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FTSE Diversified Factor Indexes

The FTSE Diversification Based Investing Index Series, launched in association with QS Investors, LLC, is designed to provide bear market protection relative to the equivalent market capitalization weighted benchmark. The index series seeks to take advantage of macro and behavioral inefficiencies in equity markets by developing a diversified exposure to macro risk factors. Diversification Based Investing (DBI) focuses purely on portfolio construction rather than stock selection and uses analysis of country and industry correlations to create a portfolio that is highly diversified across major risk exposures in the market.

The FTSE Diversification Based Investing Index Series uses the FTSE All-World Index Series, the benchmark of choice for international investors, as its base universe.

Key Features and Coverage on RIMES

For this data source, RIMES hosts six indices, including FTSE Emerging and Developed Diversified Factor Indices, and approximately 3760 companies.

Some of the data items available include the following:

  • Index Items: Gross Index, Index Flag, Market Capitalization, Net Index, Number of Constituents, Price Index, etc.
  • Company Items: Adjusted Price, Adjustment Factor, Capping Factor, Country Code, Currency Code, Cusip Code, Date of Portfolio, Dividend Per Share, Exchange Identification Code, Free Float Factor, Gross Investable Market Value, Index Map Symbol, Industry Code, Investable Factor, Investable Market Value, Investable Shares Outstanding, Investable Weight, ISIN Code, Last Price Date, Market Identifier Code, Market Value, Net Adjustment Factor, Net Investable Market Value, Net Investible Weight, Net Return, Net Return Adjustment Factor, Next Date of Portfolio, Opening Market Value, Raw Adjustment Factor (Source), Sedol Code, Shares Outstanding, Total Return, Total Return Investible Weight, Unadjusted Price, Weight in Country, Weight in Index, Yield, etc.

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