Smart beta indexes have become increasingly popular in recent years, with nearly three-quarters of global institutional investors and asset owners now either using or evaluating smart beta index-based strategies for their portfolios. We examine the origins of smart beta, consider the variety of indexes on offer and their uses, and look into the future of this type of index.
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.
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.
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.
“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.
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.
Today, FTSE Russell posted its official preliminary lists of companies set to enter or leave the US broad-market Russell 3000 Index and the Russell Microcap Index when the Russell US Indexes undergo their annual rebalance after US markets close on Friday, June 23. The lists of projected additions and deletions for the Russell US Indexes are now available on the FTSE Russell website.
By: Catherine Yoshimoto, senior index product manager
The Russell Equal Weight Index Series applies a two-tiered equal weighting methodology – first, to equally weight each sector and then to apply an equal weighting to each constituent within that sector resulting in increased diversification.
The FTSE Russell Smart Beta: 2017 Global Survey Findings from Asset Owners report has revealed growing interest in both smart beta and sustainability investing over the last few years. Now there is a way to combine the two strategies that could maximize the desired exposures.
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