About a-team Marketing Services
The knowledge platform for the financial technology industry
The knowledge platform for the financial technology industry

A-Team Insight Blogs

Russell and Axioma Launch a New Suite of ‘Long-Only’ Factor-Based Indexes

Subscribe to our newsletter

Russell Investments, which owns the most widely used U.S. equity benchmarks for institutional investment products’, 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 instalment of this growing index family designed to meet the needs of investors who seek indexes that closely track specific factor returns.

Subscribe to our newsletter

Related content


Upcoming Webinar: An update on data standards and global identifiers

Date: 19 October 2023 Time: 10:00am ET / 3:00pm London / 4:00pm CET Duration: 50 minutes Data standards and global identifiers have been parts of capital markets’ practices for many years, and more are being developed, reviewed and shaped as the industry acknowledges their role in streamlining data management, reducing risk, improving transparency, and achieving...


Understanding the Value of Global Identifiers in the Fight Against Financial Crime

By Clare Rowley, Head of Business Operations, GLEIF. Money laundering and terrorist financing create significant systemic risks in the global financial system. The intricate webs spun by fraudsters and criminals to evade detection crisscross national borders and legal jurisdictions, commonly exploiting multiple financial institutions and legal entities. In today’s instant digital economy, this is exposing...


ESG Data & Tech Summit London

The ESG Data & Tech Summit will explore challenges around assembling and evaluating ESG data for reporting and the impact of regulatory measures and industry collaboration on transparency and standardisation efforts. Expert speakers will address how the evolving market infrastructure is developing and the role of new technologies and alternative data in improving insight and filling data gaps.


High Performance Technologies for Trading

The highly specialised realm of high frequency trading without doubt is a great driver for a range of high performance technologies that are becoming essential tools for Wall Street. More so than the now somewhat pedestrian algorithmic trading and analytics/pricing applications that are usually cited as the reason that HPC is hitting the financial markets,...