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2020年Q1ファクターパフォーマンスの分析と考察

新型コロナウイルスによるファクターパフォーマンスの分析と考察

4月10日に発行されたファクター・インディケーター季刊レポートをベースとして、FTSE Russellより30分のオンラインセミナーを開催します。FTSE Russellアジア・パシフィックリサーチ・ヘッドの田村浩道が下記の内容について語ります。
•各地域における2020年Q1のファクターパフォーマンスをレビュー
•ファクターパフォーマンスにおける新型コロナウイルスの影響を考察

Supported by the CFA Society Japan
Recorded Apr 30 2020 27 mins
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FTSE Russellアジア・パシフィックリサーチ・ヘッド 田村浩道
Presentation preview: 2020年Q1ファクターパフォーマンスの分析と考察
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  • Introducing Digital Assets to Institutional Infrastructure Jul 28 2020 3:00 pm UTC 45 mins
    Laura Stanley - SEDOL product manager, London Stock Exchange Group; Erin Friez - COO, DIgital Asset Research
    SEDOL expansion and the evolution of the digital economy
  • European listed real estate: Impact of the COVID-19 crisis Jul 22 2020 3:00 pm UTC 60 mins
    Lloyd Barton (Oxford Economics), Dilek Pekdemir (EPRA), Catherine Yoshimoto (FTSE Russell)
    FTSE Russell is joined by special guest Oxford Economics’ Head of global trade services, Lloyd Barton to examine the current and potential future state of the European listed real estate sector.

    During this webinar, Lloyd Barton (Oxford Economics) and Dilek Pekdemir (EPRA) will elaborate on the findings of a recently published research paper:
    • Why the sector is trading at a discount to net asset value (NAV)
    • Why investors tend to ascribe higher NAV premiums to listed real estate stocks with low leverage
    • Output losses will be significantly greater than during the global financial crisis over a one-year timeframe. This has negative implications for the performance of property assets that underpin listed real estate prices
    • The knock-on impact to employment and incomes from the crisis will also influence the near-term outlook for the performance of listed real estate companies with exposure to residential property.

    Speakers:
    • Guest expert: Lloyd Barton, Head of global trade services, Oxford Economics
    • Speaker: Dilek Pekdemir, PhD, Research manager, EPRA (European Public Real Estate Association)
    • Moderator: Catherine Yoshimoto, Director, Product management, FTSE Russell

    In the meantime, you may be interested in reading Oxford Economics and EPRA's research report: https://bit.ly/2AFbNAh
  • Rates Redux: the only way is up? Jul 21 2020 3:00 pm UTC 45 mins
    Robin Marshall (FTSE Russell), Jayni Kosoff (FTSE Russell), Simeon Hyman (ProShares)
    Credit market analysis and scenarios for FTSE Rate Hedged Indexes

    Quantitative easing, including first-time high yield buying. Protection against credit default risk. Low, range-bound rates. Join the experts from FTSE Russell and ProShares to better understand fixed income market scenarios and the value of a rate hedge.

    The broadening of central bank QE to credit has driven strong credit market returns, even if many challenges remain for policy-makers. FTSE Russell and ProShares are thinking about the Fed, rates and credit spreads. Talk to the experts to unravel what’s happening now and take a deeper look at rate hedged indexes and ETFs in this environment.

    A robust discussion on the fixed income markets will be followed by a look at how index construction can drive performance in different market scenarios. ProShares will discuss the ETFs that track these indexes and their potential value in the current market.

    Join our presenters:
    • Robin Marshall – Director of Fixed Income Research, Global Market Research FTSE Russell
    • Jayni Kosoff – Managing Director, Head of Fixed Income ETP Strategy, FTSE Russell
    • Simeon Hyman, CFA – Head of Investment Strategy, ProShares

    ***Please note that this webinar is addressed exclusively to investors in the US and/or jurisdictions where ProShares’ products are approved for distribution.***
  • How has Covid-19 affected factor performance and valuations? (Americas timezone) Jul 16 2020 2:00 pm UTC 45 mins
    Philip Lawlor, MD and Head of Global Investment Research & Marlies van Boven, Head of Global Investment Research, EMEA
    Join our Q2 Factor Performance Review and Insight webinar for analysis and examination of the impact that COVID-19 volatility has had on regional factor performance and factor valuations.

    Our presenters from the Global Investment Research team, will address key developments and questions including:

    • What rotation has there been in factors through the period of COVID-19 volatility?

