You are here

Research & Insights

The Russell Pure Style Indexes: Tools for the next level of style investing

  • The Russell Pure Style Indexes are designed to provide focused exposure to the value and growth segments of the U.S. equity market.
  • The Pure Style Indexes methodology extends that of Russell’s standard Value and Growth Indexes.
  • While aligned with the standard style indexes, the Pure Style Indexes have increased exposures to value and growth style factors, which resulted in greater distinction in returns, in historical simulations.

View full details & download

Preparing for China’s inclusion in global benchmarks - A flexible approach to managing the transition

Following further increases in R/QFII allocations and improvements in the R/QFII application process, on May 26, 2015 FTSE Russell announced the start of its transition to include China A-shares in its widely followed global benchmarks, with the launch of FTSE Global China A Inclusion Indexes.

View full details & download

From frontier to developed – The FTSE ASEAN Index Series

The FTSE ASEAN Index Series provides a comprehensive range of benchmarks to measure the performance of stocks within an increasingly integrated and fast-growing economic region.


The Association of Southeast Asian Nations (ASEAN) was set up in 1967 and initially included five member states: Indonesia, Malaysia, Philippines, Singapore and Thailand. With the addition of Brunei Darussalam (1984), Vietnam (1995), Lao PDR and Myanmar (1997), and Cambodia (1999), ASEAN’s membership has since expanded to ten.

View full details & download

Passive and fundamental index investing: A factor analysis

Interest in passive investing has risen in recent years. Many investors, increasingly cost-sensitive in the wake of the financial crisis, are not convinced that active management will deliver excess returns, net of fees, over their benchmarks. Passive investing has traditionally focused on replicating cap-weighted benchmark indexes, either through index mutual funds, exchange traded funds (ETFs) or the creation of matching in-house portfolios. Cap-weighted indexes provide cost-effective exposure to various segments of the equity market with a high degree of liquidity and capacity.

View full details & download

Small cap defensive: Oxymoron, or simply overlooked?

An analysis of Russell 2000® Defensive Index® performance, characteristics and factors compared to the Russell 2000® Index

Key points

View full details & download

The Russell 2000 Index in a rising interest rate environment - Evidence from past cycles

  • During the last three periods of rising interest rates, the Russell 2000 Index experienced initial declines, but in two of these three instances, it recovered from intra-year lows to finish each subsequent 12-month period in positive territory. There was no clear pattern in sector leadership.
  • All three periods of interest rate hikes we examined have occurred at or near an inflection point in market volatility. However, for two of the periods, volatility began to increase after the Fed began raising rates, while in the third, volatility actually declined.
View full details & download

FTSE GDP Weighted Indexes

GDP-weighted indexes

From time to time the weighting of certain countries within capitalisation-weighted equity indexes may diverge significantly from those countries’ share of global GDP.

An example of a dramatic divergence between a country’s global equity market footprint and its economic importance comes from late-1980s Japan. In 1989, according to the International Monetary Fund (IMF), Japan’s share of world economic output, based upon a purchasing power parity (PPP) valuation of global currencies, was just under 10 percent.

View full details & download

Frontier Markets - Accessing the next frontier

Frontier Markets constitute the one segment of the equity market that is typically missing within institutional portfolios. These markets represent developing countries with high rates of economic growth, but small and relatively illiquid stock markets. Frontier Markets are often in their infancy and have attracted attention due to their diversification opportunities and growth potential.

View full details & download

Global index standards - Emerging market partnerships

FTSE Russell Emerging and Frontier market Indexes are used by market participants worldwide to benchmark the performance of active and passive managers, and as the foundation of index tracking products.

A combination of transparent country classification, rules-based index methodologies and world leading index governance, has made FTSE Russell the Emerging Market index provider of choice for institutions worldwide.

View full details & download

Factor exposure indexes - Index construction methodology

The premise of a factor approach to indexes is to construct a stock index that has an intentional and greater exposure to a factor of interest than a given benchmark. By factor, we mean a stock level characteristic such as volatility or value represented by for example, Book to Price. When the benchmark is the Market Portfolio and a positive excess return (or factor premium) exists over the long term, this is often termed a “factor anomaly”, contradicting as it does the “Efficient Market Hypothesis”.

View full details & download