The FTSE Global Factor Index Series is a suite of benchmarks designed to represent the performance of specific factor characteristics, with eight single factor indices and additional combinations of factors comprising the index series. The eight 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.
The indices are based on the market cap weighted FTSE Developed and FTSE Emerging indices. 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.
Single factor indices include – Illiquidity, Momentum, Residual Momentum, Quality, Size, Value, Volatility, and Yield.
Key Features and Coverage on RIMES
For this data source, RIMES hosts approximately 2430 companies and 9 indices, including FTSE Developed Ex Korea Indices. The base currency of all indices is USD.
Some of the data items available include:
- Active Index Factor Exposure, Amihud Ratio, Constituent Weightings, Corporate Actions, Cross-sectional Factor Mean, Divisor, Market Capitalization, Minimum Stock Weight, Quality/ Volatility/ Yield Factors, Standard Deviation, Weighting Factor, Z-Score