SOURCE: Russell Investments

Russell Investments

June 14, 2012 09:20 ET

Low Beta Stocks Outperform in May, While High Momentum Stocks Outperform YTD

SEATTLE, WA--(Marketwire - Jun 14, 2012) - The Russell-Axioma U.S. Large Cap Low Beta Index (-3%) outperformed the U.S. large-cap Russell 1000® Index (-6.2%) by 320 basis points during the month of May 2012. Year-to-date through June 13, the Russell-Axioma U.S. Large Cap Low Beta Index has reflected a return of 5.5%.

"Low beta stocks look well positioned in the current market environment, as returns are being driven primarily by macro events rather than idiosyncratic risk," said David Koenig, Investment Strategist at Russell Investments.

He added that beta, a measure of the sensitivity of a stock's price to a change in the broad market price level, is one of five individual risk factors that Russell has indentified that influence a portfolio's risk and return.

High momentum stocks, as reflected by the Russell-Axioma U.S. Large Cap High Momentum Index, also outperformed the Russell 1000 Index in May, reflecting a return of (-5%). Despite the downturn in May, the Russell-Axioma U.S. Large Cap High Momentum Index has increased 8.7% YTD through June 13, 2102.

"Last month we saw momentum rotate out of energy and financials and into higher-quality names within the consumer discretionary and health care sectors," Koenig said. "There is definitely potential for high momentum stocks to continue to outperform in both rising and falling markets, however during periods of high volatility, we may see returns moderate."

Russell Index May Returns YTD through June 13
Russell 1000 Index -6.2% 5.5%
Russell - Axioma U.S. Large Cap Low Beta -3.0% 5.5%
Russell - Axioma U.S. Large Cap High Beta -7.8% 4.8%
Russell - Axioma U.S. Large Cap Low Volatility -4.0% 2.7%
Russell - Axioma U.S. Large Cap High Volatility -7.5% 6.4%
Russell - Axioma U.S. Large Cap High Momentum -5.0% 8.7%

The Russell-Axioma Factor Indexes are constructed using Axioma's state-of-the-art optimization software and U.S. Equity Fundamental Factor Risk Model. To learn more about these indexes or the ETFs that benchmark to them please visit www.russell.com

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