Examining the emergence of factor investing strategies and their uses within an institutional portfolio
Factor investing is growing in popularity. But how does it help investors manage their portfolios? In this article we show how factors draw upon the substantial heritage of quantitative investing to produce a versatile tool for use in a variety of investment contexts.
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- 2016. 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.
The Value style continued to assert its leadership in the cycle of style performance. Index data demonstrates that, regardless of cap size, defensive characteristics —companies with less economic sensitivity and more stable earnings profiles — are showing strength for the year, as are Value companies, as determined by higher relative Book-to-Price characteristics.
The first wave of smart beta index products was concerned with addressing index concentration and reducing volatility. Such products embed a set of implicit factor outcomes and were followed by products that explicitly targeted specific factor outcomes. In this article we provide an overview of why factors matter and how investors are using them.
As growing interest in smart beta is driven by risk- and return-based considerations, we provide examples of how smart beta indexes are being used by and illustrate the current use of smart beta through three case studies involving our clients.
There have been positive recent developments to open up the onshore Chinese bond market. This paper provides insights to the onshore China bond market by comparing characteristics of the FTSE Onshore China Bond Index Series and the European government bond markets.
Insights on what happened to the US listed real estate market during the most recent three periods of increases in the Fed Funds rate, giving special attention to the performance of different real estate sub-sectors.
China is now the world’s largest economy (when measured by purchasing power parity (PPP)) and the largest trading nation2. The country’s domestic currency bond market is the third-largest in the world, following the United States and Japan, and has been growing rapidly in recent years.
Capturing dividend growth stocks while maintaining representation and diversification
Interest among market participants is growing in “dividend growth” companies – those that pay increasing dividends over time. The Russell Dividend Growth Index Series is designed as a tool for use by market participants in this area, and the indexes are designed to avoid concentrated individual constituent or sector exposures. We examine the construction methodology, along with performance and characteristics of the indexes.
FTSE Russell, the global index and data provider, announces the launch of two new indexes tracking firms operating in the consumer goods and services index and listed on Singapore Exchange (SGX). The FTSE ST Consumer Goods & Services Index comprises the constituents in either the Consumer Goods or the Consumer Services Industries (ICB code 3000 or 5000) under the FTSE ST All-Share Index. The FTSE ST Consumer Goods & Services Liquid 20 Index comprises the most liquid stocks in the sector.
FTSE Russell, the global index provider, today announced the 2017 schedule for the annual reconstitution of its Russell US Indexes. The reconstitution process, closely watched by market participants, is designed to capture and reflect market shifts that have occurred in the past year to ensure investors continue to have the most accurate US equity market benchmarks.
By: Catherine Yoshimoto, Senior Index Product Manager
"Follow the yellow brick road” is perhaps the most famous advice ever uttered in movie history. But whether or not you imagine that the 2016 presidential election equates to the cyclone in The Wizard of Oz, President Trump has vowed to invest more in America’s basic infrastructure including roads. Even before the November election, interest in infrastructure was gaining ground. For market participants looking to track this segment, FTSE Russell offers an index series with a focus on infrastructure and infrastructure-related companies.
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