FTSE Group and Research Affiliates have launched a series of low-volatility indices that seek to provide alternative sources of beta to indices weighted by market capitalisation.
Covering global, developed and emerging markets, the FTSE RAFI Low Volatility Index Series is published in real time, and selects low-volatility stocks with low turnover and large capacity. The series is designed to provide equity exposure and to filter expensive low volatility stocks, while being diversified across industry sectors and countries.
The new range follows the FTSE RAFI Index Series, which was launched in 2005. As of August 31, there were $59 billion (€46.8 billion) of assets benchmarked against FTSE RAFI indices, through mutual funds, ETFs, separately managed accounts and commingled funds.
Kevin Bourne, managing director, FTSE Group says, “this new suite of products aims to satisfy market demand for an index that captures low-volatility stocks using fundamental factors”.
Jason Hsu, co-founder and vice chairman, Research Affiliates, says the series methodology provides “a low-volatility core universe which is valuation-aware, without uncomfortable country or sector active bets and with high liquidity and investment capacity”.
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