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Russell Investments and Axioma expand factor index series


Russell Investments and Axioma have extended their collaboration to include developed market ex-US factor-based indexes. Through five new Russell-Axioma factor indexes, international investors will now be able to better track and manage exposure to a range of investment risk factors within their portfolios of stocks outside the United States.

The new indexes employ the same Russell rules-based index methodology as the US factor based indexes, and are built from the underlying constituents of the Russell Developed ex-US Large Cap Index.

The additional indexes that have been added to the series are: Russell-Axioma Developed ex-US Large Cap Low Volatility Index; Russell-Axioma Developed ex-US Low Beta Index; Russell-Axioma Developed ex-US High Momentum Index; Russell-Axioma Developed ex-US High Volatility Index; and Russell-Axioma Developed ex-US High Beta Index.

“Our clients are continually asking us for additional and more sophisticated tools to help manage risk exposure in this challenging investment environment, particularly with respect to international markets,” says Rolf Agather (pictured), global director of research and innovation for Russell Indexes. “Our continued partnership with Axioma, a leader in the field of risk factor analysis, tools and research, helps ensure that our expanding family of indexes anticipates and responds to changing investors needs as the markets change and evolve.”

Russell manager and market research has suggested that market returns are influenced by factors beyond market capitalisation and investment style (i.e., defensive & dynamic, value & growth) and that some of the most significant factors explaining stock price are beta, volatility and momentum. To this end, Russell and Axioma formed an alliance in December 2009 with the creation of the Russell-Axioma Momentum Index. The firms built on the alliance in November 2010 with the introduction of Russell’s US market-based series of factor indexes designed to track isolated risk factor exposure for investors based on beta, momentum and volatility. The international indexes, just added to this series, consider these three fundamental risk factors while adding currency and country exposure constraints to account for differences across markets.

Sebastian Ceria, CEO of Axioma, says: “We are very excited to continue our alliance with Russell to help investors stay at the forefront of risk management. Our collaboration allows us to package our risk model factors into indexes that can be used to track true factor returns for both investing and hedging.”

The expansion of the Russell-Axioma Factor Indexes to international markets is another global enhancement for Russell Indexes. In March 2011, Russell launched the Russell Global 3000TM Index Series of 18 indexes for investors seeking enhanced tradeability for investment vehicles. In early October, Russell Indexes announced a strategic alliance with Chi-X Europe to introduce four innovative new PanEuropean and Eurozone indexes, called the Chi-X Europe Russell Index Series, to European equity investors. And, in recent weeks, Russell launched a global series of the Russell Stability Indexes – the Russell Global Defensive and Dynamic Indexes – which are benchmarks designed to go beyond valuation-based style measures to consider quality and volatility in addition to stock price measures in evaluating companies.

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