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Research & Insights

Indexes and benchmarks made clear

This guide provides an introduction to the various purposes indexes can serve and shares some of the important attributes one should consider when selecting an index.

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The anatomy of smart beta

Smart beta indexes have become increasingly popular in recent years, with nearly three-quarters of global institutional investors and asset owners now either using or evaluating smart beta index-based strategies for their portfolios. We examine the origins of smart beta, consider the variety of indexes on offer and their uses, and look into the future of this type of index.

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FTSE Russell China Bond Research Report Q12017

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

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The Russell 2000 Index: Small cap performance in a slow growth economic environment

FTSE Russell examines the performance of the US small cap market in periods of slow economic growth, as measured by the Russell 2000 Index, and discusses how institutions that seek to access the size factor premium via ETFs can further enhance returns through securities lending programs.

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Factor exposure and portfolio concentration

The objective of this paper is to assess the relative benefits and drawbacks of the various factor and multi-factor portfolio construction techniques through the lens of factor exposure and portfolio diversification. Academic and empirical evidence tells us that portfolio exposure to certain factors is a good thing, while modern portfolio theory emphasizes the importance of diversification.

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Whatever happened to Teldar Paper?

Teldar Paper was the fictional target of a hostile takeover by corporate raider Gordon Gekko in the now classic 1987 movie Wall Street. In the 30 years since the movie debuted, the paper industry has undergone major reorganization and consolidation of the sort that would have proven Gekko a visionary.

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The leopard’s spots: Russell Style Indexes keep growth and value in focus

“A leopard can’t change its spots,” is an old saying rooted in the belief that a person’s core character doesn’t change over time. The same cannot be said of the markets, public companies or investment strategies, which is why the Russell Style Indexes have become such powerful tools for portfolio measurement and construction.

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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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