1970s, the Chinese economy has been transformed from an agrarian base to a manufacturing led economy, averaging 9.5% GDP growth from 1979 to 2018. 1 China issued foreign bonds from 1861- 1950 to finance

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Portfolio factor allocation schemes

Portfolio factor allocation schemes

🕔15:05, 15.May 2020

The decision over which factors to allocate to, and in what magnitude, has a significant impact on investment outcomes and is an important consideration for investors employing a factor approach to achieve investment objectives. It is analogous to the asset

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Global Market Outlook – Q2 update

Global Market Outlook – Q2 update

🕔08:28, 30.Mar 2020

Cycle, Further, Interrupted. The COVID-19 virus has stalled the mini-cycle rebound and made a global recession likely. While the duration of the virus pandemic is unpredictable, policy stimulus, pent-up demand and a lack of major imbalances argue for a solid

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Research Target Exposure: Investment applications and solutions

Research Target Exposure: Investment applications and solutions

🕔16:19, 20.Mar 2020

Factor strategies differ significantly in terms of portfolio construction. There is much debate regarding the pros and cons of alternative construction approaches. A vigorous debate has unfurled over the best way to combine factors into a single portfolio, with some

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Research Target Exposure: Investment applications and solution

Research Target Exposure: Investment applications and solution

🕔13:04, 24.Feb 2020

Factor portfolio construction Most portfolio construction methodologies have some mechanism that permits the levels of factor exposure to be ratcheted up and down; however, factor exposure is rarely the main objective and an alternative decision metric is commonly employed. Examples

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Appraising home bias exposure

Appraising home bias exposure

🕔06:56, 30.Jan 2020

Eurozone  This paper explores the investment impact of the large and persistent home bias in the equity allocations of the five largest European pension fund markets since the global financial crisis. For this study, we examined the characteristics, performance and

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Investing In Emerging Market Equities, Europe 2019

Investing In Emerging Market Equities, Europe 2019

🕔13:34, 12.Dec 2019

How is the tension between the US and China affecting the appetite for investing in Emerging Market equities – what are the global implications? Tension, Tariffs and Trade Wars The role of China in emerging markets Evaluating the impact of

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Factor investing considerations

Factor investing considerations

🕔09:29, 11.Dec 2019

Questions and Answers FTSE Russell has produced a series of papers that examine topical factor investing issues. This note consolidates the main findings. Readers interested in the details are encouraged to refer to the original papers [1, 2, 3, 4].

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Appraising home bias exposure

Appraising home bias exposure

🕔13:15, 30.Nov 2019

This paper assesses both the extent and impact of home bias in the equity allocation of five large pension fund markets by examining the characteristics, performance and return/risk profiles of each market. The findings reveal interesting variations in the impact

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How could climate change impact sovereign risk?

How could climate change impact sovereign risk?

🕔16:38, 28.Nov 2019

In this paper, we introduce the notions of climate risks and how they would translate into sovereign risk. Physical risks correspond to the potential economic and financial losses caused by climate-related hazards and are divided in two categories: acute hazards

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Fallen Angels in the US credit market

Fallen Angels in the US credit market

🕔17:59, 7.Oct 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.Mar 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.Oct 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.Oct 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.May 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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Small cap perspectives

Small cap perspectives

🕔11:02, 17.May 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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Embracing China’s economic shift through the Total China Concept

Embracing China’s economic shift through the Total China Concept

🕔11:02, 17.May 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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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.Mar 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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Implementation considerations for factor investing

Implementation considerations for factor investing

🕔13:02, 14.Mar 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 beta or

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Multi-factor indexes: The power of tilting

Multi-factor indexes: The power of tilting

🕔01:02, 7.Mar 2018

It wasn’t too long ago that the concept of factors in investing was the exclusive province of professors of finance and a few active “quant” managers. Mainstream portfolio construction was focused primarily on asset allocation. Within equities, that meant achieving

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Incorporating diversity into passive investments

Incorporating diversity into passive investments

🕔17:02, 21.Feb 2018

FTSE Russell designed the FTSE Women on Boards Leadership Index Series to help investors and other market participants integrate leadership in gender diversity into a broad market benchmark. These indexes increase exposure to companies based on the strength of their

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