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 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.
FTSE Russell announces the licensing of the FTSE China A50 Index to Harvest Fund Management (HFM). The Harvest FTSE China A50 Index ETF, listed on Shanghai Stock Exchange (SSE) today and is the first domestically listed ETF to track a FTSE Russell index.
FTSE Russell today announces the creation of a new index, the FTSE Blossom Japan index. The Government Pension Investment Fund (GPIF) of Japan has selected the index as a core ESG benchmark through its flagship fund. GPIF is the largest pension fund in the world with over $1.3tn* in assets.
Two massive storms wreaked havoc on people and property in two separate coastal regions of the southern US – Harvey in Texas and Irma in Florida. To what extent did the devastation negatively impact the stock market and particularly some specific sectors most vulnerable to severe storm damage?
After losing ground in July and August as reflected by a 0.5% negative return for the Russell 2000 Index, US small cap stocks have rebounded, rising 2.9% in September as of market close on September 20.
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