The Russell High Efficiency Factor Indexes have shown low volatility-oriented European large cap stocks leading their quality-, value- and momentum-oriented counterparts within the Russell Developed Europe Large Cap Index so far in 2014.
However, in November the European large cap momentum factor index led all other European large cap factor indexes according to the Russell High Efficiency™ Factor Indexes.
In 2014 YTD as of December 2, the Russell Developed Europe Large Cap High Efficiency Low Volatility Index (12.6%) has outperformed the Russell Developed Europe Large Cap High Efficiency Quality Index (9.5%), the Russell Developed Europe Large Cap Index (9.4%), the Russell Developed Europe Large Cap High Efficiency Value Index (9.1%) and the Russell Developed Europe Large Cap High Efficiency Momentum Index (8.4%).
In November, the Russell Developed Europe Large Cap High Efficiency Momentum Index (3.5%) showed a slight lead over the Russell Developed Europe Large Cap Index and all other Russell Developed Europe Large Cap High Efficiency Factor Indexes as shown in the table below.
The Russell High Efficiency Factor Indexes are designed to help investors identify and measure stocks which exhibit certain characteristics commonly sought by investors; Low Volatility, Value, Quality and Momentum. The index methodology weights stocks in proportion to their factor exposure rather than their market capitalisation. The stronger a stock’s exposure to a particular factor, the larger its active weight in the index.
Gareth Parker, Director, Indexes Research & Product, Russell Investments Europe, says: “November was a relatively stable month for factor index performance as measured by Russell’s High Efficiency Momentum, Low Volatility, Value and Quality indexes. However, with European equities exhibiting moderate and relatively volatile performance thus far in 2014, it is notable to see that lower volatility stocks have enjoyed strong relative performance year-to-date, as evidenced by Russell factor index performance. Momentum-driven European stocks as reflected by the Russell Developed Europe Large Cap High Efficiency Momentum Index marginally led European large caps stocks in November, yet low volatility and high quality European large caps stocks also remained strong as reflected by Russell’s high efficiency factor indexes, indicating that investors potentially have some appetite for risk but it is still a very ‘risk-aware’ market environment.”