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Research & Insights

Understanding risk-based index construction

In this article we look into the construction methods of risk-based indexes and compare approaches to achieving volatility reduction and/or improved diversification.

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China through the mosaic of its share classes

Organizing the constellation of China-based share types together may seem as far flung as the listings themselves. But in this report, we endeavor to do just that by comparing and contrasting all seven China share classes. We explore the performance of each share type, the characteristics of each share type and how those look when brought together in a combined index, and give perspective to China A’s inclusion in global benchmarks.

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The US small cap premium and the business cycle

How have US small cap stocks as represented by the Russell 2000 performed historically at the end of an economic expansion? Previous research has shown a tendency for small caps to move into positive territory in advance of economic troughs, before recessions end. In the present research paper, we add to this body of work by examining the historical performance of the Russell 2000 around the five expansionary peaks of the US economy identified by the National Bureau of Economic Research (NBER) since 1979.

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Targeting risk with smart beta indexes

Risk-based indexes are an important category of smart beta—they target different objectives and are commonly used to complement allocations to traditional capitalization-weighted approaches. In this article, we explore the most popular types of risk-based indexes and summarize their objectives.

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Understanding the benefits of REITs in the US market

REITs have enabled investors of all types to gain access to a regular income stream, a diversified portfolio of underlying properties and a link to the capital values of the portfolio holdings by means of companies with securities listed on a public stock exchange.

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FTSE Russell China Bond Research Report

The October 2016 report provides recent insights on the China Bond market including performance of the FTSE Russell China Bond Indexes.


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Clear Path Analysis Report: The evolution of factor investing

Examining the emergence of factor investing strategies and their uses within an institutional portfolio

Factor investing is growing in popularity. But how does it help investors manage their portfolios? In this article we show how factors draw upon the substantial heritage of quantitative investing to produce a versatile tool for use in a variety of investment contexts.

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Small Cap Perspectives: Russell 2000 Index 2Q2016 Analysis

Market recap — Value continues its run

The Value style continued to assert its leadership in the cycle of style performance. Index data demonstrates that, regardless of cap size, defensive characteristics —companies with less economic sensitivity and more stable earnings profiles — are showing strength for the year, as are Value companies, as determined by higher relative Book-to-Price characteristics.

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The rise of factor investing

The first wave of smart beta index products was concerned with addressing index concentration and reducing volatility. Such products embed a set of implicit factor outcomes and were followed by products that explicitly targeted specific factor outcomes. In this article we provide an overview of why factors matter and how investors are using them.

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How smart beta indexes can meet different objectives

As growing interest in smart beta is driven by risk- and return-based considerations, we provide examples of how smart beta indexes are being used by and illustrate the current use of smart beta through three case studies involving our clients.

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