European listed real estate: Impact of the COVID-19 crisis Lloyd Barton (Oxford Economics), Dilek Pekdemir (EPRA), Catherine Yoshimoto (FTSE Russell) [[ webcastStartDate * 1000 | amDateFormat: 'MMM D YYYY h:mm a' ]] 60 mins

The FTSE Taiwan RIC Capped Index represents the performance of Taiwan large and mid capitalization stocks. Securities are weighted based on their free float-adjusted market capitalization and reviewed semi-annually. To limit concentration in any single security, constituents are capped quarterly so that no more than 20% of the index's weight may be allocated to a single constituent and the sum of the weights of all constituents representing more than 4.5% of the index should not exceed 48% of the total index weight.

The index is derived from the FTSE Global Equity Index Series (GEIS), which covers 98% of the world’s investable market capitalisation.

Tickers:

Rates Redux: the only way is up? Robin Marshall (FTSE Russell), Jayni Kosoff (FTSE Russell), Simeon Hyman (ProShares) [[ webcastStartDate * 1000 | amDateFormat: 'MMM D YYYY h:mm a' ]] 45 mins

Global Fixed Income - Looking through the apocalypse Robin Marshall, director of fixed income research, Global Investment Research, FTSE Russell [[ webcastStartDate * 1000 | amDateFormat: 'MMM D YYYY h:mm a' ]] 30 mins

Rates Redux: the only way is up? Robin Marshall (FTSE Russell), Jayni Kosoff (FTSE Russell), Simeon Hyman (ProShares) [[ webcastStartDate * 1000 | amDateFormat: 'MMM D YYYY h:mm a' ]] 45 mins

By Lee Clements, head of sustainable investment solutions, FTSE Russell, Shrey Kohli, head of business development & product, multi asset primary markets, London Stock Exchange, and David Harris,  head of sustainable business, London Stock Exchange Group, former member of the EU High Level Expert Group on Sustainable Finance

In a recent interview Christine Lagarde, president of the European Central Bank, announced that they will begin to use the bank’s asset purchase scheme to pursue green objectives. “I want to explore every avenue available in order to combat climate change” she told the Financial Times. Particular focus has been placed by the market on the potential of the ECB to focus on the purchase of green bonds by the scheme.

This marks the first time a major central bank has committed to use their bond purchasing to address climate issues. The involvement of the €2.8trn scheme will be a valuable addition to the growing number of investors,...

FTSE Russell's head of Canada, Paul Bowes, and Robin Marshall, our director of fixed income research, recently spoke to Canada clients and the news media about the Canada fixed income markets. In a program entitled “Looking through the apocalypse: Canadian fixed income, QE and economic recovery,” Marshall examined key drivers behind the strong recovery in Canada fixed income markets since late March and considered whether this rally is sustainable longer term. Highlights of his market assessment include:

“COVID-19 has had an extraordinary impact on the global economy and markets, including Canadian fixed income. Despite a risk rally in recent months, we still don’t know the full impact of the global economic lockdowns.”

“Of course, we have had a powerful risk recovery, but there are obvious concerns about longer term impact on trend growth from the change in work practices and the effect of social distancing. Potentially weaker long-term trend growth is...

By Philip Lawlor, head of Global Investment Research

Equity factor performance has been riding a risk-on/risk-off rollercoaster in recent months. Though risk appetite has revived since the March meltdown, an undercurrent of defensiveness persists.

Spirits ran high in May as economies began to reopen and signs of recovery emerged. Markets staged a strong rotation into long-battered smaller cap (Size) stocks for the month, mostly at the expense of Low Volatility and Momentum.

But the risk rally hit a speed bump in June, as a fresh flare-up in coronavirus cases undermined hopes for a quick comeback in economic activity. Size outperformance waned, and Quality and Profitability resumed their winning streaks. Low Vol, however, remained in the doldrums.

Second-quarter 2020 regional factor returns relative to home markets (local currency %)

Source: FTSE Russell. Data as of June 30, 2020. Past performance is no guarantee to future results....

