You are here

Research & Insights

FTSE country classification process

This paper describes the FTSE country classification process which is designed to be transparent and evidence-driven. External advisory committees ensure that the criteria used to determine country classification meet the needs of global investors and are judged objectively. Consistent with the Principles for Financial Benchmarks published by IOSCO in 2013, the operation of the country classification process is overseen by FTSE’s strong internal governance structure.

View full details & download

Low Volatility or Minimum Variance: An "eyes wide open" discussion

An investor can face a dilemma when looking for assistance in building an investment portfolio. Myriad sources offer advice, often rendering the decisions to be made difficult at best. Soldiering on with the advice and reading through literature, the investor will fairly soon come across a discussion on volatility, as reducing portfolio volatility has been a notable recent theme. Reading on, the investor will shortly realize that although sometimes considered together as “low volatility” strategies, the two most commonly-stated strategies for volatility are very different.

View full details & download

Smart beta: 2015 survey findings from U.S. financial advisors

Factor-based and alternatively-weighted indexes have transformed the current investment landscape. These indexes, generically called “smart beta indexes” are weighted differently than traditional market-value or capitalization-weighted indexes, providing new tools to help tailor exposures to specific risk and return objectives. For the purpose of this study we will use the term “smart beta” or “smart beta products” to refer to an investable product such as a mutual fund or ETF that closely tracks one of these indexes.

View full details & download

International equity investment and the U.S. dollar - Introducing the FTSE International Hedged 50% to USD Index Series

  • Many U.S. based investors seek diversification benefits by investing in international equities. Unhedged international investing however, adds foreign exchange (FX) risk in the form of an embedded currency basket, which contains long positions in foreign currencies coupled with a 100% short position in the U.S. dollar (USD).
  • While financial theory argues the long-term payoff to currency exposure should be zero, currency fluctuations can have a significant effect on investment returns and volatility over short and even medium-term investment time horizons.
View full details & download

Indexing the world

From local to global

When international portfolio investment started to take off in the 1980s, most existing indexes proved an inadequate tool to map the global stock market.

View full details & download

RVX futures as a hedge for small cap–specific risk

  • Volatility products can be used to hedge downside risk in equity portfolios
  • RVXSM futures provides a U.S. small cap equity focused alternative to CBOE Volatility Index® (VIX® Index) futures
  • RVX futures hedges can potentially be more effective when the risk is specific to small cap stocks

Summary

View full details & download

How indexes change

Coping with market changes

Financial markets change continuously: markets increase and decrease in relative size, companies are listed, delisted, taken over and restructured, and securities produce cash flows. An important challenge for an index provider is to record the evolution of markets in a consistent and transparent way.

View full details & download

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

Smart beta: 2015 global survey findings from asset owners

 

The first iteration of “smart beta” can be traced to the 1980s through cap and style distinctions, there is no denying that as an investment tool, the smart beta approach has arrived and will continue to transform and impact the investment landscape. Today, “smart beta” is a term often used to define a broad range of investment strategies that are generally categorized by two types of exposures: strategy-based and factor-based.

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.

ASEAN

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

Pages