FTSE Strategy Indices include Alternatively Weighted and Factor Indexes, as well as Capped, Dividend and Managed Volatility Indexes. FTSE Russell distinguishes two types of Smart beta indexes alternatively weighted indexes designed to achieve specific index level objectives such as greater levels of diversification or lower levels of volatility. Factor indexes are designed to reflect the performance of factor risk premia in a transparent, rules-based and replicable format.
Alternative Weighted Indices include:
- Russell Equal Weighted Indexes – These indexes offer a unique and practical alternative to conventional equal weighted indexes. Rather than simply assigning an equal weight to each constituent of the index, Russell’s sector equal weight index methodology equally weights each sector within the index and then equally weights the companies within each sector.
- Russell Geographic Exposure Indexes – These indices are designed to track the performance of companies with significant exposure to targeted geographic regions; providing clients with deeper insight into a company’s performance, risks, and growth opportunities through knowledge of its geographic exposures.
Factor Indices include:
- FTSE Dynamic Multifactor Indexes – designed to reflect the performance of a dynamic combination of multifactor indexes (“Component Indexes”) reflecting the result of the Invesco regime model which rotates between multifactor Component Indexes according to the Invesco Signal.
- FTSE Global Factor Index Series – a family of benchmarks designed to represent the performance of specific factor characteristics. This series applies a consistent and transparent methodology to achieve controlled exposure to target factors, while considering levels of diversification and capacity.
- FTSE Global Minimum Variance Indexes – This series aims to deliver reduced index volatility based on historical return information, thereby offering potential improvements to the risk reward trade-off, whilst maintaining full allocation to market.
- FTSE GWA Indexes – Developed in partnership with Global Wealth Allocation Limited (GWA), the FTSE GWA Index Series capture a company’s wealth creation in the form of its net income, cash flow and book value.
- FTSE High Dividend Low Volatility Indexes – Designed to represent the performance of high dividend yield and low volatility stocks. The constituents of the underlying universe are ranked in descending order by trailing 12 month dividend yield. A fixed number of the top constituents are selected.
- FTSE Russell Comprehensive Factor Indexes – Designed to capture a broad set of five recognized factors contributing to equity market performance, these indices achieve controlled exposure to target factors, while considering levels of diversification and capacity.
- FTSE JPMorgan Diversified Factor Indexes – The JP Morgan single and multi-factor indexes are wholly owned by J.P. Morgan Asset Management, for which FTSE Russell is the benchmark administrator. The indexes use a rules-based risk allocation and factor selection process. Single Factor indices include: JPM US Dividend Index, JPM US Minimum Volatility Index, JPM US Value Factor Index, JPM US Quality Factor Index, and JPM US Momentum Factor Index. The Diversified Factor index series uses a rules-based risk allocation and multi-factor selection process targeting equity risk premia factor characteristics such as attractive relative valuation, positive price momentum, low volatility and small market capitalization.
- FTSE RAFI™ Index Series – FTSE Russell partners with Research Affiliates® on the innovative FTSE RAFI™ Index Series. Index constituents are weighted using a composite of fundamental factors, including total cash dividends, free cash flow, total sales and book equity value. Prices and market values are not determinants of the index weights. Consequently the indexes are less prone to excessive concentration arising from market fads, which can result in over-exposure to individual companies, sectors or countries. The FTSE RAFI™ Low Volatility Index Series applies the FTSE RAFI™ index methodology to a universe of low volatility securities.
With regard to Capped Indices, FTSE Russell offers a consistent and flexible capping methodology to help investors meet concentration and diversification requirements.
- RIC Capped Indexes are market-capitalization weighted and designed to limit concentration in any single security as part of the Regulated Investment Company (RIC) concentration requirements for US registered funds. Constituents are capped quarterly.
- UCITS Capped Indexes mirror the RIC capped, but instead of the RIC, they are part of the Undertakings for Collective Investment of Transferable Securities (UCITS). Single or two-level capping limits the weight of the companies.
Dividend Indices include:
- FTSE All World High Dividend Yield Indexes – Designed to represent the performance of companies after implementing a forecast dividend yield ranking process. It is comprised of stocks that are characterised by higher than average dividend yields based on the FTSE All-World Index.
- FTSE Dividend Growth Indexes – Companies are screened for liquidity and dividend status, then selected and equal weighted subject to a maximum sector weight of 30%. To maintain appropriate weightings, index constituents are rebalanced to equal weight on a quarterly basis.
