Wall Street & Technology is part of the Informa Tech Division of Informa PLC

This site is operated by a business or businesses owned by Informa PLC and all copyright resides with them. Informa PLC's registered office is 5 Howick Place, London SW1P 1WG. Registered in England and Wales. Number 8860726.


10:32 AM
Connect Directly

Russell Investments and Axioma Create 5 Factor Based Indexes

The Russell-Axioma Factor Indexes are optimized to provide a highly tradable, basket of securities that closely track each specific factor's returns.

Russell Investments and Axioma have collaborated to deliver a family of five factor-based indexes, according to today's release.

Designed to provide investors with easily implemented, true-factor returns, the Russell Axioma Factor Indexes are based upon the familiar investment universe of the Russell 1000, Russell 2000 and Russell 3000 Indexes, offering minimal exposure to other systematic "risk style" factors, according to the press statement.

These indexes provide investors with practical tools for tracking factor performance returns, while managing index turnover and maintaining non-target factor neutrality. The suite of indexes features:

* Russell-Axioma Momentum Index

* Russell-Axioma Leverage Index

* Russell-Axioma Liquidity Index

* Russell-Axioma Beta (Market Sensitivity) Index

* Russell-Axioma Volatility Index "We have responded to investor demand by providing them with the ability to measure a portfolio's relative under or overweight against certain factors isolated by the Russell-Axioma Factor Indexes," tated Ron Bundy, CEO for Russell Indexes at Russell Investments in the release. "These indexes provide practical tools for tracking factor performance returns, and by teaming up with Axioma, a natural partner for factor index development, Russell has ensured that the foundation of the Factor Indexes will be Axioma's leading empirical research."

Russell, owner of the most widely used equity benchmarks for institutional investment products, and Axioma, a provider of advanced tools for portfolio optimization and risk analysis, first formed a partnership in December 2009, with the creation of the Russell-Axioma Momentum Index. With the addition of the beta, leverage, liquidity and volatility indexes, Russell and Axioma now offer a family of five factor-based indexes optimized to provide a highly tradable, well-defined basket of securities that closely track each specific factors' returns.

In the same press statement, Sebastian Ceria, CEO of Axioma, commented, "Axioma's factor risk models are fast becoming the new standard for risk management in the industry. Our partnership with Russell allows us to package our risk model factors into an index that can be used to track true factor returns for both investing and hedging."

Ivy is Editor-at-Large for Advanced Trading and Wall Street & Technology. Ivy is responsible for writing in-depth feature articles, daily blogs and news articles with a focus on automated trading in the capital markets. As an industry expert, Ivy has reported on a myriad ... View Full Bio

Register for Wall Street & Technology Newsletters
7 Unusual Behaviors That Indicate Security Breaches
7 Unusual Behaviors That Indicate Security Breaches
Breaches create outliers. Identifying anomalous activity can help keep firms in compliance and out of the headlines.