FTSE Global Factor Index Series

The FTSE Global Factor Index Series is a suite of benchmarks designed to represent the performance of specific factor characteristics, with six single factor indexes and additional combinations of factors comprising the index series. The six factors represent common factor characteristics for which there is a broad academic and practitioner consensus, supported by a body of empirical evidence across different geographies and time periods. The factors targeted are: Quality, Value, Momentum, Low Volatility, Size and Yield.

The Indexes are based on the market cap weighted FTSE All-World, Russell U.S. and FTSE UK indexes. The FTSE Global Factor Index series uses a transparent methodology to achieve a controlled exposure to a target factor, whilst considering levels of diversification and capacity.

FTSE Target Exposure Indexes

The FTSE Target Exposure Indexes are a suite of benchmarks designed to target specific characteristics - such as factor, climate and ESG exposures - while minimizing all off-target, consequential exposures. Target exposures are completely flexible and can be combined to cater to specific client objectives. The Target Exposure Index Series employs FTSE Russell’s established Tilt-Tilt methodology. This “bottom up” rules-based framework successively applies tilts to capture targeted exposures and applies corrective tilts to neutralise and/or minimise all off-target exposures.

  • The full list of Multi-Factor Indexes is available here.
  • For more information please visit our Target Exposure spotlight.
  • Contact us about licensing smart beta and factor index data here.

Index rules should be read in conjunction with supportingFTSE Russell noticesThese notices advise of advance changes in index methodology, which may not be reflected in index rules until the change effective date. The notices may also communicate revisions in index treatment in the period up to a rule change.