FTSE Russell

FTSE Russell China Bond Research Report Q4 2019

March 27, 2020
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#China

Foreign holdings of China bonds have grown at an annual compounded rate of 38% in the past two years, from 1.1 trillion CNY as of December 2017, to 2.2 trillion CNY by December 2019.

FTSE Russell

How REITs deliver access to the new economy

March 19, 2020
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#Real Estate

The growth and evolution of the REIT sector has given rise to an important new dimension of portfolio diversification. The REIT universe has expanded greatly beyond the property sectors institutional investors...

FTSE Russell

Russell 2000 - Forty Years of Insights

March 19, 2020
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#Equity Indexes

The Russell 2000 has become the preeminent representative of the US small-cap stock domain since its inception in 1984. More than 40 years of data enables deep insights into the relative performance and distinct...

FTSE Russell

Yield Book Fannie DUS model overview and performance

March 9, 2020
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#Fixed Income

FN DUS is one of the largest multifamily lending program with current outstanding balance over $330 billion. Yield Book FN DUS prepayment model is a loan-level model which provides clients with a tool to study and...

FTSE Russell

Yield Book RMBS Model Commentary

March 9, 2020
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#Fixed Income

The markets have been very volatile in the past week. On Friday Feb 28, we saw a big rally on MBS prices. On Tuesday Mar 3, the Fed cut interest rates by half of a percentage point, its biggest single cut in more...

FTSE Russell

Appraising home bias exposure - Switzerland

February 20, 2020
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#Equity Indexes

This paper explores the investment impact of the large and persistent home bias in the equity allocations of the Swiss pension fund markets since the global financial crisis.

FTSE Russell

Case study - Pensioenfonds Detailhandel and FTSE Russell

February 10, 2020
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#Sustainable investment

The FTSE Custom Developed ex Korea SDG Aligned Index (“SDG Aligned index”) is a developed market equity benchmark launched in March 2019 that uses adjustments to constituent weights to create alignment with four of...

FTSE Russell

Why climate change also matters for government bond investing

February 4, 2020
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#Fixed Income

Sovereign debt investors are exposed to a range of climate change risks that are generally not well understood or incorporated into the investment process. Part of the challenge has been the lack of sustainable...

FTSE Russell

Appraising home bias exposure: Eurozone

January 9, 2020
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#Equity Indexes

For this study, the second in our series on the effects of investor home bias, we examined the industry concentrations, performance and return-to-risk profiles of the equity markets in France, Germany, Netherlands,...

FTSE Russell

FTSE Russell China Bond Research Report Q3 2019

November 26, 2019
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#China

Although China-US trade tensions continue to dominate headlines, September data from the Bond Connect trading scheme – which grants international investors access to China’s interbank bond market – revealed trading...

FTSE Russell

How could climate change impact sovereign risk?

November 25, 2019
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#Alternatively Weighted

In this paper, we introduce what could be the impact of climate change for sovereigns via the changes in fiscal policy, social contract and political stability, in both advanced and emerging economies. First, we...

FTSE Russell

US Agency mortgage-backed securities (MBS)

November 18, 2019
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#Fixed Income

The objective of this paper is to explore the US mortgage-backed securities (MBS) market from the perspective of a foreign investor. We pay particular attention to the US Agency MBS segment, owing to its size,...

FTSE Russell

Investing in listed real estate

October 3, 2019
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#Real Estate

Real estate is a popular asset class that can be easily accessed through investing in the exchange-listed stocks of real estate companies globally. In this report we use the FTSE EPRA Nareit Global Real Estate Index...