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.
Risk-based indexes are an important category of smart beta—they target different objectives and are commonly used to complement allocations to traditional capitalization-weighted approaches. In this article, we explore the most popular types of risk-based indexes and summarize their objectives.
REITs have enabled investors of all types to gain access to a regular income stream, a diversified portfolio of underlying properties and a link to the capital values of the portfolio holdings by means of companies with securities listed on a public stock exchange.
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 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 are no changes to the FTSE SET Large Cap Index
Six additions to the FTSE SET Mid Cap Index
15 additions to the FTSE SET Shariah Index
FTSE Russell today announces that there are no changes to the FTSE SET Large Cap Index, following the June 2017 semi-annual review.
The index series is reviewed semi-annually in accordance with the index ground rules.
As a re...
No changes to the constituents of the FTSE Bursa Malaysia KLCI
Six new constituents to be added to FTSE Bursa Malaysia Mid 70 Index
Two new constituents to be added to FTSE Bursa Malaysia Hijrah Shariah Index
FTSE Russell announces that there will be no changes to the constituents of the FTSE Bursa Malaysia KLCI, following the semi-annual review of the FTSE Bursa Mala...
In a relay race, the anchor leg is the final of four 100 meter sprints and is typically run by the fastest member of the team. But should the fastest runner always go last? One of the highest performing segments of the market for many years has been midcap. Midcap generally receives less attention than its better known large cap and small cap counterparts. But what if you repositioned midcap so that instead of running the anchor leg, they were first off the blocks by being grouped with small caps? The Russell 2500 Index does just that, allowing midcaps to run the first leg of the relay and have a bigger impact on the outcome.
The Chinese government has announced that the country’s $9 trillion bond market will now be accessible to overseas investors via the Bond Connect scheme with Hong Kong. Both corporate and government bonds are included in the scheme. This is the latest in a series of measures by China to open its financial markets to greater foreign investment.
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