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Index IDEA: Yield & low volatility multi-factor indexes have shined YTD

Multi-factor indexes from global index provider FTSE Russell help illustrate the key characteristics that are enabling certain US large-cap stocks to experience higher returns than the US large-cap market in 2016 as of September 30.

According to FTSE Russell, its series of three focused factor indexes, which are based on the US large-cap Russell 1000 Index and capture exposure to US large-cap stocks exhibiting greater low volatility, yield or momentum characteristics,  have outperformed the Russell 1000 Index year-to-date.
 

Ken O’Keeffe, managing director, global ETPs, FTSE Russell:

“Our clients are using smart beta indexes as tools to help them pursue a wide range of their objectives, notably higher dividend yields, lower volatility, return enhancement and diversification. And our analysis continues to show that combining multiple factors, not just a single factor, in a smart beta index can help market participants see the benefits of diversification across a number of factors which perform differently across different time periods.”


Furthermore, following FTSE Russell’s unique “tilt-tilt” methodology, each FTSE focused factor index is designed to capture exposure to additional market factors through tilts toward quality, value and size. 

And, of these three indexes, the Russell 1000 Yield Focused Factor Index has had the highest performance year-to-date as of September 30, rising 16.5%.  


David Mazza, Head of Research, SPDR ETFs & SSgA Funds, State Street Global Advisors:

“The Russell 1000 Yield Focused Factor Index and Russell 1000 Low Volatility Focused Factor Indexes have outperformed the Russell 1000 Index in 2016, while the Russell 1000 Momentum Focused Factor Index has had a similar performance as the Russell 1000 Index. This index data indicates an investor preference for bond-like stocks in 2016 as investor sentiment remains uncertain.” 


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All information is provided for information purposes only. Every effort is made to ensure that all information given in this publication is accurate, but no responsibility or liability can be accepted by any member of the LSE Group nor their respective directors, officers, employees, partners or licensors for any errors or for any loss from use of this publication or any of the information or data contained herein.

Views expressed by Ken O’Keeffe and David Mazza are as of October 31  and subject to change. These views do not necessarily reflect the opinion of FTSE Russell or the LSE Group.

No member of the LSE Group nor their respective directors, officers, employees, partners or licensors make any claim, prediction, warranty or representation whatsoever, expressly or impliedly, either as to the results to be obtained from the use of the Russell Microcap® Index or the fitness or suitability of the indexes for any particular purpose to which they might be put.

No member of the LSE Group nor their respective directors, officers, employees, partners or licensors provide investment advice and nothing in this IDEA should be taken as constituting financial or investment advice. No member of the LSE Group nor their respective directors, officers, employees, partners or licensors make any representation regarding the advisability of investing in any asset. A decision to invest in any such asset should not be made in reliance on any information herein. Indexes cannot be invested in directly. Inclusion of an asset in an index is not a recommendation to buy, sell or hold that asset. The general information contained in this publication should not be acted upon without obtaining specific legal, tax, and investment advice from a licensed professional.

No part of this information may be reproduced, stored in a retrieval system or transmitted in any form or by any means, electronic, mechanical, photocopying, recording or otherwise, without prior written permission of the applicable member of the LSE Group. Use and distribution of the LSE Group index data and the use of their data to create financial products require a licence from FTSE, Russell, FTSE TMX, MTSNext and/or their respective licensors.

Past performance is no guarantee of future results. Charts and graphs are provided for illustrative purposes only. Index returns shown may not represent the results of the actual trading of investable assets.

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