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Index IDEA: Size & Liquidity factors as top Developed European market influencers

Size has been the biggest factor performance driver within the FTSE Developed Europe Index in 2015, with a +6.3% return year-to-date as of 30 November, according to recent analysis by global index provider FTSE Russell. Liquidity has been the second strongest performing factor (+5.4%) for this same time period. The lowest performing market factor within Developed Europe this year has been Yield, which has fallen 3.2% YTD, according to the same report.

Gareth Parker, Senior Index Research Director, FTSE Russell:

“Investors have long recognised that underlying factors such as quality, size, value, volatility, liquidity, yield and momentum help influence equity market performance. However, in recent years they have been able to take a more nuanced approach to understanding the influence of these factors through smart beta indexes.”

According to the second annual global institutional smart beta survey from FTSE Russell – Smart beta: 2015 global survey findings from asset owners - published in May,  asset owners are evaluating on average four different smart beta strategies. And among new smart beta approaches evaluated by asset owners globally, a multi-factor combination index approach ranks second to low volatility at 47%.

More information on the FTSE Russell global institutional smart beta survey and the FTSE Russell Global Factor Index Series can be found on the FTSE Russell website. More research and insights from Gareth Parker and other FTSE Russell index experts can be found on the new FTSE Russell blog.


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Opinions expressed by Gareth Parker are as of December 8, 2015, and are subject to change.

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