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FTSE Global Factor Index Series

The FTSE Global Factor Index 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 seven 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; they include: 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.

Key Features and Coverage on RIMES

For this data source, RIMES hosts approximately 618 companies and 3 indices, including FTSE Developed Asia Pacific Qual/Vol/Yield 5% Capped Factor Index, FTSE Developed Europe Qual/Vol/Yield 5% Capped Factor Index and FTSE USA Qual/Vol/Yield Factor 5% Capped Index.

Some of the data items available include:

  • Company Items – Adjusted Price, Adjustment Factor, Bloomberg Ticker, Cap Range Flag, Capping Factor, Country Code, Currency Code, Dividend Per Share, Exchange Identification Code, Float Market Value, Free Float Factor, Gross Investible Market Value in Malaysian Ringgit/USD, Index Map Symbol, Industry Level , Investable Factor, Investable Market Value , Investable Shares Outstanding, Investable Weight. Last Price Date, Market Identifier Code, Market Value, Net Adjustment Factor, Net Investible Market Value , Net Investible Weight, Net Return, Shares Outstanding, Total Return, Unadjusted Price, etc.
  • Index Items – Dividend Adjustment Factor, Gross Adjustment Factor, Gross Index , Index Flag, Market Capitalization, Net Index in Hong Kong Dollars, Net Index in US Dollars, Number of Constituents, Price Index, Year to Date Ex Dividend Adjustment, Yield, etc.

 

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