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MARKET BRIEF: Russell 2000 Index Update 3Q16

A brief market update on the Russell 2000 Index, previewing the release of the 3Q16 Small Cap Perspectives report.
Recorded Oct 25 2016 14 mins
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Presented by
Tom Goodwin, PhD
Presentation preview: MARKET BRIEF: Russell 2000 Index Update 3Q16
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  • 2019 Factor Performance Review and Insight Jan 15 2020 3:00 pm UTC 45 mins
    Webinar for the Americas and Europe
    Following the publication of FTSE Russell's quarterly Market Maps Factor Indicator report in January, Philip Lawlor, managing director global markets research and Marlies van Boven, managing director, research & analytics will present its key findings and:

    • Review factor performance across the regions in 2019
    • Examine the link between the economic cycle and factor behaviour

    In the live Q&A session that follows the presentation, you’ll have an opportunity to submit questions that are most important to you and hear first-hand insights from our speakers.
  • 2020 Investment Outlook Dec 17 2019 8:30 am UTC 60 mins
    [Asia-Pacific audience webinar] Philip Lawlor, managing director, global markets research, FTSE Russell
    Global Markets Research, FTSE Russell.
    (Webinar for investors based in the APAC region)

    In this 30-minute webinar, Philip Lawlor, managing director, global markets research at FTSE Russell, will discuss some of the risks confronting investors in 2020, before addressing questions via a live Q&A with webinar participants.

    Key discussion points:

    • Reviewing 2019’s global equity and bond market performance, in the context of a deteriorating macroeconomic backdrop.
    • Appraising the current economic, profit, valuation and financial conditions market drivers.
    • Exploring what’s priced in and what could surprise in 2020.
  • 2020 Investment Outlook: What could disrupt consensus expectations? Recorded: Dec 11 2019 32 mins
    [Americas audience webinar] Alec Young, managing director, global markets research, FTSE Russell
    Global Markets Research, FTSE Russell.
    (Webinar for investors based in the Americas)

    In this 30-minute webinar, Alec Young, managing director, global markets research at FTSE Russell, will discuss some of the risks confronting investors in 2020, before addressing questions via a live Q&A with webinar participants.

    Key discussion points:

    • Reviewing 2019’s global equity and bond market performance, in the context of a deteriorating macroeconomic backdrop.
    • Appraising the current economic, profit, valuation and financial conditions market drivers.
    • Exploring what’s priced in and what could surprise in 2020.
  • 2020 Investment Outlook Recorded: Dec 11 2019 31 mins
    [European audience webinar] Philip Lawlor, managing director, global markets research, FTSE Russell
    Global Markets Research, FTSE Russell.
    (Session for investors based in EMEA)

    In this 30-minute webinar, Philip Lawlor, managing director, global markets research at FTSE Russell, will discuss some of the risks confronting investors in 2020, before addressing questions via a live Q&A with webinar participants.

    Key discussion points:

    • Reviewing 2019’s global equity and bond market performance, in the context of a deteriorating macroeconomic backdrop.
    • Appraising the current economic, profit, valuation and financial conditions market drivers.
    • Exploring what’s priced in and what could surprise in 2020.
  • Dividend growth – a multi-factor approach to a late cycle environment Recorded: Dec 4 2019 65 mins
    Rolf Agather, NA Research (FTSE Russell); Jonathan Shelon, COO (KFA Funds); Clint Sorenson, Co-Founder (WealthShield)
    Dividend growth represents a strong quality characteristic because continuous increases to a firm's dividends may signal confidence that it can consistently generate positive earnings growth.

    The FTSE Dividend Select Equal Weight Index Series is designed to measure the performance of US companies that have successfully increased their dividend payments over a period of 10 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 to provide a benchmark for investors looking to capture a concentrated portfolio of constituents demonstrating increased dividends and positive momentum.

    Join experts from FTSE Russell, KFA Funds and WealthShield as they discuss smart beta indexes’ methodology, exposure to price-based momentum and the potential benefits of investing via ETFs or Direct Indexing.

