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Research & Insights

Factor exposure and portfolio concentration

The objective of this paper is to assess the relative benefits and drawbacks of the various factor and multi-factor portfolio construction techniques through the lens of factor exposure and portfolio diversification. Academic and empirical evidence tells us that portfolio exposure to certain factors is a good thing, while modern portfolio theory emphasizes the importance of diversification.

The Russell 2000 Index: Small cap performance in a slow growth economic environment

FTSE Russell examines the performance of the US small cap market in periods of slow economic growth, as measured by the Russell 2000 Index, and discusses how institutions that seek to access the size factor premium via ETFs can further enhance returns through securities lending programs.

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Whatever happened to Teldar Paper?

Teldar Paper was the fictional target of a hostile takeover by corporate raider Gordon Gekko in the now classic 1987 movie Wall Street. In the 30 years since the movie debuted, the paper industry has undergone major reorganization and consolidation of the sort that would have proven Gekko a visionary.

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The leopard’s spots: Russell Style Indexes keep growth and value in focus

“A leopard can’t change its spots,” is an old saying rooted in the belief that a person’s core character doesn’t change over time. The same cannot be said of the markets, public companies or investment strategies, which is why the Russell Style Indexes have become such powerful tools for portfolio measurement and construction.

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Capturing the Chinese A-shares and H-shares Anomaly

The behavior of the price differential between A-shares and H-shares of dual-listed companies will be studied in this article for the sample period from 2006- 2017. This paper discusses whether a share class selection mechanism applied to a universe of Chinese stocks can deliver a superior return/risk reward outcome compared to a market-capitalization weighted China A-shares benchmark.

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Leveraging factors without using leverage: FTSE Russell Multi-factor Indexes

The debate goes on about the best way to construct a multi-factor index: a “mixed” composite of individual factors versus an “integrated,” bottom-up approach of simultaneous factor exposures.

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Equal weighting the Russell 1000 Index

Equal weight indexes are the simplest type of alternatively-weighted index. By comparison to the standard index construction method of capitalization weighting, an equal weight index is indifferent to a stock's market value.

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Diversification, liquidity and transparency in global-listed real estate

Listed real estate securities offer investors the opportunity to access the commercial real estate market with the added liquidity, transparency and regulation associated with publicly traded stocks.

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FTSE Russell China Bond Research Report

The February 2017 report provides recent insights on the China Bond market including performance of the FTSE Russell China Bond Indexes.


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Small Cap Perspectives: Russell 2000 Index 3Q2016 Analysis

No big worries? Global uncertainties loom, but equities continue positive momentum, for now. Despite a bundle of uncertainties, the market seems to have shrugged off the worries in the third quarter.

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