You are here

Research & Insights

Russell Stability Indexes: Performance of Russell 1000 combined style indexes in various market conditions


In 2010, Russell introduced its Stability (Defensive/Dynamic) Index Series to complement its valuation (Growth/Value) and size (Large/Small) indexes. The inclusion of Stability, the Russell-denoted “third dimension of style,” enhanced investors’ ability to more precisely identify risks and opportunities in equity markets.1 The Stability Indexes are constructed using a mix of Quality and Volatility characteristics, with more stable companies being classified as Defensive and less stable companies as Dynamic.2

View full details & download

Alternatively Weighted and Factor Indexes

 

Asset owners and asset managers are increasingly interested in so-called “smart beta” indexes, a category that includes factor and alternatively weighted indexes. In a series of four FTSE Russell Insights, we explore the concept of factors in depth. We examine the differences between factor indexes and other types of smart beta index, illustrate how factor exposure is embedded in an index and suggest how factors can be combined most effectively.

View full details & download

Factors and Factor Exposures

 

Asset owners and asset managers are increasingly interested in so-called “smart beta” indexes, a category that includes factor and alternatively weighted indexes. In a series of four FTSE Russell Insights, we explore the concept of factors in depth. We examine the differences between factor indexes and other types of smart beta indexes, illustrate how factor exposure is embedded in an index and suggest how factors can be combined most effectively.

View full details & download

Getting defensive about the small cap premium

  • The small cap premium has long been a staple of equity investing, but recently some practitioners have called its very existence into question.
  • New research suggests that the mix of quality, volatility and size factors is important. This is confirmed with an analysis of the Russell 2000® Defensive Index, which combines these three factors and exhibits a strong small cap premium.
  • The performance of the Russell 2000® Defensive Index points the way to exploring further multifactor combinations in the small cap asset class.
View full details & download

Managing the Transition with FTSE Global China A Inclusion Indexes

On May 26, 2015, FTSE Russell introduced the FTSE Global China A Inclusion Indexes as a transitional tool in preparation for the potential inclusion of China A-shares in its widely followed global benchmarks. These indexes were designed in response to the gradual liberalization of the Chinese capital markets, as evidenced by the growth of the QFII and RQFII schemes and the introduction of the Shanghai-Hong Kong Stock Connect program.

View full details & download

Multifactor Indexes: The Power of Tilting

It wasn’t too long ago that the concept of factors in investing was the exclusive province of professors of finance and a few active “quant” managers. Mainstream portfolio construction was focused primarily on asset allocation. Within equities, that meant achieving the right balance in allocation to various segments such as large cap and small cap, country and sector, and perhaps value and growth style.

View full details & download

Styles vs. Factors: What they are, how they’re similar/different and how they fit within portfolios

  • Traditional style indexes – such as growth and value, large and small cap – are designed to represent broad market segments based on investment styles and sets of characteristics that are focused on by professional investment managers, making them excellent benchmarks for evaluating the skill of active managers.
View full details & download

Russell/Nomura Japan Equity Indexes: 20 years of excellence

In 1995, Nomura Research Institute and Frank Russell Company’s index group partnered to create the Russell/Nomura Japan Equity Indexes (RNJEI) as benchmarks for the Japanese equity market. The year 2015 marks the 20th anniversary of the creation of the RNJEI series and provides a good opportunity to evaluate the effectiveness of the indexes.

The RNJEI series was created to accomplish several objectives:1

View full details & download

Inflation-linked bonds

What are inflation-linked bonds?

Inflation-linked bonds are bonds whose interest payments and principal (the payment made by the issuer at maturity) are linked to an index of inflation.

By contrast, the interest payments and principal value of conventional bonds are fixed in nominal (money) terms.

Investors in inflation-linked bonds

View full details & download

The objectives of factor indexes

What are factors?

In finance and investment theory, factors are variables that drive equity returns. In recent decades there has been great interest in identifying factors that help explain equities’ behavior, and factor research has been actively pursued across other asset classes, such as fixed income and currencies.

View full details & download

Pages