The Russell-Axioma U.S. Small and Large Cap Factor Indexes include: the U.S. Large Cap High Beta Index, the U.S. Large Cap Low Beta Index, the U.S. Large Cap High Volatility Index, the U.S. Large Cap Low Volatility Index, the U.S. Large Cap High Momentum Index, the U.S. Small Cap High Beta Index, the U.S. Small Cap Low Beta Index, the U.S. Small Cap High Volatility Index, the U.S. Small Cap Low Volatility Index and the 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.
Axioma CEO Sebastian Ceria added: “Non-traditional forms of beta sources can be powerful drivers of returns, yet they are largely underutilized.”
Russell and Axioma began rolling out factor indexes in December 2009.