    • What has happened to the valuation of factors in both absolute and relative terms?

    • What is driving the divergence in performance between Quality and Value stocks across regions?

    They will draw upon data and analysis from our Market Maps “Factor Indicator” quarterly report, to help inform their discussions.

    CPD Certified: 0.5 CE Credit
  • How has Covid-19 affected factor performance and valuations? (EMEA timezone) Jul 16 2020 9:00 am UTC 45 mins
    Philip Lawlor, MD and Head of Global Investment Research & Marlies van Boven, Head of Global Investment Research, EMEA
    Join our Q2 Factor Performance Review and Insight webinar for analysis and examination of the impact that COVID-19 volatility has had on regional factor performance and factor valuations.

    Our presenters from the Global Investment Research team, will address key developments and questions including:

    • What rotation has there been in factors through the period of COVID-19 volatility?

    • What has happened to the valuation of factors in both absolute and relative terms?

    • What is driving the divergence in performance between Quality and Value stocks across regions?

    They will draw upon data and analysis from our Market Maps “Factor Indicator” quarterly report, to help inform their discussions.

    CPD Certified: 0.5 CE Credit
  • How has Covid-19 affected factor performance and valuations? (APAC timezone) Jul 16 2020 6:00 am UTC 45 mins
    Philip Lawlor, MD and Head of Global Investment Research and Marlies van Boven, Head of Global Investment Research, EMEA
    Join our Q2 Factor Performance Review and Insight webinar for analysis and examination of the impact that COVID-19 volatility has had on regional factor performance and factor valuations.

    Our presenters from the Global Investment Research team, will address key developments and questions including:

    • What rotation has there been in factors through the period of COVID-19 volatility?

    • What has happened to the valuation of factors in both absolute and relative terms?

    • What is driving the divergence in performance between Quality and Value stocks across regions?

    They will draw upon data and analysis from our Market Maps “Factor Indicator” quarterly report, to help inform their discussions.

    CPD Certified: 0.5 CE Credit
  • ソブリン債市場の気候リスク分析 Jul 16 2020 1:00 am UTC 60 mins
    FTSE Russell 日本リレーションシップ・マネジメント責任者 売野隆一
    • イールドブックのExcelアドインを通じて、300を超える気候、社会、ガバナンス関連のファクターについて、オンデマンドで気候リスクに関する透明性の高いポートフォリオ分析を実施
    • ポートフォリオの現在のカーボン・フットプリント、温度の軌跡、2℃シナリオとのギャップの測定など、気候リスク調整後ポートフォリオおよびベンチマークの分析を実施
    • ESGパフォーマンスのスナップショットを提供し、サステナビリティ・レーティングの決定要因を把握し、気候関連財務情報開示タスクフォース(TCFD)や責任投資原則(PRI)などの数多くの開示要件を満たす報告書を自動作成
  • Exclusive Canadian Fixed Income Insight for Institutions Jul 14 2020 3:00 pm UTC 30 mins
    Robin Marshall (FTSE Russell), Mark Raes, CFA, MBA (BMO)
    Hear from BMO and FTSE Russell as we launch our bespoke Canadian Fixed Income monthly report for institutional ETF clients.

    FTSE Russell and BMO Global Asset Management are pleased to join forces for a webinar launching a new monthly report dedicated to the Canadian fixed income marketplace — FTSE Russell Canadian Fixed Income Insight Report.

    Robin Marshall, Director of Fixed Income Research, FTSE Russell, and author of the new report, will be joined by Mark Raes, Head of Product Management, BMO ETFs to discuss:
    • Key developments in the Canadian bond market post-lockdown including QE and the Canadian credit conundrum
    • Shifts in yields, spreads and curves across Canadian government and corporate indexes
    • Analysis of key macro-economic drivers and market performance
    • Insights into the Institutional use of Fixed Income ETFs

    Join the conversation:
    • Robin Marshall – Director of Fixed Income Research, Global Market Research, FTSE Russell
    • Mark Raes, CFA, MBA – Head of Product Management & ETF Business Development, BMO Global Asset Management
  • Global Fixed Income - Looking through the Apocalypse. Americas timezone Jul 14 2020 2:00 pm UTC 45 mins
    Robin Marshall, director of fixed income research, Global Investment Research, FTSE Russell
    Risk rally, or risky rally?. Join our quarterly fixed income webinar to get expert insights into the global bond markets post-lockdown and beyond.

