FT Wilshire Pure Factor Index Series

Minimizing the impact of ‘off target’ exposures

FT Wilshire Pure Factor Indexes​ allow precise control of targeted and off-target exposures​, resulting in a greater degree of factor purity and investability.

Academic research has demonstrated that factors such as Value, Momentum, Quality, Low Volatility and Size determine the return of diversified portfolios. Long term exposure to these factors leads to performance benefits - both long and short-term risks exist when factor exposures are not properly controlled or ignored.

Why Investors use Factor Indexes

To gain access to their associated long-term risk premia via an inexpensive index vehicle

To easily implement factor allocation decisions when market conditions change

To manage long and short-term portfolio risk

FT Wilshire US Pure Factor Indexes

Our factor tilting methodology allow indexes to be created with large on-target exposure while simultaneously neutralizing any off-target  exposure. This results in a more pure and investible product, and can also be used to the control other important exposures such as those relating to Sustainable Investing.

Available Index Series

FT Wilshire US Pure Factor Indexes
FT Wilshire US Large Pure Value
FT Wilshire US Large Pure Momentum
FT Wilshire US Large Pure Quality
FT Wilshire US Large Pure Size
FT Wilshire US Large Pure Beta
FT Wilshire US Large 4-Factor Beta Neutral
FT Wilshire US Large 5-Factor
FT Wilshire US Small 4-Factor Size Neutral Index
Examples of use cases
Factor rotation and timing
Completion portfolios
Factor attribution and benchmarking
Factor Definitions
Value is defined as an equally weighted composite of the latest Earnings Yield, Sales to Price Ratio, Cash Flow Yield and Book to Price Ratio.

Momentum is defined as the cumulative local price return, starting twelve months prior to, and ending one month before the data cutoff date.

Quality is defined as an equally weighted composite of the latest ROE, Accruals Ratio and Debt to Equity Ratio. I

Size is defined as minus the natural logarithm of the full company market capitalization calculated in USD.

Beta is calculated as minus the covariance between stock total return and the underlying (market) index total return divided by the variance of the underlying index total return using two years of daily data prior to the data cutoff date.
Pure Multi Factor Indexes
Equal exposure
Equal risk contribution
Market neutral

Index Returns

Historical Performance

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