FTSE Russell 

Factor behavior through the cycle - Lessons from the Russell 1000 Index

Factors have become an influential force in investors’ decision-making processes, buttressed by a growing body of academic and financial industry research that has affirmed the effectiveness of factors in driving risk and returns. But to get the most value from factor investing strategies, investors should first gain a more comprehensive understanding of how and why factors behave the way they do. 

This paper seeks to provide a nuanced framework to help investors form more realistic expectations of how factors perform over full economic cycles. First, we cover the standard characteristics from an unconditional standpoint, meaning we examine how the factors behave on average over the entire time period. Next, we look more deeply at each factor’s conditional behavior—that is, how they have performed depending on the stage of the market or economic cycle. Lastly, we examine these same unconditional and conditional behaviors within a multifactor context.

Read the complete white paper at the link beneath Related Files

Head Office
10 Paternoster Square
London
EC4M 7LS
United Kingdom
Company website:
https://ftserussell.com

What’s new

  • Rock bottom interest rates boost real estate

    Blog | Rock bottom interest rates boost real estate

    White papersThu, 10 Oct 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% 

  • Investing in Listed Real Estate

    Investing in Listed Real Estate

    White papersThu, 10 Oct 2019

    Real estate is a popular asset class. One of the ways to get exposure to it is via listed real estate companies. In this report FTSE Russell looks at practical considerations of investing in listed real estate:

  •  Equity and Fixed Income Country Classification 2019: The headlines

    Equity and Fixed Income Country Classification 2019: The headlines

    White papersTue, 1 Oct 2019

    We have just announced the results of the annual Country Classification Review for countries monitored by its global equity and fixed income indexes. Our approach to country classification is informed by feedback from a broad set of market participants and provides investors with a framework for evaluating and investing across asset classes in global equities and fixed income markets.

  • Falling too far? What sets fallen angels apart

    Blog | Falling too far? What sets fallen angels apart

    White papersFri, 27 Sep 2019

    When US investment grade bonds are downgraded and cross the ratings threshold into high yield territory, they join the sector known as “fallen angels.” And while they’re technically categorized as high yield (HY) bonds, it’s important to note that fallen angels were initially issued as investment grade (IG) credits. This is why they tend to have distinct characteristics that set them apart from the rest of the US HY bond market.

  • Blog: Measuring the benefits of including small caps & REITs in Mexican equity portfolios

    Blog | Measuring the benefits of including small caps & REITs in Mexican equity portfolios

    White papersThu, 26 Sep 2019

    The addition of small-caps and real estate investments trusts, or REITs, to Mexican equity portfolios can help improve diversification for investors.

Search all our content