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Research & Insights

Multi-factor 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 styles.

International investment and the US dollar

In 2015 FTSE Russell launched a series of international equity indexes for the USD-based investor that are 50% USD hedged to help investors evaluate their currency exposures and their hedging strategies when investing in foreign equities. This paper updates the research on the behavior of these indexes through June 2017; the results are consistent with earlier published findings.

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Industry Classification Benchmark: Structural enhancements to the industry categorization framework

In this paper we describe the enhancements to the ICB framework, outline the rationale for key changes to its structure and summarize the impact of the proposed changes.

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The intuitive foundations of smart beta

We focus on some smart beta index construction approaches that follow relatively simple, intuitive weighting schemes. Regardless of their methodology, all FTSE Russell smart beta indexes follow transparent, consistent rules in order to achieve the stated index objectives.

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FTSE Russell China Bond Research Report Q2 2017

The August 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 1000 Equal Weight Index: Reduced concentration risk and enhanced diversification

Equal weighting is the oldest of alternative weighting methods and it has had staying power for good reason. We explore the attributes of equal weighting and explore FTSE Russell’s enhanced methodology, which has an added benefit over simple constituent equal weighting by enhancing sector diversification.

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Trends and outlook for smart beta

We drill down on some of the more interesting aspects of the 2017 FTSE Russell global smart beta survey and provide our perspective on the outlook for the future.

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From niche to norm

FTSE Russell has designed the FTSE Blossom Japan Index to help investors and other market participants integrate and promote ESG considerations. The index can be used to enhance ESG exposure while maintaining the index characteristics of a broad market benchmark, and also provides a strong basis for corporate engagement.

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日本版スチュワードシップ・コードの導入は、機関投資家による投資先企業の責任あるオーナーシップを促進する役割を果たしています。 このコードは2014年、投資と対話を通じて企業の持続的成長を促進するために、金融庁により導入されました。

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Smart sustainability: Giving pension providers controlled sustainable exposure

The next phase in the evolution of both smart beta and sustainable investing has begun. FTSE Russell is providing a flexible framework and tools to combine a variety of sustainability and risk premia factors together into new indexes.

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