FTSE Russell Factsheet
FTSE All-World Qual/Val/Vol Factor Index
Data as at: 31 May 2017
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The FTSE Global Factor Index Series is a new suite of benchmarks designed to represent the
FEATURES
performance of specific individual factor characteristics and combinations of these factors. The
factors represent common factor characteristics for which there is a broad academic and
Coverage
practitioner consensus, supported by a body of empirical evidence across different geographies
Derived from the FTSE All World Index,
and time periods.
which represents large and mid cap
10-Year Qual/Val/Vol Factor Performance relative to FTSE All World - Total Return
companies in developed and emerging
markets.
Relative to FTSE All-World (USD)
115
Objective
The FTSE Global Factor Index series uses a
110
common methodology to achieve a
105
controlled exposure to a target factor, whilst
considering levels of diversification and
100
capacity.
95
May-2007 May-2008 May-2009 May-2010 May-2011 May-2012 May-2013 May-2014 May-2015 May-2016 May-2017
Data as at month end
Liquidity
Stocks in the universe index are screened to
ensure that the index is tradable.
FTSE All-World Qual/Val/Vol Factor
Transparency
10-Year Single Factors Performance relative to FTSE All World - Total Return
Index rules are freely available on the FTSE
Russell website.
Relative to FTSE All-World (USD)
125
Availability
120
115
The index is calculated based on price and
110
total return methodologies and available
105
end-of-day and in some cases real-time
100
(please see index rules for details).
95
90
Industry Classification Benchmark
85
May-2007 May-2008 May-2009 May-2010 May-2011 May-2012 May-2013 May-2014 May-2015 May-2016 May-2017
Data as at month end
Index constituents are categorized in
accordance with the Industry Classification
FTSE All-World Quality Factor
FTSE All-World Size Factor
Benchmark (ICB), the global standard for
FTSE All-World Volatility Factor
FTSE All-World Yield Factor
industry sector analysis.
10-Year Single Factors Performance relative to FTSE All World - Total Return
Relative to FTSE All-World (USD)
115
110
105
100
95
90
85
May-2007 May-2008 May-2009 May-2010 May-2011 May-2012 May-2013 May-2014 May-2015 May-2016 May-2017
Data as at month end
FTSE All-World Momentum Factor
FTSE All-World Illiquidity Factor
FTSE All-World Value Factor
Source: FTSE Russell as at 31 May 2017. Past performance is no guarantee of future results.
Returns shown before the index launch date reflect hypothetical historical performance. Please see disclaimer for important legal information.
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Data as at: 31 May 2017
FTSE All-World Qual/Val/Vol Factor Index
INFORMATION
Performance and Volatility - Total Return
Index (USD)
Return %
Return pa %*
Volatility %**
Index Universe
3M
6M
YTD
12M
3YR
5YR
3YR
5YR
1YR
3YR
5YR
FTSE All-World Qual/Val/Vol Factor
4.3
13.2
10.4
17.3
19.1
76.2
6.0
12.0
9.0
11.9
9.7
FTSE All-World Quality Factor
7.5
16.9
15.0
18.2
24.2
79.8
7.5
12.5
8.8
11.6
9.8
FTSE All-World Size Factor
4.7
13.0
11.4
18.3
20.1
78.1
6.3
12.2
10.1
13.0
10.6
FTSE All-World Volatility Factor
4.4
13.0
10.0
15.6
22.8
80.6
7.1
12.6
8.6
11.2
9.3
FTSE All-World Yield Factor
3.9
11.8
8.0
16.6
11.9
68.5
3.8
11.0
10.1
12.9
10.5
FTSE All-World Momentum Factor
5.0
13.5
11.0
16.6
19.6
77.6
6.1
12.2
9.1
11.9
9.7
FTSE All-World Illiquidity Factor
6.7
15.7
13.7
18.9
13.8
62.5
4.4
10.2
10.5
13.3
11.0
FTSE All-World Value Factor
4.0
13.2
9.8
21.3
15.2
76.9
4.8
12.1
11.2
14.2
11.3
1000
FTSE All-World
5.2
13.8
11.2
18.3
19.1
78.0
6.0
12.2
9.7
12.4
10.0
Investability Screen
** Volatility – 1YR based on 12 months daily data. 3YR based on weekly data (Wednesday to Wednesday). 5YR based on monthly data
Base Date
20 September 2013
Base Value
Index Calculation
2007
2008
2009
2010
2011
2012
2013
2014
2015
2016
FTSE All-World Qual/Val/Vol
Factor
16.0
-34.9
30.3
9.8
0.3
13.7
22.0
6.3
-3.6
11.6
FTSE All-World Quality Factor
18.4
-36.1
32.6
12.8
-1.6
15.4
22.0
6.0
0.3
6.2
FTSE All-World Size Factor
12.9
-43.7
50.5
22.7
-13.1
19.0
20.3
3.6
-1.5
10.8
9.7
-35.2
27.7
10.5
2.3
15.3
23.1
8.4
-0.4
9.0
FTSE All-World Yield Factor
12.1
-41.2
37.1
9.7
-2.2
15.8
20.0
3.2
-4.9
12.4
FTSE All-World Momentum
Factor
16.8
-40.3
28.7
13.3
-5.9
18.2
25.2
5.0
-0.1
6.2
FTSE All-World Illiquidity Factor
17.2
-44.3
46.2
21.8
-13.3
19.8
15.2
0.6
-3.5
7.7
FTSE All-World Value Factor
12.7
-43.5
38.5
10.9
-9.2
17.2
22.7
2.9
-5.5
13.2
FTSE All-World
12.7
-41.8
36.2
13.2
-7.3
17.1
23.3
4.8
-1.7
8.6
Return/Risk Ratio and Drawdown - Total Return
Index (USD)
1 December 2014
to underlying
Year-on-Year Performance - Total Return
FTSE All-World Volatility Factor
Index Launch
Actual free float and liquidity screen applied
* Compound annual returns measured over 3 and 5 years respectively
Index % (USD)
FTSE All-World Index
Indexes calculated end-of-day. Multifactor
index also real-time.
