Russell Fundamental Index® Series

The Russell Fundamental Index Series offers a unique solution for managers interested in obtaining alternative beta exposures while maintaining the diversification, transparency and liquidity of traditional indexing. Securities are selected and weighted according to fundamental measures of company size: Adjusted Sales, Operating Cash Flow, and Dividends plus Buybacks.

Key benefits

Comprehensive market coverage.
The Russell Fundamental Index Series is created from the leading Russell 3000 and Russell Global ex-U.S. indexes. Constituents are scored and weighted based on fundamental measures of company size, then further divided into Large Company and Small Company Fundamental Indexes.

Alternatively weighted approach.
Company size is determined by averaging three key non-price measures using publically available accounting data from the last five years. Weights are calculated and assigned by Research Affiliates®, a global leader in innovative investing strategies.

Russell applies index investment screens to the Fundamental Index series to remove potentially illiquid / low investment capacity securities. The indexes are highly reliable and can be easily replicated to serve as the underlying index for investable products.

Accurate and up-to-date.
The Russell Fundamental Index Series has a quarterly partial reconstitution. The weighting of the constituents by fundamental scores is determined during the June annual reconstitution. However, this annual reconstitution is spread out equally each quarter. Splitting the index into four equivalent parts (tranches) adds investment capacity.

Created by experts.
With clients in more than 35 countries, Russell combines global experience with expertise in equity index construction and manager evaluation to create world-class global investment tools.

Russell Fundamental Index Series Wecast

Russell Fundamental Index Series

A new index paradigm

Featuring Rolf Agather
Managing Director, Research & Innovation