FTSE Carves Up the World With New Index Series

Indeed, FTSE says its soon-to-be unveiled Global Style Series contains 480 new different indexes, covering 1,800 value and growth equities in 28 countries and 31 regional indexes.

FTSE Group officials said the new series includes value and growth indices for each underlying country and regional indexes in the FTSE World Index.  FTSE intends to apply the Style Series to large, medium and small cap indexes, emerging markets and the FTSE UK All-Share Index.  The new index series, including a back history from 1994 will be available from October 4.  

Style Book

After consultations with leading growth and value investment managers and style consultants Style Research, Ltd, FTSE has decided to use nine fundamental data variables – four value and five growth, as noted below:

Value

• Price/Book
• Price/Sales
• Dividend yield
• Price/Cash flow

Growth

• Three-year historic sales growth
• Three-year historic EPS growth
• Two-year forward sales estimates
• Two-year forward EPS estimates
• Equity growth rate: ROE x (1-payout ratio)

Band Width

The average of the growth and value ranking will become the stock’s Overall Style Ranking (OSR).   After each stock is assigned an OSR, the investable market capitalization of each company is placed into either the Value or Growth Index according to allocation bands. 

Those bands help minimize portfolio turnover within the index, and that ensures at rebalance the underlying index is divided evenly 50% growth and 50% value.  According to FTSE a constituent may have its’ market capitalization split across more than one band.

The Global Style Series is free-float adjusted and liquidity screened.  Stocks within the indexes are classified according to the FTSE Global Classification system.

The Index Series is overseen by an independent industry practitioner committee and will be reviewed semi-annually in June and December.