SEATTLE--(BUSINESS WIRE)--Russell Investments, which owns the most widely used U.S. equity benchmarks for institutional investment products¹, and Axioma, Inc., a leading provider of advanced tools for portfolio optimization and risk analysis, have collaborated to launch a series of long-only large and small cap factor indexes. These new Russell-Axioma U.S. Small and Large Cap Factor Indexes are designed to provide investors with tools to manage their portfolio’s exposure to--and measure their performance against—five individual risk factors within their portfolios.
The series of factor-based indexes features:
- Russell-Axioma U.S. Large Cap High Beta Index
- Russell-Axioma U.S. Large Cap Low Beta Index
- Russell-Axioma U.S. Large Cap High Volatility Index
- Russell-Axioma U.S. Large Cap Low Volatility Index
- Russell-Axioma U.S. Large Cap High Momentum Index
- Russell-Axioma U.S. Small Cap High Beta Index
- Russell-Axioma U.S. Small Cap Low Beta Index
- Russell-Axioma U.S. Small Cap High Volatility Index
- Russell-Axioma U.S. Small Cap Low Volatility Index
- Russell-Axioma U.S. Small Cap High Momentum Index
“Our collaboration with Axioma, particularly leveraging their leading empirical research on factor development, has generated what we believe are more practical tools for tracking factor performance returns,” said Rolf Agather, managing director of index research and innovation at Russell Investments. “These ‘long-only’ factor-based indexes are designed to select securities using long-only stock holdings that capture specific exposures to targeted factors while also accounting for portfolio management and implementation considerations such as turnover and transaction costs.”
Sebastian Ceria, CEO of Axioma, said, "Non-traditional forms of beta sources can be powerful drivers of returns, yet they are largely underutilized. We are delighted to be teaming up with Russell, the industry leader in performance benchmarks, to bring pure risk factor indices to investors. Axioma's powerful optimization technology and risk management expertise, combined with Russell's index capabilities, will help clients implement their investment and hedging strategies with significantly less turnover and lower transaction costs."
The Russell-Axioma U.S. Large Cap Factor Indexes start with the members of the U.S. Large-Cap Russell 1000® Index while the Russell-Axioma U.S. Small Cap Factor Indexes start with the members of the U.S. Small-Cap Russell 2000® Index. Each small or large cap index is then reduced down to those securities that meet the requirements of the specific factor index. The resulting small or large cap factor indexes are constructed using long-only stock holdings.
Russell and Axioma announced the first in a series of factor indexes in December 2009. These new indexes represent the latest installment of this growing index family designed to meet the needs of investors who seek indexes that closely track specific factor returns.
For more information please click: http://www.russell.com/Indexes/factor/.
About Russell Investments
Founded in 1936, Russell Investments is a global financial services firm that serves institutional investors, financial advisers and individuals in more than 35 countries. Over the course of its history, Russell’s innovations have come to define many of the practices that are standard in the investment world today, and have earned the company a reputation for excellence and leadership. The firm has $161 billion in assets under management, as of March 31, 2011. To see how Russell helps to improve financial security for people, visit www.russell.com.
Russell launched its family of indexes in 1984 to more accurately measure U.S. market segments and better track investment manager behavior for its investment management and consulting businesses. The innovative index design includes float-adjusted market capitalization, annual reconstitution, multifactor style analysis as well as objective and transparent rules.
Axioma, Inc. develops and markets innovative risk analysis, portfolio rebalancing and performance attribution products for the financial services industry. Founded in 1998 and headquartered in New York with additional offices in Atlanta, San Francisco, London, Hong Kong, Singapore and Sydney, Axioma helps leading financial firms manage risk, increase returns and improve operational efficiency. For more information about Axioma, please contact Ellen Kiernan at 212.991.4503, or visit the company’s website at www.axiomainc.com.
Russell Investments is a Washington, USA Corporation, which operates through subsidiaries worldwide and is a subsidiary of The Northwestern Mutual Life Insurance Company.
Russell Investments is the owner of the trademarks, service marks and copyrights related to the Russell Indexes.
¹Russell Indexes Annual Benchmark Survey, date as of December 31, 2009.
Axioma and Russell Investments are the source and joint owners of trademarks, service marks and copyrights related to the Russell-Axioma Factor Indexes.
Russell publication of the Russell Indexes, including the Russell-Axioma Factor Indexes, in no way suggests or implies an opinion by Russell as to the attractiveness or appropriateness of investment in any or all securities upon which the Russell Indexes are based,
Indexes are unmanaged and cannot be invested in directly.
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