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White Papers

White Papers

In-depth, expert analysis on the changing landscape of investments around the world. Leading asset managers reports uncover trends, highlight changes and consider future strategic impact.

FTSE Russell - Volatility reduction: How minimum variance indexes work

Minimum variance indexes, which apply rules-based methodologies with the aim of minimizing an index’s volatility, are popular among market participants interested in smart beta. In this FTSE Russell Insights, the third in a series of three covering risk-based indexes and their applications, we review minimum variance indexes in detail. 

Company: FTSE Russell
Date added: 14-02-2017
Sector: Indices

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FTSE Russell - Small Cap Perspectives 2017

No big worries? Global uncertainties loom, but equities continue positive momentum, for now.

Company: FTSE Russell
Date added: 14-02-2017
Sector: Small Cap

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Clear Path Analysis Report: The evolution of factor investing

Investors have long followed rules-based approaches to put together investment portfolios.

In fact, quantitative asset management has a heritage of at least eight decades. The merits of a simple, rules-based approach—choosing “value” stocks on the basis of accounting metrics like price to book value or price to earnings ratios—were set out by Benjamin Graham and David Dodd in their seminal book “Security Analysis”, published in 1934.

Company: FTSE Russell
Date added: 14-02-2017
Sector: Indices

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FTSE Russell - China through the mosaic of its share classes

China’s global competitiveness is not a recent phenomenon. The “Opium Wars” of 1839-1860 left China aspiring to the technological and industrial capabilities of Britain and France. 

Company: FTSE Russell
Date added: 15-12-2016
Sector: China

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£SONET (sterling secured overnight executed transactions)

FTSE Russell has been partnering with LCH and Euroclear to demonstrate a prototype secured overnight rate based upon repo transactions submitted for clearing to LCH Repoclear and uncleared DBV transactions settled in CREST. The rate, to be known as £SONET (sterling secured overnight executed transactions), is one of a number of rates being evaluated by the Working Group on Sterling Risk Free Reference Rates set up by the Bank of England. The Working Group was set up in response to the July 2014 Financial Stability Board’s report on reforming major interest rate benchmarks in the light of the LIBOR scandal and is tasked with identifying an alternative nearly risk-free rate which would represent best practice for use in certain new derivative and other contracts.

The presentation made to the 02 November 2016 meeting of the Working Group can be found here. Please note that the rate as described in the presentation was created to demonstrate the properties and characteristics of a rate based on cleared and uncleared repo transactions with a maturity of one business day. Should a rate based on repo transactions be put into production, it is possible that it will differ in certain respects from the prototype. To that extent, FTSE Russell potential users of such a rate are encouraged tocontact us with any feedback.

Company: FTSE Russell
Date added: 02-11-2016
Sector: Currency

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FTSE Russell - Small Cap Perspectives August 2016

Russell Indexes’ annual Reconstitution took place on June 24th this year — the same day the world woke up to a ‘Yes’ result in the UK’s so called Brexit vote. The unexpected vote by the UK to leave the European Union sent currency and equity markets worldwide into a temporary tailspin. That such a significant geo-political event happened on Reconstitution day was unprecedented. That the market was able to process the additional volume brought on by Brexit and Reconstitution was several decades in the making.

Company: FTSE Russell
Date added: 28-08-2016
Sector: Small Cap

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FTSE Russell - Achieving Controlled and Meaningful Factor Exposure via Factor Indexes

Asset owners and asset managers are increasingly interested in so-called “smart beta” indexes, a category that includes factor and alternatively weighted indexes. In a series of four FTSE Russell Insights, we explore the concept of factors in depth. We examine the differences between factor indexes and other types of smart beta index, illustrate how factor exposure is embedded in an index and suggest how factors can be combined most effectively.

Company: FTSE Russell
Date added: 01-06-2016
Sector: Smart Beta

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FTSE Russell - ESG: Road Blocks or the Road to Integration?

Recent international forums such as COP21 and the World Economic Forum (WEF) have drawn increased attention to global economic risks arising from corporate environmental, social and governance (ESG) practices and performance. In particular, WEF concluded that climate change was the greatest global risk in their latest survey1 and made a call to action for ESG integration by investors.

Company: FTSE Russell
Date added: 01-06-2016
Sector: Environmental, social and governance (ESG)

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FTSE Russell - China Bond Research Report

This report details recent perspectives on the China Bond market including performance of the FTSE Russell China Bond Indexes.

Company: FTSE Russell
Date added: 01-06-2016
Sector: China

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The FTSE China Onshore Bond Index Series

China is now the world’s largest economy (when measured by purchasing power parity (PPP)) and the largest trading nation2. The country’s domestic currency bond market is the third-largest in the world, following the United States and Japan, and has been growing rapidly in recent years.

Company: FTSE Russell
Date added: 01-06-2016
Sector: China

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FTSE Russell - Capturing dividend growth stocks while maintaining representation and diversification

Interest among market participants is growing in “dividend growth” companies – those that pay increasing dividends over time. The Russell Dividend Growth Index Series is designed as a tool for use by market participants in this area, and the indexes are designed to avoid concentrated individual constituent or sector exposures. We examine the construction methodology, along with performance and characteristics of the indexes.

Company: FTSE Russell
Date added: 01-06-2016
Sector: Dividend Growth

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FTSE Russell - Small Cap Perspectives: Russell 2000 Index Quarterly Analysis

The article below is from the March 15, 1848 publication of The Californian announcing the discovery of gold at Sutter’s Mill. Two months later, the paper had to shutdown because its entire staff had left to prospect for gold.  Two years later, the population of San Francisco had swelled from 1,000 residents to more than 20,000.1 Fast forward about 150 years to the first quarter of 2016 and another gold rush of sorts appeared to be underway.

Company: FTSE Russell
Date added: 01-06-2016
Sector: Small and Mid Caps

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FTSE Russell - Combining Factors

set owners and asset managers are increasingly interested in so-called “smart beta” indexes, a category that includes factor and alternatively weighted indexes. In a series of four FTSE Russell Insights, we explore the concept of factors in depth. We examine the differences between factor indexes and other types of smart beta index, illustrate how factor exposure is embedded in an index and suggest how factors can be combined.

Company: FTSE Russell
Date added: 01-06-2016
Sector: Smart Beta

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FTSE Russell - Russell 2000 Reconstitution Effects Revisited

The costs to investors of passive investing and the relative merits of transparent index reconstitution rules are important investment management topics and subjects of perennial interest to researchers and investors alike. This is particularly true regarding the Russell 2000 Index, the preeminent benchmark index for the US small capitalization equity market.1 This paper updates prior research on the impact of index reconstitution on the performance of the Russell 2000 Index and reviews related work.

Company: FTSE Russell
Date added: 01-06-2016
Sector: Pension Reports

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FTSE Russell - ESG: Road Blocks or the Road to Integration? April 2016

Recent international forums such as COP21 and the World Economic Forum (WEF) have drawn increased attention to global economic risks arising from corporate environmental, social and governance (ESG) practices and performance. In particular, WEF concluded that climate change was the greatest global risk in their latest survey1 and made a call to action for ESG integration by investors.

Company: FTSE Russell
Date added: 01-04-2016
Sector: Environmental, social and governance (ESG)

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