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  • US Agency mortgage-backed securities (MBS) - A foreign investor’s perspective download

    White papers 30 November 2019

    The objective of this paper from FTSE Russell  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, liquidity, return and risk characteristics.

  • FTSE Russell China Bond Research Report - November 2019 download

    White papers 30 November 2019

    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 volumes hit a record high of 296.3 billion RMB in September. Total trading volume of bonds registered with China Central Depository & Clearing Co. Ltd, (CCDC) also hit a record high of 13.96 trillion RMB in August.

  • Investing in emerging market equities Europe 2019 - Developing and implementing strategies that balance risk and reward. download

    White papers 30 November 2019

    This FTSE Russell sponsored report features a myriad of interviews, white papers and a roundtable discussion. Divided into three sections: “tension, trade and trade wars”; “balancing risk and reward” and “the business growth-cycle” – it features contributors from establishments including VBV Pensionskasse, Aon Hewitt, APG Asset Management and Oxford Economics.

  • Research: How could climate change impact sovereign risk? download

    White papers 30 November 2019

    In this paper, FTSE Russell introduces the concept of climate change risk and its implications for sovereign risk in both advanced and emerging economies, via changes in fiscal policy, social contract and political stability.

  • Research: Factor investing considerations: Questions and answers download

    White papers 30 November 2019

    Portfolio construction methods are many and varied, particularly when it comes to the creation of portfolios exposed to common factors, such as Value, Size and Quality. In this paper, FTSE Russell addresses questions that are frequently asked by clients, focusing on Selection & Weighting and comparing it to the Bottom-up FTSE Russell Tilt approach.

  • Blog | New futures tools help retail investors address US small-cap equity market volatility weblink

    White papers 14 November 2019

    New data from CME Group, Cboe and global index provider FTSE Russell shows a broader set of retail investors utilizing futures products to address US small-cap equity market volatility.

  • Why climate change also matters for government bond investing download

    White papers 11 November 2019

    The global sovereign debt market is one of the largest asset classes in the world, and yet it has typically lagged other asset classes when it comes to integrating climate change considerations.

  • Blog | Green real estate: a building block for a low carbon economy? weblink

    White papers 6 November 2019

    Carbon intensive sectors are facing unprecedented scrutiny from governments, regulators and markets. Since this can have a significant impact on liquidity and asset values—indeed, the effects are already becoming visible—it is a factor that investors cannot afford to ignore. The real estate sector, which is characterized by long-lived and energy-intensive assets, is one such target.

  • Blog | Whatever happened to the value premium?

    White papers 29 October 2019

    Despite a recent brief run up in September, US value stocks have been out of favor for some time now. With the US bull market going on almost 11 years, value stocks are struggling to keep up with their growth counterparts.

  • Blog | No place like home: sizing up investment home bias in pension fund allocations weblink

    White papers 24 October 2019

    One would not expect that returns from equity investment by some of the world’s most highly-sophisticated institutional investors would be unduly domestically-focused, to the detriment of returns, but research from FTSE Russll suggests exactly that.

  • Blog | Trapped near zero: bond yields, zombies and unintended consequences weblink

    White papers 24 October 2019

    When Japanese interest rates first fell towards zero, the Japanese government yield curve steepened sharply as it was assumed temporary, and that interest rates and bond yields would rapidly “normalise” or mean revert at levels more typical of the 1980s and ’90s. With about a 20-year lag, the Eurozone now appears to be experiencing the same phenomenon, and has met similar policy responses.

  • Blog | Canada, climate change & fixed income markets weblink

    White papers 24 October 2019

    A new FTSE Russell index measuring the impact of climate change on global fixed income markets is revealing how Canada ranks compared to other developed nations on climate readiness and provides insight into the biggest climate-related risks facing Canadian investors.

  • Appraising home bias exposure download

    White papers 22 October 2019

    Studies have shown that pension funds have inherent biases to their domestic markets within their equity allocations. In this paper, FTSE Russell seeks to understand the impact of home bias in the equity allocations of five large pension fund markets—the US, UK, Japan, Canada, and Australia—by examining the extent of their home biases and analyzing their effects over a 12-year period.

  • Why climate change also matters for government bond investing download

    White papers 21 October 2019

    Henry Odogwu, Head of the asset owner group Europe at FTSE Russell discusses how European asset owners are looking to extend environmental, governance and social (ESG) considerations beyond equity into fixed income...

  • Benchmarking the Value of Indexes Among Active Managers weblink

    White papers 21 October 2019

    Active managers primarily use index data to benchmark investment performance, but a new study by Greenwich Associates suggests there are significant opportunities for active managers to derive more value from data and partnerships with index providers.

  • Blog | A defining moment for US small-cap stocks weblink

    White papers 18 October 2019

    According to global index provider FTSE Russell, the US small-cap Russell 2000 Index has returned 6.6% annually over the past 20 years on a price basis as of September 30 as compared to a 4.6% annual price return for the US large-cap Russell 1000 Index for the same period.

  • Blog | Is economic pessimism nearing a nadir? weblink

    White papers 18 October 2019

    The rapid deterioration in leading indicators this year has cast a pall over equity markets and kept their performance relative to bonds in check. However, with financial conditions easing globally, are markets now underestimating the potential for the economic data to improve?

  • ETF Stream Big Call: Fixed Income weblink

    White papers 17 October 2019

    ETF Stream Big Call: Fixed Income (23 September 2019) Re-recorded presentation by Robin Marshall FTSE Russell Global Markets Research, Global Macroeconomic and Asset Allocation Insights - Developed and emerging market bonds in a low interest rate...

  • Blog | Value rally fails to disrupt defensive bias weblink

    White papers 14 October 2019

    Equity factors made a dramatic U-turn in September, capturing the mercurial and rapidly shifting appraisal of economic prospects across global markets. But we think it’s too early to call this a regime change.

  • Blog | Rock bottom interest rates boost real estate weblink

    White papers 10 October 2019

    Since the start of 2018, we have noticed remarkable outperformance of real estate equities. In the last 18 months, the FTSE EPRA Nareit Developed Index has outperformed the aggregate equity index, the FTSE Developed Index, by around 15%...

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