SOURCE: Russell Investments

Russell Investments

December 10, 2015 12:50 ET

Size & Liquidity Factors as Top Developed European Market Influencers; FTSE Russell Indexes

SEATTLE, WA--(Marketwired - Dec 10, 2015) - Size has been the biggest factor performance driver within the FTSE Developed Europe Index in 2015, with a +6.3% return year-to-date as of 30 November, according to recent analysis by global index provider FTSE Russell. Liquidity has been the second strongest performing factor (+5.4%) for this same time period. The lowest performing market factor within Developed Europe this year has been Yield, which has fallen 3.2% YTD, according to the same report.

 
Cumulative Returns: FTSE Russell Indexes (as of 30 November, 2015)
             
Index   YTD   3 Years   5 Years
FTSE Developed Europe Size Factor   6.3%   37.3%   48.8%
FTSE Developed Europe Illiquidity Factor   5.4%   35.0%   48.7%
FTSE Developed Europe Volatility Factor   2.2%   26.2%   53.3%
FTSE Developed Europe Momentum Factor   2.0%   25.7%   43.6%
FTSE Developed Europe Quality Factor   1.1%   24.2%   47.9%
FTSE Developed Europe Residual Momentum Factor   0.3%   21.8%   42.0%
FTSE Developed Europe Value Factor   -0.2%   23.4%   27.4%
FTSE Developed Europe Yield Factor   -3.2%   20.0%   36.0%
FTSE Developed Europe Index   0.6%   23.3%   38.9%
Source: FTSE Russell, data as at 30 November, 2015. Past performance is no guarantee of future results. Please see the end for important legal disclosures.
 

Gareth Parker, Senior Index Research Director, FTSE Russell:
"Investors have long recognised that underlying factors such as quality, size, value, volatility, liquidity, yield and momentum help influence equity market performance. However, in recent years they have been able to take a more nuanced approach to understanding the influence of these factors through smart beta indexes."

According to the second annual global institutional smart beta survey from FTSE Russell - Smart beta: 2015 global survey findings from asset owners -- published in May, asset owners are evaluating on average four different smart beta strategies. And among new smart beta approaches evaluated by asset owners globally, a multi-factor combination index approach ranks second to low volatility at 47%.

More information on the FTSE Russell global institutional smart beta survey and the FTSE Russell Global Factor Index Series can be found on the FTSE Russell website. More research and insights from Gareth Parker and other FTSE Russell index experts can be found on the new FTSE Russell blog.

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.

FTSE Russell index expertise and products are used extensively by institutional and retail investors globally. Approximately $10 trillion is currently benchmarked to the FTSE Russell indexes. For more than 30 years, leading asset owners, asset managers, ETF providers and investment banks have used 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, and embraces the IOSCO principles. FTSE Russell is also focused on index innovation and client collaboration as it seeks to enhance the breadth, depth and reach of its offering.

FTSE Russell is wholly owned by London Stock Exchange Group. For more information, visit www.ftserussell.com.

© 2015 London Stock Exchange Group companies.

London Stock Exchange Group companies includes FTSE International Limited ("FTSE"), Frank Russell Company ("Russell"), MTS Next Limited ("MTS"), and FTSE TMX Global Debt Capital Markets Inc ("FTSE TMX"). All rights reserved.

Opinions expressed by Gareth Parker are as of December 8, 2015, and are subject to change.

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