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The Russell-Axioma Factor Indexes
The Russell-Axioma Factor Indexes are constructed for the Russell 1000®, Russell 2000® and Russell 3000® Indexes using Axioma's state-of-the-art optimization software and U.S. Equity Fundamental Factor Risk Model.
A practical solution for managing exposure to risk
Russell Indexes, industry leader in objective, transparent index design, and Axioma, Inc., innovator of advanced tools for portfolio optimization and risk analysis, have collaborated to create a new series of factor-based indexes to measure stock performance in various market segments.
The indexes provide investors with investable indexes with four essential characteristics:
- Familiar investment universes. Russell-Axioma Factor Indexes are constructed from constituents comprising the Russell U.S. Indexes.
- True factor returns. Performance returns that closely match those obtained by a factor portfolio that buys the 35% of the base index with the highest factor scores in a cap-weighted fashion and sells the base 35% of the index universe with the lowest factor scores.
- Easily implemented. Designed to be replicated at low costs including controlled turnover, restricted transaction size, and hard limits on the number of names held.
- Neutral to non-relevant factors. Each index is constructed to minimize exposure to other systemic "risk style" factors such as size, liquidity and leverage.
With a methodology designed to control key characteristics including Index tracking error, turnover, and neutrality to non-relevant factors, the Russell-Axioma Factor Indexes offer investors a practical solution for managing exposure to specific risk factors.
The following Factor Indexes are available as market neutral long-short indexes across all market capitalization tiers:
- Russell-Axioma Momentum Index
- Russell-Axioma Beta Index
- Russell-Axioma Leverage Index
- Russell-Axioma Liquidity Index
- Russell-Axioma Volatility Index
Learn more
For more information, feel free to call a Russell representative at
1-866-551-0617 or submit your question.
We'll be happy to answer any questions you may have.
Russell Investment Group is a Washington, USA corporation, which operates through subsidiaries worldwide, including Russell Investments, and is a subsidiary of The Northwestern Mutual Life Insurance Company.
Russell Investments is the owner of the trademarks, service marks and copyrights related to its respective indexes. Russell and Axioma are the source and joint owners of the trademarks, service marks and copyrights related to the Russell-Axioma Momentum Indexes.
Russell's publication of the Russell Indexes, including the Russell-Axioma Momentum Indexes, in no way suggests or implies an opinion by Russell as to the attractiveness or appropriateness of investments in any or all securities upon which the Russell Indexes are based.
CORP-6309
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Indexes are unmanaged and cannot be invested in directly.
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