The leading knowledge platform for the financial technology industry
The leading knowledge platform for the financial technology industry

A-Team Insight Blogs

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

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.

Related content

WEBINAR

Upcoming Webinar: Sanctions – The new pre-trade challenge for the buy-side

Date: 22 September 2021 Time: 10:00am ET / 3:00pm London / 4:00pm CET Duration: 50 minutes Sanctions screening at the security level is a relatively recent requirement for the buy-side. It dives deeper than traditional KYC and AML screening and is immensely challenging as firms must monitor frequently changing sanctions lists, source up-to-date sanctions data...

BLOG

GLEIF LEI Search 2.0 and API Offer Customised, Automated Access to Rich LEI Data

The Global LEI Foundation (GLEIF) has responded to industry demand for customised, automated access to rich LEI data with LEI Search 2.0 and an API that allows third-party developers to automate searches and retrieve open, higher quality LEI data from within their application environments. LEI Search 2.0 expands the number of search parameters available, providing...

EVENT

Data Management Summit USA Virtual

Now in its 11th year, the Data Management Summit USA Virtual explores the shift to the new world where data is redefining the operating model and firms are seeking to unlock value via data transformation projects for enterprise gain and competitive edge.

GUIDE

Entity Data Management Handbook – Seventh Edition

Sourcing entity data and ensuring efficient and effective entity data management is a challenge for many financial institutions as volumes of data rise, more regulations require entity data in reporting, and the fight again financial crime is escalated by bad actors using increasingly sophisticated techniques to attack processes and systems. That said, based on best...