Manager Details

  • evolving investment landscape offers index providers opportunity to shine

    Evolving investment landscape offers index providers opportunity to shine

    Mark Makepeace, Group Director, Information Services Division & CEO, FTSE Russell, provides insight on how the markets are undergoing a period of profound change.

  • Factor behavior through the cycle – FTSE Dynamic Single and Multifactor Index Series

    Factor behavior through the cycle

    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.

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

    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.

  • factor exposure and portfolio concentration

    Factor exposure and portfolio concentration

    The objective of this paper is to assess the relative benefits and drawbacks of the various factor and multi-factor portfolio construction techniques through the lens of factor exposure and portfolio diversification.

  • factor indexes and factor exposure matching

    Factor Indexes and Factor Exposure Matching: Like-for-Like Comparisons

    The academic literature tells us that for suitably diversified portfolios, factors drive risk and performance outcomes. If this is the case, then well-diversified portfolios with identical factor exposures should have similar performance characteristics despite originating from potentially very different construction methodologies. In this paper we test this hypothesis.

  • Fallen Angels in the US credit market

    Fallen Angels in the US credit market

    Characteristics, historical performance and differences between the current credit cycle and earlier regimes...

  • Fallen Angels in the US credit market

    Fallen Angels in the US credit market

    A Fallen Angel is a corporate, or sovereign, bond downgraded from Investment Grade (IG) (minimum rating of BBB- with S&P, Moody’s or Fitch) to a High Yield credit rating (of BB , or below with S&P, Moody’s or Fitch). Thus, the downgrade from Investment Grade (IG) to High Yield (HY) is far more significant than a downgrade for a bond staying within the same asset class. Fallen Angels tend to have higher credit-beta than other HY issues as a result.

  • ftse country classification process

    FTSE Country Classification Process

    This paper describes the FTSE country classification process which is designed to be transparent and evidence-driven.

  • FTSE Fixed Income Factor Research Series - The Carry Concept

    FTSE Fixed Income Factor Research Series - The Carry Concept

    As a well-known concept to practitioners and academics, carry has been leveraged in the currency markets for decades. With the understanding of such FX carry trades becoming established, recent academic publications have explored this concept cross-markets and showcased evidence of the carry premium across other asset classes.

  • ftse fixed income research series

    FTSE Fixed Income Research Series — The Value Effect

    There are a variety of widely-accepted metrics to define and capture the value factor in equities. But there has not been such a broadly-accepted approach to capture the value effect in fixed income.

  • FTSE Russell weekly round-up

    FTSE Russell Blog weekly recap 15th Feb 2019

    Transitioning a portfolio to address ESG risks and opportunities can appear daunting. Here are five insights that may help.

  • FTSE Russell Blog weekly recap 22nd Feb 2019

    FTSE Russell Blog weekly recap 22nd Feb 2019

    Index IDEA: Fixed income cartography meets index methodology...

  • ftse russell china bond research report

    FTSE Russell China Bond Research Report

    The February 2017 report provides recent insights on the China Bond market including performance of the FTSE Russell China Bond Indexes.

  • FTSE Russell China Bond Research Report Q1 2019

    FTSE Russell China Bond Research Report Q1 2019

    Highlights from the May report:  Total holdings of Chinese bonds by offshore investors rose in Q1 of 2019. Offshore investors held 1.76 trillion RMB (US$263 billion) worth of bonds at the end of March, according to data released by Shanghai Clearing House and China Central Depository and Clearing Co, marking a 34.3 billion RMB (US$5.1 billion USD) rise compared to end-December 2018. Some of China’s largest companies have defaulted on their debt ...

  • ftse russell china bond research report q2 2017

    FTSE Russell China Bond Research Report Q2 2017

    The August 2017 report provides recent insights on the China Bond market including performance of the FTSE Russell China Bond Indexes.

  • FTSE Russell China Bond Research Report Q2 2019

    FTSE Russell China Bond Research Report Q2 2019

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

  • ftse russell china bond research report q3 2017

    FTSE Russell China Bond Research Report Q3 2017

    The October 2017 report provides recent insights on the China Bond market including performance of the FTSE Russell China Bond Indexes.

  • ftse russell china bond research report q4 2017

    FTSE Russell China Bond Research Report Q4 2017

    The January 2018 report provides recent insights on the China Bond market including performance of the FTSE Russell China Bond Indexes.

  • FTSE Russell China Bond Research Report Q4 2018

    FTSE Russell China Bond Research Report Q4 2018

    China’s US$12 trillion bond market is projected to double in size in the next four years to about US$24 trillion, according to Goldman Sachs. Chinese Government Bonds (CGBs) are forecast to account for an estimated US$4 trillion of that market by the end of 2022...

  • ftse russell china bond research report

    FTSE Russell China Bond Research Report: April 2018

    As Q1 gives way to Q2, it’s clear the world’s second largest economy is likely to continue delivering surprises to investors both in Asia and around the world.

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What’s new

  • Considering new responses to issues around environment, development and globalisation.

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

    White papersMon, 9 Sep 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

    Blog | Climate change strategies: Beware obsolescence

    White papersFri, 6 Sep 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.

  • The future of index data: Having it your way

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

    White papersFri, 23 Aug 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

    Managing Market Volatility

    White papersFri, 23 Aug 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

    A focus on funded status volatility of corporate DB plans

    White papersFri, 23 Aug 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.

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