The FTSE Target Exposure Index Series is designed to deliver defined levels of active index exposure to risk factors, industries, countries and sustainability characteristics. This series is a suite of benchmarks designed to represent the performance of specific factor characteristics, with six single factor indexes and additional combinations of factors comprising the index series. The six factors represent common factor characteristics for which there is a broad academic and practitioner consensus, supported by a body of empirical evidence across different geographies and time periods, including Momentum, Quality, Size, Value, Volatility and Yield.
The Indexes are based on the market cap weighted FTSE All-World, Russell U.S. and FTSE UK indexes. The FTSE Global Factor Index series uses a transparent methodology to achieve a controlled exposure to a target factor, whilst considering levels of diversification and capacity.
FTSE Target Exposure Indexes target a set of active factor exposures at each rebalance, subject to a set of constraints. Target exposure is measured in active Z-score units, i.e. the index level factor Z-score in excess of the underlying market-cap weighted benchmark factor Z-score. The eligible securities of each factor index are the constituents of the underlying indexes defined by the FTSE Global Equity Index Series. Yield is calculated as the natural logarithm of each company’s twelve month trailing dividend yield. Companies whose trailing dividend yield is zero are assigned a Z-Score of minus three. A Z-Score for Yield
Key Features and Coverage on RIMES
For this data source, RIMES hosts the FTSE All-World Target Exposure Qual Vol Factor Net Tax (UK Pension) Index.
Some of the data items available include:
- Country Code, Country Description, Currency, Cusip, Date, Desc, Description, Domain, Full Market Value Weight, Gross Index, Industry Code (Icb), Industry Description, Investable Factor, Investable Market Value, Investable Shares Outstanding, Investable Weight, Isin, Local Id, Market Cap (Act), Market Capitalization, Market Value (Act), Market Value In Usd,
- Number Of Constituents, Number Of Shares, Price Index, Sector Code, Sector Description, Sedol, Shares Outstanding, Size, Source Country Code, Stock Exchange, Subsector Code, Subsector Description, Supersector Code, Supersector Description, Symbol, Unadjusted Price, Yield (Percent), etc.
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