GLOBAL - Russell Investments and Axioma have launched a suite of long-only factor-based indexes for US small and large cap equities. The ten indexes aim to provide institutional investors with vehicles to manage exposure to five risk factors within portfolios.
"Investors are looking at more sophisticated tools to manage risk," said Rolf Agather, Russell Investment's managing director for research and innovation. "They're looking at the portfolio, beyond the traditional factors like region and asset class into beta, momentum and volatility. We see investors using more sophisticated tools to understand the risk factors and moving beyond size, style and asset class.
The ten funds provide investors with a tool to both hedge against short and medium term factoral impacts and provide a measurement tool for performance across the wider portfolio, Agather said.
"The idea behind the Russell-Axioma indexes is that they are vehicles investors can use to efficiently manage the exposures," said Olivier d'Assier, Axioma's managing director, Asia & Europe, "Because they are built over multifactor risk model, you get the factor purity. You can use the volatility index to hedge volatility, knowing you're not hedging anything else. You can also buy the volatility."
At the moment, the Russell-Axioma indexes only cover US equities, but d'Assier noted that Axioma's risk factor modelling cover a number of equity markets, meaning there is scope to widen the suite of indexes.
The ten launch funds include: 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; 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; and the Russell-Axioma U.S. Large Cap High Momentum Index.
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