Blog

By: Mary Fjelstad, Senior Research Analyst

The economies of Brazil and Mexico followed radically divergent trajectories in 2015 and 2016 as macro-economic forces, currency movements and local economic developments worked on each country differently with strikingly different results for their stock markets as reflected in FTSE Russell indexes.

Experts from leading ETF issuers gathered with global index leader FTSE Russell at the annual Inside ETFs industry conference this week to discuss the growing popularity of multi-factor approaches and the implications for market participants of using multi-factor indexes.

By: Catherine Yoshimoto, Senior Index Product Manager

As the global Real Estate Investment Trust market has grown, market participants have looked for ways to track this market in its various segments, through the 36 countries represented in the FTSE EPRA/NAREIT Global Index as of December 2016. In this blog we look at the characteristics of REITs and the historical performance of the FTSE EPRA/NAREIT Global Real Estate Index Series post the 2008 global financial crisis.

The launch of Shenzhen-Hong Kong Stock Connect in early December signaled the continued expansion of access to the Chinese equity market to market participants outside of China. FTSE Russell has introduced the FTSE China A Innovative Enterprises Indexes to reflect the development.

US small-cap stocks, as reflected by the Russell 2000® Index, have continued their upward march since the US presidential election, with a 15.5% rise from November 8 through January 11. This compares to a 7.5% increase for US large-cap stocks as reflected by the Russell 1000 Index for this same period. And across small- and large-cap US stocks, value-oriented US stocks have recorded higher values than growth-oriented US stocks in this period.

By: Tom Goodwin, Senior Research Director

In a world where significant market volatility and drawdowns have become common-place, market participants are eager to find a means of maintaining equity market exposure while attempting to save themselves from the motion sickness associated with wild market swings. The minimum variance approach is one of several indexing options for risk/volatility reduction and is designed specifically to reduce volatility/risk at the index level.

By: Tom Goodwin, Senior Research Director

Our research into how equity markets have behaved in economic expansion/contraction periods in the past uncovered an empirical regularity in how the small cap premium behaves in and around recessionary periods. These historical patterns might prove useful guides for market participants in determining how to reduce recession risk.

Recent research from Pacer ETFs and FTSE Russell shows that the 100 largest companies in the US large-cap Russell 1000 Index with the highest free cash flow yields (free cash flow / enterprise value) have produced a higher return than the 100 largest Russell 1000 companies leading in other valuation metrics (detailed below) over the last 28 years through December 8, 2016.

By: Tom Goodwin, Senior Research Director

With the approach of the holiday season shopping frenzy, we have a perfect opportunity to observe basic human herding behavior as retailers quickly sell out of their hottest items. The fact is, people tend to be drawn to products that are highly promoted and desired by others. The same holds true for stocks as the hype—positive or negative—surrounding a company can drive market prices up or down. In a market-cap weighted index, these price changes are directly reflected in the stock’s weight within the index. But if we construct an index that breaks this link between market price and index weight, what market conditions would affect our new index?

The Russell 2000 Index, which measures US small-cap stocks, rose 16.6% from the US presidential election through December 9.