FTSE Russell Emerging and Frontier market Indexes are used by market participants worldwide to benchmark the performance of active and passive managers, and as the foundation of index tracking products.
A combination of transparent country classification, rules-based index methodologies and world leading index governance, has made FTSE Russell the Emerging Market index provider of choice for institutions worldwide.
Frontier Markets constitute the one segment of the equity market that is typically missing within institutional portfolios. These markets represent developing countries with high rates of economic growth, but small and relatively illiquid stock markets. Frontier Markets are often in their infancy and have attracted attention due to their diversification opportunities and growth potential.
The premise of a factor approach to indexes is to construct a stock index that has an intentional and greater exposure to a factor of interest than a given benchmark. By factor, we mean a stock level characteristic such as volatility or value represented by for example, Book to Price. When the benchmark is the Market Portfolio and a positive excess return (or factor premium) exists over the long term, this is often termed a “factor anomaly”, contradicting as it does the “Efficient Market Hypothesis”.
In this paper we construct and investigate the properties and robustness of a set of momentum factors. We also construct illustrative indexes, based on a preferred momentum definition and show that the resulting indexes exhibit a substantial exposure to momentum and relatively low levels of turnover.
We identify candidate momentum factors from a survey of the academic literature and current market practice. The candidate factors are assessed and formation and holding periods examined for the FTSE Developed universe over the period 2001 – 2014.
The value effect is one of the most studied market anomalies [2-5]. The value effect or value premium refers to the tendency of stocks with lower valuation ratios to earn above average returns over the long run. For example, the cross-sectional variation of stock returns across countries can be partly explained by a global value factor . Such a value effect has been observed across many different markets, regions and sample periods .
Following Asness et al. (2013), we consider quality as the consistent ability to generate strong future cash flows. We assess quality from several perspectives: profitability, operating efficiency, earnings quality (accruals) and leverage. Current profitability is related to future levels of profitability and the persistency of profitability is a key indicator of quality. Profitability improvements that are the result of increased operating efficiency or asset utilisation are likely to be more sustainable and therefore symptomatic of quality.
FTSE Russell announces the launch of four new benchmarks within the Russell Global Indexes. The Russell Developed Large Cap 100% Hedged to CAD indices are designed for Canadian market participants and capture specific global sector exposures.
FTSE Russell is delighted to announce the launch of £SONET (Sterling Secured Overnight Executed Transactions) following an industry-wide initiative to create a new secured reference rate for sterling overnight funds, in response to the Financial Stability Board’s July 2014 recommendations on the reform of major interest rate benchmarks. £SONET has been developed by FTSE Russell and London Stock Exchange Group, in partnership with Euroclear and leading inter-dealer brokers.
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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