- FTSE Dividend Select Equal Weight Indexes – Designed to measure the performance of US companies that have increased their dividend payments over a period of ten years. On a quarterly basis, the highest-ranking companies based on momentum are selected and equally weighted to form the final index, capturing the Small, Mid, or Large Cap domestic market. The indexes are designed increase dividends and positive momentum.
Managed Volatility Indices focus on risk control and provide a way for investors to gain exposure to a particular market, investment theme, or strategy while controlling the level of risk.
- FTSE All-World Target Exposure Indices – Designed to deliver defined levels of active index exposure to risk factors on industries, countries and sustainability characteristics and to represent the performance of specific factor characteristics, with single factor indexes and additional combinations of factors, which includes the FTSE All-World Target Exposure Qual Vol Factor Net Tax (UK Pension) Index.
- FTSE EDHEC-Risk Efficient Indices – This series was launched in association with EDHEC-Risk Institute (EDHEC-Risk), and is based on all constituent securities in the FTSE All-World Index Series. Constituents’ weights result from EDHEC-Risk’s portfolio optimisation, which targets improvements in efficiency for a broad market index by maximising the Sharpe ratio.
- FTSE Hong Kong Treasury Indices – Includes “H” shares, providing a more representative benchmark for Hong Kong equity investments.” FTSE has calculated the MPF Index Series since 2001, when it was selected by Watson Wyatt and the Hong Kong Investment Funds Association (HKIFA) to create a range of country and regional benchmarks hedged into HKD for the local investment community.
- FTSE Developed Target Exposure Indices – This series includes benchmarks that measure the performance of various market segments. The benchmarks include benchmarks for different regions (FTSE Developed Europe).
- FTSE Tradable Plus Indices – Designed to reflect the performance of the constituents drawn from the underlying universe after the application of liquidity, borrowing cost and borrowing capacity screens designed to facilitate replication of the index.
Key Features and Coverage on RIMES
For these data sources, RIMES hosts retrievable data items such as:
- Index Items – Daily Net Return, Daily Price Return, Daily Total Return, Dividend Adjustment Factor, Dividend Amount Gross, Dividend Amount Net, Divisor Factor in US Dollars, Ex-Date Amount Gross in Local Currency, Family Flag, Gross Index, Hedged Gross Index in Local Currency, Hedged Index Symbol, Hedged Net Index, Hedged Price Index, Industry Classification Code, Market Capitalization, Methodology, Net Dividend Adjustment Factor, Net Dividend Year To Date, Net Index, Nominal Yield, Number of Constituents, Opening Market Capitalization, Partner Short Code, Portfolio ID, Price Index, Region Flag, Start Market Cap, Year to Date Ex Dividend Adjustment, etc.
- Company Items – Aap $ Exposure, Aap % Exposure, Adjusted Price, Adjustment Factor, Bloomberg Exchange Code, Bloomberg Ticker, Bric, Cap Range Flag, Capping Factor, Change Type, Corporate Action Story, Corporate Action Type, Split, Country Code, Currency Code, Daily Price Return In Local Currency, Derived Daily Total Return, Deu $ Exposure, Deu % Exposure, Dividend Amount Gross In Us Dollars, Dividend Amount Net In Us Dollars, Dividend Currency, Dividend Ex-Date, Dividend Per Share Gross, Dividend Per Share Net, Dxn $ Exposure, Em % Exposure, Exchange Code, Exchange Identification Code, Exchange Outside Region Flag., Float Market Value, Free Float Factor, Frontier, Gross Adjustment Factor, Gross Investible Market Value, Growth Factor, Gxu $ Exposure, Gxu % Exposure, Industry Code (Icb), Industry Level, Investable Factor, Investable Market Value, Investable Shares Outstanding, Investable Weight, Last Modified Date, Last Price Date, Last Update Date, Market Capitalization, Market Value, Net Adjustment Factor, Net Investible Market Value In Us Dollars, Net Investible Weight, Net Return, Number Of Shares, Original Date, Price Index Symbol, Raw Market Value In Us Dollars, Reference Date, Region Flag, Russell Index Id, Security Traded Flag, Shares Outstanding, Source Investable Market, Stock Exchange, Total Return, Tracker Change Code, Tradeable Instrument Display Mnemonic, Unadjusted Price, US $ Exposure, US % Exposure, Value Factor, Weight In Index, Yield, etc.
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