    *** Please note that this webinar is addressed exclusively to professional investors in the USA and/or jurisdictions where KraneShares ETFs or products and WealthShield services or products are approved for distribution. ***
  • Yield Book Analytics Webinar: Introducing the Loan Collateral Analyzer (LCA) Recorded: Dec 4 2019 35 mins
    Aysegul Erdem, Analytics Product Manager and Mo Bhuiyan, Analytics Product Manager
    With the abundance of loan-level information, there is a growing need to analyze varied and complex data sets. Yield Book, part of Information Services Division at London Stock Exchange Group is proud to present Loan Collateral Analyzer (LCA). LCA provides the ability to peer into securities, whether it is a level 1 pool or ReREMIC, and go down to the most granular form, the loan-level while keeping track of participation. In addition to the linking of securities to loan-level, users are then able to categorize and filter based on customizable specifications. All of which is linked to our extensive historical loan-level database to provide past performance/speeds.

    Webinar will cover:
    •Overview of LCA
    •Displaying balance and prepay dispersions across loan characteristics for a deal
    •Loan-level comparison of two similar pools
    •Benchmark analysis using Yield Book CMO cohort
    •Viewing the loan level data and explaining the challenges
  • Hedging downside risk in US small caps with built-in buffers Recorded: Nov 20 2019 51 mins
    Rolf Agather, managing director, research & innovation, FTSE Russell; Trevor Terrell, Vice President, Sales, Innovator ETFs
    The US small-cap Russell 2000 Index has returned 6.6% annually over the past 20 years on a price basis as of September 30 as compared to a 4.6% annual price return for the US large-cap Russell 1000 Index for the same period.
    And while US small cap returns look relatively good for investors in hindsight over the past two decades, these returns have come with much higher relative volatility. The Russell 2000 had a 19.5% annualized standard deviation over the last 20 years as compared to 14.8% for the Russell 1000 and the Russell 2000 had a maximum drawdown of 54%.

    How can investors hedge downside risk?

    Join experts from FTSE Russell and Innovator ETFs as they discuss US small cap equities and hedging downside risk with built-in buffer.

    Discover more about the benefits of the Russell 2000 Index: FTSE Russell’s infographic, "Because markets change" and FTSE Russell’s and Innovator ETFs’ recent joint blog, "A defining moment for us small-cap stocks" at www.ftserussell.com

    *** Please note that this webinar is addressed exclusively to professional investors in the USA and/or jurisdictions where Innovator ETFs or products are approved for distribution. ***
  • Mortgage Model Release Update Recorded: Nov 6 2019 52 mins
    Hui Ding, Director, Agency RMBS Prepayment Modeler and Jake Katz, Director, Non-Agency RMBS Modeler
    The new Agency & Non-Agency RMBS model V21.5 will become the default production model for Yield Book on November 17th.

    This webinar will cover the update from V21.4 to V21.5 which includes:

    1. Agency RMBS Prepayment
    - Primary/secondary spread model enhancements
    - Cash-out model enhancements
    - Refinance response recalibration enhancements
    - Other miscellaneous model changes update

    2. Non-agency loss severity model enhancements for CRTs

    3. Non-agency adjustments and updates to rate refi component of prepayment model for Jumbo Near Prime

    Featured Speakers:

    Hui Ding, Director, Agency RMBS Prepayment Modeler, Yield Book, part of Information Services Division at London Stock Exchange Group

    Jake Katz, Director, Non-Agency RMBS Modeler, Yield Book, part of Information Services Division at London Stock Exchange Group

    Joe Reel, Managing Director, MQA Mortgage Analysis, Citigroup, Inc.
  • FTSE Russell Global Markets Research Investment Outlook: It's a 'Show Me' Market Recorded: Oct 29 2019 52 mins
    Alec Young, Managing Director, Global Markets Research
    A live event presented by Alec Young, Managing Director, Global Markets Research.

    Alec will provide a global macroeconomic update and its asset allocation implications global equities, credit and alternatives.

    This webinar will cover:
    •Are recession fears overblown?
    •With the cost of capital already at record low, can Fed rate cuts
    really revive growth?
    •US/China trade – How to separate signal from noise?
    •What are the major asset allocation implications of a strong dollar?
    •With valuations historically elevated, what are the best risk adjusted opportunities across equities, credit and alternatives?
  • Yield Book Analytics Webinar: Tax considerations for municipal bond analytics Recorded: Oct 23 2019 45 mins
    Mikhail Bezroukov, Analytics Product Manager and Yu Zou, Quantitative Analyst Director
    Please join us on Wednesday, October 23, for an interactive webinar about Yield Book analytics: Tax considerations for municipal bond analytics.

