Developed and emerging market bonds in a low interest rate world

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. ***

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

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. ***

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.

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?

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

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

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.

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.

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.

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

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

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

David Stevenson, Editor-in-Chief, ETF Stream & Jim Leaviss, Head of Fixed Income (Mutuals Funds), Fund manager M&G Global Macro Bond Fund

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