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FTSE JPMorgan US Single Factor Indexes

Published in Strategy Indices

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.

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: 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 1060 companies and 5 indices. Index coverage includes JP Morgan US Indices (Dividend, Min Volatility, Momentum Factor, Quality Factor, and Value Factor).

Data item coverage includes:

  • Index Items – Dividend Adjustment Factor, Gross Adjustment Factor, Gross Index in Malaysian Ringgit, Gross Index in US Dollars, Index Flag, Market Capitalization in Malaysian Ringgit, Market Capitalization in US Dollars, Net Index in Hong Kong Dollars, Net Index in US Dollars, Next Day Number of Constituents, Number of Constituents, Price Index in Hong Kong Dollars, Price Index in Malaysian Ringgit, Price Index in US Dollars, Price Index Symbol, Year to Date Ex Dividend Adjustment, etc.
  • Company Items – Adjusted Price, Adjustment Factor, Bloomberg Ticker, Cap Range Flag, Capping Factor, Country Code, Country Code (Source), Country Description, Currency Code, Dividend Per Share Gross, Dividend Per Share Net, Exchange Identification Code, Float Market Value, Float Market Value in Local Currency, Float Market Value in Malaysian Ringgit (Source), Float Market Value in US Dollars (Source), Free Float Factor, Gross Investible Market Value, Index Map Symbol, Industry Level Code, Investable Factor, Investable Market Value, Investable Shares Outstanding, Investable Weight, ISIN Code, Last Price Date, Local Code, Market Identifier Code, Market Value, Net Adjustment Factor, Net Investible Market Value, Net Investible Weight, Net Return, New Free Float Factor, New Shares Outstanding, Next Date of Portfolio, Next Day Constituent File Flag, Raw Market Value in Malaysian Ringgit, Raw Market Value in Malaysian Ringgit – Capped, Sedol Code, Shares Outstanding, Source Investable, Total Return, Total Return Investible Weight, Unadjusted Price, etc.

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