.jpg)
- Designed to represent the performance of six common factor characteristics
- Based on FTSE Developed and FTSE Emerging indices
- Products provide market participants with greater choice and flexibility
FTSE Group (“FTSE”), the global index provider, today announces the launch of the FTSE Global Factor Index Series, a new suite of benchmarks designed to represent the performance of specific factor characteristics. Six single factor indices will be created as part of the index series: Illiquidity, Momentum, Quality, Size, Value and Volatility. They will be based on the market cap weighted FTSE Developed and FTSE Emerging indices.
The initial launch phase will consist of six single factor indices representing a tilt in a specific direction (e.g. low volatility, small size). Indices exhibiting multiple factor tilts and directions will form part of the offering. In subsequent phases, the product offering will be expanded to include:
- A wider geographic span of indices
- The application of factor tilts to non market capitalisation-weighted indices
The FTSE Global Factor Index Series uses a common framework to achieve a controlled exposure to a target factor, whilst considering levels of diversification and capacity. For further information on the construction methodology, see the FTSE Research Paper here.
Peter Gunthorp, Managing Director, Research & Analytics commented: “The FTSE Global Factor Index Series is a further example of our innovative approach to product development, which allows FTSE to provide greater choice for market participants. The new index series applies a consistent and transparent methodology to achieving a controlled factor tilt to any underlying index. This allows investors the granularity and consistency that they require when developing benchmarking tools and results in a mechanism for the creation of index tracking funds and derivatives.”