    Robin Marshall, director of fixed income research, Global Investment Research will address key developments across conventional, inflation-linked, corporate and MBS indexes, and markets, including:

    - Is the key message from the Great Lockdown, don’t fight the Fed...

    …or have central banks only won the first battle in a long war against recession and deflation?

    - Is the credit market pricing default risk accurately, given the depth of the recession?

    - Does the persistence of ultra-low govt. yields, despite the risk rally, suggest transition to lower trend growth rates?

    - Is helicopter money inevitable?

    Robin will draw upon data and analysis from our Market Maps Fixed Income Insight report to inform his discussion, and assessments.
  • Global Fixed Income - Looking through the apocalypse. For investors in EMEA Jul 14 2020 9:00 am UTC 45 mins
    Robin Marshall, director of fixed income research, Global Investment Research, FTSE Russell
    Risk rally, or risky rally?. Join our quarterly fixed income webinar to get expert insights into the global bond markets post-lockdown and beyond.

    Robin Marshall, director of fixed income research, Global Investment Research will address key developments across conventional, inflation-linked, corporate and MBS indexes, and markets, including:

    -Is the key message from the Great Lockdown, don’t fight the Fed...

    …or have central banks only won the first battle in a long war against recession and deflation?

    Is the credit market pricing default risk accurately, given the depth of the recession?

    Does the persistence of ultra-low govt. yields, despite the risk rally, suggest transition to lower trend growth rates?

    Is helicopter money inevitable?

    Robin will draw upon data and analysis from our Market Maps Fixed Income Insight report to inform his discussion, and assessments.
  • Global Fixed Income - Looking through the apocalypse. For investors in APAC Jul 14 2020 6:00 am UTC 45 mins
    Robin Marshall, director of fixed income research, Global Investment Research, FTSE Russell
    Risk rally, or risky rally?.Join our quarterly fixed income webinar to get expert insights into the global bond markets post-lockdown and beyond.

    Robin Marshall, director of fixed income research, Global Investment Research will address key developments across conventional, inflation-linked, corporate and MBS indexes, and markets, including:

    - Is the key message from the Great Lockdown, don’t fight the Fed...

    …or have central banks only won the first battle in a long war against recession and deflation?

    - Is the credit market pricing default risk accurately, given the depth of the recession?

    - Does the persistence of ultra-low govt. yields, despite the risk rally, suggest transition to lower trend growth rates?

    - Is helicopter money inevitable?

    Robin will draw upon data and analysis from our Market Maps Fixed Income Insight report to inform his discussion, and assessments.

    *This webinar qualifies for 0.5 PL credit under the guidelines of the CFA Institute Professional Learning Program.
  • Canada Fixed Income Performance Review & Insight: Looking through the apocalypse Recorded: Jul 9 2020 45 mins
    Robin Marshall, director, fixed income research, Global Investment Research & Paul Bowes, country manager and head of Canada
    Join our webinar to gain expert insight into key developments in the Canadian bond market post-lockdown - Canadian fixed income, QE and economic recovery.

    Robin Marshall, director of fixed income research, Global Investment Research, will address main developments in Canadian credit, government, and provincial bond markets, including:

    Financial conditions, and the prospects for economic recovery.

    Is the investment conclusion from Q2 “don’t fight the Bank of Canada?"

    Are Canadian government bonds turning Japanese?

    The COVID-19 credit conundrum – why has high yield outperformed?

    Robin will draw upon data and analysis from our Market Maps Canadian Fixed Income Insight report to inform this discussion.
  • JSE and FTSE Russell fixed income indexes partnership Recorded: Jul 3 2020 87 mins
    Waqas Samad, CEO of FTSE Russell; Mark Randall (JSE); Robin Marshall, Scott Harman and Gary Rynhoud (FTSE Russell)
    The Johannesburg Stock Exchange (JSE) and the leading index provider FTSE Russell are extending their existing equity index partnership to include fixed income – combining JSE's regional expertise in Africa and the exchange’s market standard bond prices, with FTSE Russell’s world-class fixed income index expertise and multi-asset capabilities.

    Join the CEO of FTSE Russell and the Director of Information Services of the JSE, as well as fixed income experts from FTSE Russell as they discuss the characteristics of the enhanced index offering, the opportunities the partnership will bring to the market, and what it can do for investors locally and internationally.

    Presenters will touch on South Africa’s evolving debt market, the trends in Fixed income investing, and deliberate what lies ahead for this market against the backdrop of a global pandemic.

