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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%...

  • Investing in Listed Real Estate download

    White papers 10 October 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 weblink

    White papers 1 October 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.

  • Blog | Falling too far? What sets fallen angels apart weblink

    White papers 27 September 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 weblink

    White papers 26 September 2019

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

  • Blog | Innovative China A share stocks have soared in 2019. Why?

    White papers 23 September 2019

    Created in 2009 by the Shenzhen Stock Exchange, the ChiNext Board has been referred to as “China’s Nasdaq” for the innovative and growth-oriented Chinese firms it has attracted over the last decade. And this growth potential has been recognized in 2019, as reflected by a nearly 37% (CNY) year-to-date return for the FTSE China A Innovative Enterprises Index*.

  • Blog | PRI: Five things we learned weblink

    White papers 20 September 2019

    The September PRI in Person event in Paris was huge on a number of levels. In his most recent blog David Harris, group head of sustainable business at FTSE Russell, gives his five key take-aways.

  • Blog | Interdependence Day - Considering new responses to issues around environment, development and globalisation. weblink

    White papers 9 September 2019

    In recent scientific research, it is suggested that the Anthropocene era – the first era in which human activity has been the dominant factor in shaping the environment on Earth – has initiated the sixth species mass extinction. Unsurprisingly, climate change is cited as the “biggest single threat to the economy” by many, including Henry Paulson, the former chairman of the Federal Reserve.

  • Blog | Climate change strategies: Beware obsolescence weblink

    White papers 6 September 2019

    Climate change is now central to politics and public discourse. But a surprising number of investors continue to take a business-as-usual approach to investing, presenting a blind spot that can put portfolios at risk. Those who are looking at the issue often find the debate framed around the risks of exposure to carbon-intensive industries, while the downside of missing out on the green success stories of the future are less discussed.

  • Blog | The future of index data: Having it your way weblink

    White papers 23 August 2019

    I believe the famous Burger King ad slogan, “Have it Your Way,” is very well understood across all consumer cultures because it so precisely expresses the experience all customers—regardless of the industry—desire. This standard for client experience has even crept into areas in market data once considered so complex that providers were limited in their ability to customise products and services to clients’ needs. First, consider how market data can be packaged.

  • Managing Market Volatility download

    White papers 23 August 2019

    Interested in understanding the state of volatility in the current market? This comprehensive package from Clear Path Analysis and FTSE Russell covers all the important focal points with top industry thought leaders including two robust roundtable debates, a white paper and an interview...

  • A focus on funded status volatility of corporate DB plans download

    White papers 23 August 2019

    Year after year, corporate DB plan sponsor surveys show controlling funded status volatility (surplus risk) as the top priority for their organizations. When liabilities grow faster than plan assets, additional cash contributions are required. At the same time, pension assets and liabilities have become prominent parts of company financial statements that investors use to evaluate company health.

  • Blog | Study finds value factor applies to fixed income too weblink

    White papers 22 August 2019

    The value effect refers to the tendency of stocks with lower valuation ratios to earn above average returns over the long run. This effect—also referred to as the “value premium”—is one of the most well studied and evidenced market factors in equities. However, when it comes to fixed income, there hasn’t been a widely accepted definition of the value factor.

  • Blog | Index IDEA: What's holding back small caps? weblink

    White papers 21 August 2019

    While US small-cap stocks have had decent returns in 2019, they still lag US large caps, with a total return of 11.7% for the Russell 2000 Index relative to a 17% total return for the Russell 1000 Index.* So, what’s holding back US small caps and is it time to give the asset class a second look?

  • Blog | Not all yield-curve inversions are created equal weblink

    White papers 20 August 2019

    The inversion of a widely watched part of the US Treasury yield curve last week has rattled markets already nervous about slowing global growth. Such events warrant attention given their recession-predicting history. But the macro and monetary forces driving the recent inversion differ starkly from those in 2006, the first of such inversions preceding the last recession.

  • Blog | Corporates seek tools to reduce pension plan risk weblink

    White papers 2 August 2019

    Global market volatility and low interest rates have greatly impacted the funded status of corporate defined benefit plans over the past decade. Particularly in the last year, wide swings in equity markets have become less predictable, making funded status volatility a greater cause for concern.

  • Blog | What we mean by emerging? weblink

    White papers 1 August 2019

    “It’s the economy, stupid” was a message posted onto the wall of a US presidential candidate’s war room in the early 1990s. The intention was to remind campaigners that the key message and battleground was economic wellbeing of the electorate.