End-of-Day Distribution
Via FTP and email
Currency
USD, EUR, GBP, JPY, AUD, Local
Review Dates
Annually in September. Additional review in
March for Momentum Factor indices.
History
Available from September 2001
Return/Risk Ratio
Drawdown (%)
1YR
3YR
5YR
10YR
1YR
3YR
5YR
10YR
FTSE All-World Qual/Val/Vol Factor
1.9
0.5
1.2
0.3
-6.0
-17.3
-17.3
-52.5
FTSE All-World Quality Factor
2.0
0.6
1.3
0.4
-6.3
-15.3
-15.3
-50.7
FTSE All-World Size Factor
1.7
0.5
1.2
0.3
-7.3
-21.3
-21.3
-59.0
FTSE All-World Volatility Factor
1.8
0.6
1.3
0.4
-5.6
-13.9
-13.9
-53.3
FTSE All-World Yield Factor
1.6
0.3
1.0
0.2
-6.9
-19.5
-19.5
-60.2
FTSE All-World Momentum Factor
1.8
0.5
1.3
0.3
-6.2
-17.2
-17.2
-55.7
FTSE All-World Illiquidity Factor
1.7
0.3
0.9
0.2
-7.4
-23.1
-23.1
-59.0
FTSE All-World Value Factor
1.8
0.3
1.1
0.2
-8.3
-23.3
-23.3
-61.0
FTSE All-World
1.8
0.5
1.2
0.2
-7.2
-18.8
-18.8
-57.9
Return/Risk Ratio – based on compound annual returns and volatility in Performance and Volatility table
Drawdown - based on daily data
Index Characteristics - FTSE All World Qual/Val/Vol
Attributes
FTSE All-World Qual/Val/Vol Factor
Number of constituents
1233
Dividend Yield %
2.72
Constituent (Wgt %)
Average
0.08
Largest
5.78
Median
Top 10 Holdings (Wgt %)
0.03
16.74
Source: FTSE Russell as at 31 May 2017. Past performance is no guarantee of future results.
Returns shown before the index launch date reflect hypothetical historical performance. Please see disclaimer for important legal information.
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Data as at: 31 May 2017
FTSE All-World Qual/Val/Vol Factor Index
Index Characteristics - FTSE All World Single Factors
Attributes
FTSE All-World
Quality Factor
FTSE All-World
Size Factor
FTSE All-World
Volatility Factor
FTSE All-World
Yield Factor
Number of constituents
1492
2055
772
997
Dividend Yield %
2.11
2.24
2.66
3.74
Average
0.07
0.05
0.13
0.10
Largest
4.65
0.33
2.60
1.93
Median
0.02
0.03
0.06
0.04
18.25
2.88
13.47
12.68
Constituent (Wgt %)
Top 10 Holdings (Wgt %)
Index Characteristics - FTSE All World Single Factors (cont.)
Attributes
FTSE All-World
Momentum Factor
FTSE All-World
Illiquidity Factor
FTSE All-World
Value Factor
FTSE All-World
Number of constituents
1921
2086
1981
3087
Dividend Yield %
2.28
2.39
2.80
2.42
Average
0.05
0.05
0.05
0.03
Largest
2.68
0.46
4.30
1.93
Median
0.02
0.04
0.02
0.01
12.13
3.30
14.16
9.30
Constituent (Wgt %)
Top 10 Holdings (Wgt %)
31 May 2017
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Past performance is no guarantee of future results. Charts and graphs are provided for illustrative purposes only. Index returns shown may not represent
the results of the actual trading of investable assets. Certain returns shown may reflect back-tested performance. All performance presented prior to the
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index inception date is back-tested performance. Back-tested performance is not actual performance, but is hypothetical. The back-test calculations are
based on the same methodology that was in effect when the index was officially launched. However, back- tested data may reflect the application of the
index methodology with the benefit of hindsight, and the historic calculations of an index may change from month to month based on revisions to the
underlying economic data used in the calculation of the index.
Source: FTSE Russell as at 31 May 2017. Past performance is no guarantee of future results.
Returns shown before the index launch date reflect hypothetical historical performance. Please see disclaimer for important legal information.
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