    Ahead of this webinar, you may be interested in the following announcement and microsite:
    - Press release: FTSE Russell and JSE launch fixed income indexes [www.ftserussell.com/press/ftse-russell-and-jse-launch-fixed-income-indexes]
    - FTSE/JSE Africa Indexes [www.ftserussell.com/products/indices/jse]
  • 2020年Q2マーケット・レビュー & アウトルック Recorded: Jul 2 2020 35 mins
    FTSE Russell アジア・パシフィック リサーチ・ヘッド 田村浩道
    今回のオンラインセミナーにて、新型コロナウイルスがグローバル株式および債券市場に及ぼす継続的な影響についての重要な洞察をご提供いたします。
    FTSE Russellアジア・パシフィックリサーチ・ヘッドの田村浩道より、「マーケットマップ」レポートからの主要な観察を利用し、ロックダウン後の市場について語ります。
    - バリエーション、予想利益、財政状況などの市場要因に対する新型コロナウイルスの継続的な影響は?(「良いもの、悪いもの、醜いもの」に分類)
    - 主要なマクロリスクとは、何が織り込まれているのか?
    - 債券市場から伝えられるメッセージとは?
    - マーケットローテーションはどのようにファクターリターンに影響を与えたか?

    Supported by the CFA Society Japan
  • Webinar 2: Investors as catalysts of the climate transition Recorded: Jun 30 2020 120 mins
    David Schwimmer, LSEG / Mark Carney, Former Governor of the Bank England / David Blood, Generation Investment Management
    COP26: Investor Action on Climate Webinar Series

    We would like to invite you to the second of our three part webinar series in partnership with LSEG & PRI. The webinars aim to build momentum ahead of COP26 taking place in Glasgow 2021. Given the challenges society, economies & the world face in coming out of COVID-19 it is critical for investors to address potential crises of the future & their role to achieve green growth & recovery.

    Webinar 2: 30 June 2020 - 9-11am BST / 10-12pm CEST / 4-6pm HKT

    AGENDA

    Welcome
    David Schwimmer, CEO, London Stock Exchange Group

    Keynote Discussion: Supporting innovation and driving climate transition
    Moderator: Fiona Reynolds, CEO, PRI
    David Schwimmer, CEO, London Stock Exchange Group
    David Blood, Co-Founder, Generation Investment Management
    Mark Carney, UN special envoy for climate and finance, Former Governor of the Bank England and the UK Prime Minister’s Finance Advisor for COP26

    PRI State of Investor TCFD reporting
    Edward Baker, Senior Specialist, Climate and the Energy Transition, PRI

    Panel: Measuring the Transition: Carbon targets and Portfolio Metrics
    Chair: Jaakko Kooroshy, Head of Data & Methodologies, Sustainable Investment, FTSE Russell
    Dr. Rory Sullivan, Visiting Professor, London School of Economics & CEO Chronos Sustainability
    Stephanie Pfeifer, CEO, IIGCC
    Sylvain Vanston, Group Head of Climate & environment, AXA group

    Panel: How can investors help to drive the transition
    Chair: Sagarika Chatterjee, Director of Climate Change, PRI & COP26 High-Level Champions Team member
    Adam Mathews, Director of Ethics and Engagement, Church of England Pensions Board
    Meaghan Muldoon, Managing Director, Global Head of ESG Integration, BlackRock
    Stephanie Maier, Director, Responsible Investment Specialist, HSBC Global Asset Management
    Crystal Geng, Director ESG, Ping An Insurance
    Claudia Kruse, Managing Director Global Responsible Investment & Governance, APG Asset Management
  • 2020 Russell US Indexes Reconstitution: Unlike any seen before? Recorded: Jun 25 2020 51 mins
    Jermal Chandler (Cboe Options Institute), Amy Whitelaw (BlackRock), Philip Lawlor and Catherine Yoshimoto (FTSE Russell)
    The story about a growing gap between the largest and smallest US stocks.

    The annual Russell US Indexes reconstitution, happening like clockwork every year in June, is a report card of sorts for the US equity markets. And with approximately $9Tn in investor assets tracking the Russell US Indexes, the event is closely watched by key market participants.

    The 2020 Russell US Indexes Reconstitution, which began with Rank Day May 8th and concludes June 26th, underscores a notable divergence between the large and small ends of the US equity market.

    In a year in which total US market capitalization decreased by 1%, the market cap of the 10 largest US companies increased by more than 23%. In fact, three companies (Microsoft, Apple & Amazon), surpassed $1Tn in size as of May 8th Rank Day.

