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Research & Insights

Capturing the Chinese A-shares and H-shares Anomaly

The behavior of the price differential between A-shares and H-shares of dual-listed companies will be studied in this article for the sample period from 2006- 2017. This paper discusses whether a share class selection mechanism applied to a universe of Chinese stocks can deliver a superior return/risk reward outcome compared to a market-capitalization weighted China A-shares benchmark.

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Leveraging factors without using leverage: FTSE Russell Multi-factor Indexes

The debate goes on about the best way to construct a multi-factor index: a “mixed” composite of individual factors versus an “integrated,” bottom-up approach of simultaneous factor exposures.

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Equal weighting the Russell 1000 Index

Equal weight indexes are the simplest type of alternatively-weighted index. By comparison to the standard index construction method of capitalization weighting, an equal weight index is indifferent to a stock's market value.

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Diversification, liquidity and transparency in global-listed real estate

Listed real estate securities offer investors the opportunity to access the commercial real estate market with the added liquidity, transparency and regulation associated with publicly traded stocks.

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FTSE Russell China Bond Research Report

The February 2017 report provides recent insights on the China Bond market including performance of the FTSE Russell China Bond Indexes.

 

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Small Cap Perspectives: Russell 2000 Index 4Q2016 Analysis

The fourth quarter reaction of the Russell 2000 Index’s Financial Services Sector to Donald Trump’s election as President of the United States suggests that the market is anticipating another such period of enhanced profitability, particularly for banks.

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Small Cap Perspectives: Russell 2000 Index 3Q2016 Analysis

No big worries? Global uncertainties loom, but equities continue positive momentum, for now. Despite a bundle of uncertainties, the market seems to have shrugged off the worries in the third quarter.

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Volatility reduction: How minimum variance indexes work

The final article in a series covering risk-based indexes and their applications, reviews minimum variance indexes in detail.

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Understanding risk-based index construction

In this article we look into the construction methods of risk-based indexes and compare approaches to achieving volatility reduction and/or improved diversification.

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The US small cap premium and the business cycle

How have US small cap stocks as represented by the Russell 2000 performed historically at the end of an economic expansion? Previous research has shown a tendency for small caps to move into positive territory in advance of economic troughs, before recessions end. In the present research paper, we add to this body of work by examining the historical performance of the Russell 2000 around the five expansionary peaks of the US economy identified by the National Bureau of Economic Research (NBER) since 1979.

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