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FTSE Russell Comprehensive Factor Indexes

Published in Strategy Indices

The Comprehensive Factor Indexes are designed to capture a broad set of five recognized factors contributing to equity market performance. Available on a variety of FTSE and Russell underlying benchmarks, the Indexes apply a consistent and transparent methodology to achieve controlled exposure to target factors, while considering levels of diversification and capacity. Eligible securities of each Comprehensive factor index are the constituents of the relevant underlying FTSE All-World Index or Russell 1000®/Russell 2000® Indexes respectively. The indexes were derived from a FTSE underlying index and are reviewed semi-annually.

Key Features and Coverage on RIMES

For this data source, RIMES hosts approximately 6500 companies and 14 indices. Index coverage includes: FTSE Developed Ex Us Comprehensive Factor Index, FTSE Emerging Comprehensive Factor Index, and various Russell 1000 Indices.

Some of the data items available include:

  • Adjustment Factor, Adjusted Price, Capping Factor, Currency Code, Close Portfolio File Name, Country Description, Corporate Actions Portfolio File Name, Country Code, Dividend Per Share Gross, Database Domain Code, Exchange Identification Code, Free Float Factor, Exchange Rate, Gross Index, Industry Level Code, Investable Factor, ISIN Code, Investable Market Value, Index Map Symbol, Last Price Date, Local Code, Market Identifier Code, Last Modified Date, Market Value, Number of Constituents, Net Adjustment Factor, New Capping Factor, Net Index, Dividend Per Share Net, Net Return, Open Portfolio File Name, Price Index, Raw Adjustment Factor (Source), Reference Date, Sedol Code, Shares Outstanding, Investable Shares Outstanding, Shares Outstanding, Raw Market Value, Market Value in US Dollars (Source), Total Return, Unadjusted Price, Investable Weight in Index (Source), Year to Date Ex Dividend Adjustment, Yield, etc.


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