    Given the tax considerations and unique dynamics of the municipal bond markets, traditional bond analytics may not accurately capture market behavior. To improve upon traditional bond analytics for the muni market, Yield Book offers tax-adjusted analytics to ensure accurate and complete coverage of your municipal bond universe.

    The webinar will cover:
    •Background and requirements for municipal bond tax considerations
    •Description of the methodology for Yield Book tax-adjusted Yield, OAS, effective durations and partial durations
    •In-depth look at tax-adjusted scenario analysis for more accurate municipal bond risk assessment
    •How-to access the metrics in Yield Book
  • Developed and emerging market bonds in a low interest rate world Recorded: Oct 17 2019 39 mins
    Robin Marshall, Director, Fixed Income Research, Global Markets Research, FTSE Russell
    ETF Stream Big Call: Fixed Income (23 September 2019)

    Re-recorded presentation by Robin Marshall

    FTSE Russell Global Markets Research, Global Macroeconomic and Asset Allocation Insights -

    Developed and emerging market bonds in a low interest rate
  • The FTSE Russell Q3 Factor Performance Review Recorded: Oct 16 2019 28 mins
    Philip Lawlor, Managing Director Global Markets Research, Marlies van Boven, Managing Director, Research
    Following the publication of our Q3 Global Markets Research Factor Indicator report we are hosting new quarterly webinars, hosted by Philip Lawlor, Managing Director Global Markets Research to discuss some of the report’s key observations.

    During the webinar we will;
    Examine how factors have performed across the regions
    Apply perspective to the recent rotation from Momentum into Value

    We will close the webinar with a Q&A session.

    Please join us for our first quarterly factor performance review.
  • Climate WGBI: Accounting for climate risk in sovereign bond portfolios Recorded: Oct 16 2019 2 mins
    FTSE Russell
    The global sovereign debt market is one of the largest asset classes in the world, yet fixed income markets have typically lagged other asset classes in relation to ESG integration activities. Sovereign debt investors are exposed to a range of climate change risks that are typically not well understood or incorporated in the investment process. Part of the challenge has been the lack of sustainable investment products and viable climate data.

    The FTSE Climate Risk-Adjusted World Government Bond Index (Climate WGBI) offers investors a solution that they can credibly implement. It measures the performance of fixed rate, local currency, investment grade sovereign bonds incorporating a tilting methodology that adjusts index weights according to each countries’ relative exposure to climate risk, with respect to resilience and preparedness to the risks of climate change.
  • What's Smart about Smart Beta? Recorded: Oct 10 2019 55 mins
    Andy Dougan, director research & analytics, Jake Bambridge head of product marketing alt weighted indexes
    Smart Beta and Factor Tilts are sometimes treated as though they are distinct entities. The consensus is that the factor exposures of Smart Beta indexes drive their performance outcomes, however there continues to be a debate regarding whether there is additional, incremental alpha associated with the mere act of re-balancing or use of non-market capitalisation weighting schemes.

    In this webinar we demonstrate that the performance of the “big three” smart beta indexes, Equal Weight, Fundamental Weighting and Minimum Variance are driven solely by their factor exposures.

    We do this by replicating their factor exposures by applying a set of factor tilts to a set of Market Capitalization weights. We find that replication of factor exposures replicates performance outcomes. Therefore we demonstrate that these Smart Beta portfolios are indeed types of factor indexes with multiple and variable factor exposures.

    Stripped of incremental alpha, what remains as potentially “smart” about Smart Beta is the size and nature of the factor bets taken. After all, we still have to build a Smart Beta portfolio to determine just what factor exposures to replicate with a “dumb” factor index. Or do we?

    We demonstrate that the time varying magnitude of factor exposures of Equal Weighted and Fundamental indexes are given by simple measures of cross-sectional dispersion of factor values. A minimum variance portfolio is more complex, but when approximated by an (inverse) risk weighted portfolio an equivalent dispersion measure may be derived for the level of factor exposure.

    In conclusion we demonstrate these Smart Beta indexes are a subset of factor indexes whose factor exposures are simply determined by the cross-sectional dispersion of factor values.
  • Yield Book Analytics Webinar – what’s new for the liquidity ratio metrics? Recorded: Sep 25 2019 49 mins
    Mikhail Bezroukov, Analytics Product Specialist
    The Yield Book is offering a new Liquidity Ratio metric that is able to incorporate both traded price and volume informationm, as well as adjust for yield curve and sector-wide movements. The suite of liquidity metrics is calculated daily and made available through multiple delivery channels, including the Yield Book, Add-In, and API for USD-denominated bonds. Historical data is available for a 5-year period, which allows backfill of significant datasets to create an internal golden source for liquidity calculation as well as backtest historical portfolio liquidity.The webinar will take a closer look at liquidity metrics and transaction-level approaches to liquidity ratio analytics within fixed income markets.