  • Low Vol and Quality streets ahead as factor analysis reveals caution in market rally weblink

    White papers 30 July 2019

    Quality and Low Volatility were the strongest performers in Q2, according to our latest Regional Factor Indicator Report, illustrating that, even as equity markets moved higher, global growth worries tempered risk appetite. While Quality and Low Volatility – essentially defensive factors – performed well, Value and Size (smaller cap) fared worst in almost every market.

  • FTSE Russell China Bond Research Report Q2 2019 download

    White papers 29 July 2019

    A quarterly report by FTSE Russell that provides insights into the China bond market, including performance of the FTSE Russell China Bond Indexes.

  • Vietnam’s star rises weblink

    White papers 25 July 2019

    Amid the trade tension that has been felt globally, one star in Asia has been glowing ever brighter. Vietnam has emerged as one of the fastest growing countries in the East. As shown in Chart 1, Vietnam’s real GDP growth was 7.1% in 2018, the highest growth rate in more than a decade and only beaten by India in the region.

  • Smart Sustainability: Examining regional appeal download

    White papers 25 July 2019

    There is rising interest in investment strategies with an environmental, social and governance (‘ESG’) focus. At the same time, asset owners are allocating steadily higher portfolio weightings to non-market-capitalization (‘smart beta’) index-based strategies. Unsurprisingly, therefore, investors tell us that they are interested in combining ESG with smart beta, a practice we’ve named Smart Sustainability...

  • Smart Sustainability: 2019 global survey findings from asset owners download

    White papers 25 July 2019

    For the last six years we’ve conducted and published the FTSE Russell Smart Beta survey of asset owners. With each passing year we learn more details about asset owners’ awareness, attitudes and behavior related to smart beta, and we continue to adapt the questionnaire to accommodate emerging trends and areas of investment interest to our clients and the global asset owner community.

  • Blog | What’s on tap for the “Goldilocks” US equity market in the second half? weblink

    White papers 19 July 2019

    As we enter the second half of 2019, Goldilocks continues to walk a tightrope as US investors balance the potential benefits of Fed easing with continued weak global leading economic indicators, lingering trade jitters and elevated valuations, says Alec Young, FTSE Russell managing director of global markets research.

  • Blog | Glass half full or half empty? Easing-cycle optimism outweighs macro worries weblink

    White papers 19 July 2019

    Equity markets have been rallying on the decisively dovish turn in Federal Reserve and European Central Bank positioning and optimism about the macro rewards such stimulus may bring. But, as highlighted in our latest overview of current macro conditions, we note a persistent mismatch between market expectations and incoming economic signals.

  • Blog | Are the Eurozone and ECB turning Japanese…? weblink

    White papers 16 July 2019

    ECB President Draghi recently stated his concerns about the slowdown in the Eurozone economy and noted that the ECB still has plenty of scope to expand its QE asset purchase program (Sintra, Portugal, June 19) if required.

  • Blog | China A: Looking down the road weblink

    White papers 9 July 2019

    There’s an uplifting China story that is incredibly significant for global investors: the introduction of A Shares (available via the Northbound China Stock Connect Scheme Buy-and-Sell List)...

  • Blog | The climate is right for fixed income sustainability weblink

    White papers 8 July 2019

    Bond markets are three times larger than equity markets, so it’s surprising that while sustainable equity investment strategies have caught the imagination of investors across the globe, they have so far less successfully ignited fixed income investing.

  • Blog | Then and now: Dramatic US economic shifts weblink

    White papers 2 July 2019

    Service sectors now outweigh manufacturing sectors by about three to one.  What more can the Russell 3000 tell us about economic change?

  • Blog | The rise of Smart Sustainability: Size matters. Location matters. weblink

    White papers 2 July 2019

    Why do asset owners combine ESG and smart beta to achieve their institutional investment goals?

  • Blog | Record Russell Rebalance rejiggers top stock and rings in high profile market movers weblink

    White papers 1 July 2019

    Largest stocks rejiggered and high profile market movers welcomed…….. Apple is no longer ‘largest stock’ for the first time in seven years.Russell Reconstitution top-line stats reported on blog...

  • Blog | ‘Gen Z’ comes to Russell 1000 Index as Russell Rebalance near weblink

    White papers 26 June 2019

    In its recent announcement on projected changes for the Russell US Indexes at this year’s Russell Reconstitution, FTSE Russell highlighted that recent IPOs Uber (UBER), Lyft (LYFT) and direct listing Spotify (SPOT) are among a list of notable new market entrants expected to directly enter the US large-cap Russell 1000® Index at this year’s Russell US Indexes Reconstitution.

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