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
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.
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.
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.
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.
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.
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.
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
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.
Three additions to the FTSE China A50 Index in this review period
One addition to the FTSE China 50 Index
FTSE Russell has today announced the results of the FTSE China Index Series quarterly review. BOE Technology Group, Jiangsu Hengrui Medicine and Baoshan Iron & Steel were added to the FTSE China A50 Index and. As a result, Shenwan Hongyuan Group, Guosen Securities and Greenla...
London Stock Exchange Group has reached an agreement with Citigroup Inc. to acquire The Yield Book and Citi Fixed Income Indices, a fixed income analytics platform and index business comprising a family of fixed income indices (including the WGBI) for a total cash consideration of $685 million (£535 million), subject to customary adjustments. Subject to regulatory clearance and other customary closing conditions, the transaction is anticipated to close in the second half of 2017.
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.
You are now leaving www.ftserussell.com to access a third party website. The link to the third party website has been provided for information purposes only and inclusion of this link does not imply any endorsement or approval from FTSE Russell. FTSE Russell shall not be responsible for the accuracy, lawfulness or content of any third party website or of subsequent links and does not make any representation whatsoever about the content of any third party website. FTSE Russell does not accept any liability, of any kind, to any person arising as a result of any loss or damage or indirectly from the use of any content on such third party website or subsequent links.