Research & Insights
Alternative approaches to multi-factor index construction: Like-for-like comparisons
Factor index construction is currently a widely discussed topic among institutional investors and asset managers, particularly whether the construction of multi-factor indexes should be top-down or bottom-up. In this paper, we compare the exposure and diversification outcomes of multi-factor portfolios that use a composite index, a composite factor and a multiple tilt approach to index construction.
Fixed Income Factor Research Series - The Value Effect
While there are a variety of widely-accepted metrics for defining and capturing the value factor in equities, there has not been nearly such a widely-accepted approach for capturing the value effect in fixed income. In this paper we demonstrate our first analysis of value in fixed income and outline our approach to it by utilizing a model-implied OAS framework to identify under- and over-valued securities.
Press Releases
LSEG appoints Chief Data Officer for its Information Services Division
London Stock Exchange Group (LSEG) today announced that Thomas K. (Tom) Dunlap has joined as Chief Data Officer (CDO) for its Information Services Division, which includes leading global index provider FTSE Russell.
Merseyside Pension Fund selects FTSE Russell for new Smart Sustainability index
Top 5 UK Local Government Pension Scheme commits to ‘Smart Sustainability’ multi-factor climate index Global equity index will combine comprehensive factor exposure alongside climate change considerations New index expected to launch in November 2018 FTSE Russell collaborating with Merseyside Pension Fund to support the Fund’s Climate Risk Strategy Growing trend among asset own...