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?
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
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.
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.
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.
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.
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.
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
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?
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
Jeffrey Sacks, Citi Private Bank | Henry Cobbe, Elston Consulting | Paul Syms, Invesco | Stephen Isaacs, Alvine Capital
With the Federal Reserve almost certain to cut interest rates later this year, investors who want a steady yield are being forced to turn away from government bonds and look at other options. Gone are the days when the 10-year US Treasury paid you 7%, instead, the 10-year German Bund is being auctioned for -0.24%. In this low yield environment, investors are being forced to other parts of the market however, this presents significant risks so late in the cycle. This session explores some new ways investors can approach the never-ending search for a greater risk-return profile.
Moderator: Jeffrey Sacks, Citi Private Bank, Head - EMEA Investment Strategy
Panellists: Henry Cobbe, Head of Research, Elston Consulting
Paul Syms, Head of EMEA ETF Fixed Income Product Management, Invesco
Stephen Isaacs, Chairman of the Investment Committee, Alvine Capital
Ed Bowsher, ETF Stream | Chris Peel, Tavistock Wealth
Bonds have bounced back in terrific fashion this year as central banks turned away from their hawkish policies following the wobble in Q4 2018. As the Federal Reserve continues to release dovish signals to the market, investor appetite is increasing for riskier parts of the market. However, is this a wise idea so late in the cycle?
The ongoing trade war between the US and China combined with the evergreen risk of another eurozone crisis makes navigating the bond market a tricky prospect even for the most skilled investor.
Moderator: Ed Bowsher, Senior Writer, ETF Stream
Panellists: Chris Peel, CIO, Tavistock Wealth
Jean-Paul Jaegers, Head of Asset Allocation, Barclays Investment Solutions
Lingjuan Ma, senior analyst, FTSE Russell , Jake Bambridge head of product marketing, Smart Beta & Factors
Examining the fundamental relationship of weighing schemes and factor exposure.
Join Lingjuan Ma senior analyst at FTSE Russell, for an exploratory webinar where she will address the link between Size exposure, investment capacity and levels of diversification of seemingly distinct portfolio weighting schemes of equal weighting, market capitalization and inverse market capitalization.The webinar will go on to examine the investment implications of size exposure across the size spectrum.
Please join The Yield Book by FTSE Russell on Tuesday, July 30, for an interactive webinar titled "Analytical Insights for Agency Credit Risk Transfer Deals". This webinar is designed to provide you an overview of The Yield Book by FTSE Russell's coverage of the Credit Risk Transfer (CRT) Program.
In 2012 the Federal Housing Finance Agency (FHFA) initiated a plan to reduce Fannie Mae’s and Freddie Mac’s overall risk. A market for Credit Risk Transfer (CRT) securities developed in 2013 with the introduction of structured debt issuances, known as Structured Agency Credit Risk (STACR) for Freddie Mac, and Connecticut Avenue Securities (CAS) for Fannie Mae.
The Yield Book by FTSE Russell has supported both STACR and CAS securities since their introduction and the applications include market-tested models as well as a powerful calculation engine to analyze these securities.
In this webinar, we will cover:
•A demonstration of The Yield Book's capabilities for analyzing CRTs, including prepayment dials and macro-economic adjustments
•Models for analyzing CRTs including our agency prepayment model, stochastic HPA model, delinquency, default, and loss severity models
•Daily reporting, scenario analysis, and performance monitoring for CRTs
Our live webinar will be presented by David Craft, senior vice president, business development, The Yield Book by FTSE Russell and Jake Katz, director, mortgage research, The Yield Book by FTSE Russell.
Alex Severis, smart beta product manager (FTSE Russell); Robert Bush, head of US product strategy (DWS)
As factor investing becomes more popular, questions regarding performance and factor valuations are increasingly common. Despite seemingly simple questions, answers can be far from straightforward. In a recent research paper published by FTSE Russell it had been concluded that as with individual stocks, there is no definitive valuation metric which provides a clear answer, and different valuation metrics may well result in different conclusions.
Join experts from FTSE Russell and DWS as they review how tilt-tilt indexes work, analyse various factor indexes and discuss top/bottom contributors and detractors from a factor, sector, single stock, country or currency perspective.
Prior to joining this webinar, discover FTSE Russell’s factor indexes: ftserussell.com/index/spotlight/smart-beta-factor-indexes
*** Please note that this webinar is addressed exclusively to professional investors in the USA and/or jurisdictions where DWS funds or products are approved for distribution. ***
FTSE Russell's Q3 Global Markets Research: Second Half Investment Outlook Webinar.
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:
•US and global economic update – What lies ahead for the global economy?
•Financial conditions & Fed monetary policy - Will the Fed live up to investors’ dovish expectations?
•US and international earnings update – How realistic is a second half earnings growth rebound?
•US and international valuation update – Exploring relative value opportunities?
•Actionable asset allocation implications across global equities, credit and alternatives
Rolf Agather, Managing Director, Research & Innovation, FTSE Russell
Join Rolf Agather, Managing Director Research and a select panel of investment experts as they examine some of the key findings from the 2019 Smart beta survey from the studios of the London Stock Exchange.
This year the panel will also discuss the results our special 'Smart Sustainability' report, which looks at the impact of ESG on Smart beta.
This year we are delighted to be joined by;
Owen Thorne, Investment Manager, Merseyside Pension Fund
Erick Weis, Senior Portfolio Manager – Quantitative Management, Ohio Public Employees Retirement System
David Barron, Head of Index Equity & Smart Beta, Legal & General Investment Management
Bryon Lake, Head of International ETFs, J.P. Morgan Asset Management
Abdullah Al Busairi, KMEFIC, Gary Rynhoud, FTSE Russell
Following MSCI's decision to upgrade Kuwait to Emerging Market status, and estimated $2.8 Billion of passive flows will be directed to the Gulf state. In this webinar, Kuwait & Middle Eastern Financial Investment Company joins HANetf to give a local perspective on this important development and index provider, FTSE Russell explain their methodology and approach.
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.
What are the risks and opportunities for markets in 2019?Philip Lawlor - managing director, global markets research; Marlies van Boven - managing director, research & analytics[[ webcastStartDate * 1000 | amDateFormat: 'MMM D YYYY h:mm a' ]]44 mins