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Posts From FTSE Russell

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 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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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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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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