    On the eve of its annual US index rebalance, FTSE Russell has gathered market participants to examine the upcoming event.

    Ahead of this webinar, you may be interested in reading our recent related blogs:
    - What explains the recon cap gap? www.ftserussell.com/blogs/what-explains-recon-cap-gap
    - Big getting bigger and small getting smaller: www.ftserussell.com/blogs/what-explains-recon-cap-gap
    - Experts share perspectives on the annual Russell reconstitution: www.ftserussell.com/blogs/experts-share-perspectives-annual-russell-reconstitution
  • Beyond growth equity: Large cap hyper growth in a time of change Recorded: Jun 24 2020 46 mins
    Ross French, CFA, CQF - Senior Research Analyst (FTSE Russell), David Mazza, Managing Director, Head of Product (Direxion)
    FTSE Russell and Direxion ETFs come together to discuss large cap hyper growth.

    FTSE Russell will discuss large cap hyper growth in volatile markets and takes a deep dive into the methodology to understand the factor influences that determine index constituents of the Russell 1000 Hyper Growth Index.

    Direxion will look at growth exposure, the metrics that matter in long term portfolio construction, and their new ETF market entrant.

    Ahead of this webinar, you may be interested in reading our recent related blog:
    - "The growth, quality and momentum trifecta": www.ftserussell.com/blogs/index-idea-growth-quality-and-momentum-trifecta

    *** Please note that this webinar is addressed exclusively to investors in the US and/or jurisdictions where Direxion’s products are approved for distribution. ***
  • ESGデータの規準を知る Recorded: Jun 24 2020 42 mins
    中島英介 FTSE Russellサステナブル投資ジャパンヘッド、伊藤将志 FactSet Japanアナリティクスプロダクトセールススペシャリスト、多湖理 FTSE Russell日本代表/ロンドン証券取引所グループ情報サービス部門日本代表
    いまやESG志向の投資はかつてない広がりを見せており、企業のESGデータは投資の意思決定、リスク管理、そして企業へのエンゲージメントに活用されつつあります。
    FTSE RussellとFactSetの専門家が、ESGへの配慮を意思決定に組み込もうとする最新の動向について紹介します。また、FactSetからは、お客様の持続可能な投資戦略の構築やマルチ・アセット・クラスに関するレポートの作成について、いかなる支援が可能かを詳しくご説明します。
  • After the Covid19 'wall of worry'–what's next for markets? For investors in APAC Recorded: Jun 19 2020 24 mins
    Philip Lawlor, managing director, Global Markets Research
    Join our 'Market Outlook Review' webinar to get analysis and expert insight into global macroeconomic, equity and bond market signals, and learn more about the ‘Tailwinds and Headwinds’ confronting markets in the latter half of 2020.

    Philip Lawlor, MD, Global Markets Research will draw upon key observations from our "Market Maps" reports to provide critical insights into the ongoing impact Covid-19 is having on global markets. In addition, he will provide an in-depth:

    • Assessment of the ‘Tailwinds and Headwinds’ confronting markets in the latter half of 2020.

    • Examination of the status of global market drivers such as:

    - Financial conditions
    - Valuations
    - EPS and dividends
    - Factor rotation

    *This webinar qualifies for 0.5 PL credit under the guidelines of the CFA Institute Professional Learning Program
  • Assessing the market ‘Headwinds & Tailwinds' after the Covid19 'wall of worry' Recorded: Jun 18 2020 23 mins
    Philip Lawlor, managing director, Global Markets Research
    Join our 'Market Outlook Review' webinar to get analysis and expert insight into global macroeconomic, equity and bond market signals, and learn more about the ‘Tailwinds and Headwinds’ confronting markets in the latter half of 2020.

    Philip Lawlor, MD, Global Markets Research will draw upon key observations from our "Market Maps" reports to provide critical insights into the ongoing impact Covid-19 is having on global markets. In addition, he will provide an in-depth:

    • Assessment of the ‘Tailwinds and Headwinds’ confronting markets in the latter half of 2020.

    • Examination of the status of global market drivers such as:

    - Financial conditions
    - Valuations
    - EPS and dividends
    - Factor rotation
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  • Title: 2020年Q1ファクターパフォーマンスの分析と考察
  • Live at: Apr 30 2020 1:00 am
  • Presented by: FTSE Russellアジア・パシフィックリサーチ・ヘッド 田村浩道
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