By Robin Marshall, director of fixed income, Global Markets Research

Despite a return in risk appetite in the second quarter, long duration government bonds have remained the top performing fixed income asset in 2020. For example, 20-year+ US Treasuries have registered returns of almost 22% in US dollar terms this year (to end-June). UK gilts made gains of nearly 18% in sterling terms, although for a dollar investor, this was reduced to 10% due to currency weakness. Long-dated Canadian and German government bonds also held up well year to date, despite yields edging higher in June (also see Chart 2).

As huge QE programs were put to work in Q2, credit, notably high-yield bonds, benefited from renewed risk appetite, particularly after the Fed and ECB signaled high-yield credit purchases. Both US and European high yield bonds bounced back, delivering gains of up to 14% in US dollars. US investment-grade credits now show positive returns for a dollar investor in 2020,...

LONDON (Reuters) - London Stock Exchange (LSE.L) index compiler FTSE Russell began publishing forward-looking interest rates on Monday, entering a four-way race for a new market opened up by the scrapping of Libor next year.

Regulators want the London Interbank Offered Rate or Libor, which banks were fined for trying to rig, replaced with the Bank of England’s Sonia rate for sterling denominated swaps, loans and futures by the end of 2021.

But market participants have said that the Sonia overnight rate lacks the forward-looking variants or “tenors” that Libor has, making it harder to switch some contracts like interest rate swaps.

FTSE Russell said its Term Sonia Reference Rates or TSRR will be published on an indicative basis for six months to allow potential users to track its performance first.

It will cover 1 month, 3 month, 6 month and 12 month tenors, with...

European listed real estate: Impact of the COVID-19 crisis Lloyd Barton (Oxford Economics), Dilek Pekdemir (EPRA), Catherine Yoshimoto (FTSE Russell) [[ webcastStartDate * 1000 | amDateFormat: 'MMM D YYYY h:mm a' ]] 60 mins

Chinese financial markets have developed rapidly in recent years, both relative to the size of the domestic economy and the global economy. The Chinese government bond market has a market capitalization that now exceeds that of UK gilts and German Bunds. Reforms in Chinese financial markets, and inclusion of Chinese equities and bonds in major global indexes, have improved access to, and increased foreign participation in Chinese markets. In this paper, we review the transformation of this rising financial asset with a number of considerations, including:

While exposure to the real estate asset class is common in defined benefit (DB) plans, this has only become a more recent occurrence in defined contribution (DC) plans. Many target date funds (TDFs) have now started to provide exposure to real estate through stock exchange listed real estate investment trusts (REITs), though some also allocate to “direct” or “private” real estate. Considering that TDFs are commonplace in DC plans, and the majority of net cash flows are directed to them, the wider use of real estate allocations within them brings the need to better understand this asset class.

This paper profiles the advantages of investing in the real estate asset class, including a more detailed breakdown of this sector, as well as the practical implications of accessing real estate through a DC plan.

Following years of research and debates on ESG analysis, there is still only an emerging consensus as to its benefit, and also no internationally ratified formal agreement that would stipulate what indicators should be required information for performance assessment and wider impacts evaluation.

Many studies have tried to capture this material effect on financial performance, with some success as seen in recent meta studies. However, before examining materiality, it is important to ask what type of information ESG scores try to capture in the first place? In this study, we seek to explain what new information they bring, especially for issuers, explore how much ESG scores say about the sustainability efforts and performances of those issuers, and examine which parts of those efforts are driven by external factors that are not specific to the issuer.

The purpose of these questions is not to disregard current ESG scoring and rating methodologies, but to...

 

With the guidance and direction of FTSE Russell’s independent practitioner committees, FTSE Russell regularly consults the market on changes to the methodology of its indexes to ensure that the indexes continue to meet investors’ requirements and define and lead global standards in indexing. The proposals set out in the various consultation documents are included in order to gather valuable market feedback and may or may not result in changes to FTSE Russell methodologies.

Canada Fixed Income Performance Review & Insight: Key developments post-lockdown Robin Marshall, director of fixed income research, Global Markets Research & Paul Bowes, country manager and head of Canada [[ webcastStartDate * 1000 | amDateFormat: 'MMM D YYYY h:mm a' ]] 45 mins