    The Webinar will cover:
    - The measure produces intuitive results allowing for comparison across bonds and market
    - Scalable measure that can be extended to global fixed income markets, beginning with coverage of the US corporate bond universe
    - Innovative approaches to infer a liquidity score for bonds that do not have observed trades

    Our live webinar will be hosted by Mikhail Bezroukov, Analytics Product Specialist.
  • The state of global equity markets through the lens of FTSE GEIS Recorded: Sep 24 2019 47 mins
    Penny Ning Pan, Catherine Yoshimoto, and Alec Young
    FTSE Russell’s flagship global equity indexes, the FTSE Global Equity Index Series (FTSE GEIS) will be rebalanced during the September 23, 2019 semi-annual index review. Through this rules-based process, the index’s eight regional components will be adjusted to reflect changes that have occurred across 49 developed and emerging equity markets globally.

    Join FTSE Russell on September 24th for a discussion that will explore the global equity market landscape via a summary of trends observed and changes captured during the latest global equity rebalance. A review of FTSE Russell’s phased approach to including China A Shares in FTSE GEIS will also be provided.
  • Keynote: The Development of Passive Investment in Europe Recorded: Sep 23 2019 35 mins
    Riccardo Rebonato, EDHEC Business School | Ashley Fagan, Amundi | Tom Eckett, ETF Stream
    Presentation of the results of the EDHEC-Risk European ETF Survey 2019

    Panelists: Riccardo Rebonato, PHD, Professor of Finance, EDHEC Business School
    Ashley Fagan, Global Head of ETF, Indexing & Smart Beta Strategic Clients & UK/IE Strategy & Distribution, Amundi
    Tom Eckett, Senior Writer, ETF Stream
  • Panel 4: Fixed income ETFs 2.0: What do the new breed of products look like? Recorded: Sep 23 2019 27 mins
    David Stevenson, ETF Stream | Irene Bauer, Algo-Chain
    With BlackRock controlling over 60% of the fixed income ETF market in Europe, ETF providers are moving away from the traditionally passive space that is dominated by the bigger players. Fixed income smart beta, credit default swaps and fallen angel ETFs, to name but a few, are quickly developing areas, however, are they viable investment options and do investors need them?

    Moderator: David Stevenson, Editor-in-Chief, ETF Stream
    Panellists: Irene Bauer, CIO Twenty20 Investments, Co-Founder Algo-Chain
  • Panel 3: Investigating the increasing demand in fixed income ETFs Recorded: Sep 23 2019 37 mins
    Tom Eckett, ETF Stream | Jose Garcia-Zarate, Morningstar Europe | James McManus, Nutmeg
    Global assets in fixed income ETFs recently surpassed $1trn however, many believe the asset class is only just getting started. ETFs still account for less than 5% of the entire fixed income market so the growth potential is huge. This panel will explore current investor behaviours and the different ways they are gaining exposure to the asset class.

    Moderator: Tom Eckett, Senior Writer ETF Stream

    Panellists: Jose Garcia-Zarate, Associate Director, Passive Strategies Research, Morningstar Europe
    James McManus, Head of ETF Research, Nutmeg
  • Fireside Chat: What next for strategic bond investors? Recorded: Sep 23 2019 26 mins
    David Stevenson, ETF Stream | Jim Leaviss, M&G Global Macro Bond Fund
    David Stevenson, Editor-in-Chief, ETF Stream & Jim Leaviss, Head of Fixed Income (Mutuals Funds), Fund manager M&G Global Macro Bond Fund
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FTSE Russell is a leading global provider of benchmarking, analytics and data solutions for investors, giving them a precise view of the market relevant to their investment process. A comprehensive range of reliable and accurate indexes provides investors worldwide with the tools they require to measure and benchmark markets across asset classes, styles or strategies.

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  • Title: MARKET BRIEF: Russell 2000 Index Update 3Q16
  • Live at: Oct 25 2016 6:30 pm
  • Presented by: Tom Goodwin, PhD
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