SOURCE: Russell Investments

Russell Investments

June 17, 2015 09:14 ET

Emerging Markets Through a Factor Lens: FTSE Factor Index Analysis Suggests Value in Emerging Markets Year-to-Date

SEATTLE, WA--(Marketwired - Jun 17, 2015) -  An analysis of the six market factors influencing performance for the FTSE Developed Index and FTSE Emerging Markets Index over the last five years suggests that the value factor may be emerging in 2015 as a key differential between developed and emerging markets.

FTSE Russell Factor Index analysis breaks developed and emerging market performance into six key factors - liquidity, momentum, quality, size, value and volatility. A closer look at these factors shows that in 2015 year-to-date emerging markets have outperformed developed in the value factor by nearly 4%.

FTSE Developed & Emerging Markets Value Factor Index Performance - as of 29 May 2015

Index YTD   5 Yrs   Index   YTD   5 Yrs
FTSE Emerging Index 6.3%   25.4%   FTSE Developed Index   5.5%   86.7%
FTSE Emerging Index - Value Factor 8.7%   20.4%   FTSE Developed Index - Value Factor   5.1%   78.7%

Source: FTSE Russell. Total returns, US dollar denominated. Past performance is no guarantee of future results.

The FTSE Global Factor Index Series is a new 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 six factors represent comment characteristics for which there is a broad academic and practitioner consensus, supported by empirical evidence across different geographies and time periods.

Rolf Agather, MD of North America research for FTSE Russell said:
"Smart beta indexes have given asset owners and their consultants more choice and greater flexibility in the tools available for analyzing markets and constructing portfolios with an outcome-oriented focus. But increases in choice and flexibility mean that investors require more information as they work to make their decisions. Institutional asset owners are increasingly using more smart beta indexes and in a variety of new ways. This is outstanding for the industry, but reinforces the need for further education, information and advice."

In May, FTSE Russell shared the results from its second annual global institutional smart beta survey, which is designed to gauge investor perceptions, interest and engagement with smart beta indexes. Results this year indicated that asset owner allocation to smart beta indexes is growing and broadening. And, in Europe specifically, the survey found that 70% of institutional investors with smart beta allocations are now combining smart beta indexes and that low volatility, risk parity and multi-factor combinations are the most evaluated smart beta indexes in Europe.

For more information on the second annual FTSE Russell global institutional smart beta survey, go to the FTSE Russell website.

About FTSE Russell:
FTSE Russell is a global index leader that provides innovative benchmarking, analytics and data solutions for investors worldwide. FTSE Russell calculates thousands of indexes that measure and benchmark markets and asset classes in more than 80 countries, covering 98% of the investable market globally and trading on over 25 exchanges worldwide.

FTSE Russell index expertise and products are used extensively by institutional and retail investors globally. Leading asset owners, asset managers, ETF providers and investment banks use FTSE Russell indexes to benchmark their investment performance and create ETFs, structured products and index-based derivatives. A core set of universal principles guides FTSE Russell index design and management: a transparent rules-based methodology is informed by independent committees of leading market participants. FTSE Russell is focused on applying the highest industry standards in index design and governance. FTSE Russell is also focused on index innovation and client collaboration as it seeks to enhance the breadth, depth and reach of its offering.

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