SOURCE: Russell Investments

Russell Investments

December 05, 2014 16:32 ET

Low Volatility-Oriented European Large-Cap Stocks Outperformed Quality, Value & Momentum-Oriented European Large-Cap Stocks Year-to-Date, While Momentum Led in November; Russell High Efficiency™ Factor Indexes

SEATTLE, WA--(Marketwired - Dec 5, 2014) - In 2014 year-to-date as of December 2, the Russell High Efficiency™ Factor Indexes have shown low volatility-oriented European large cap stocks leading their quality-, value- and momentum-oriented counterparts within the Russell Developed Europe Large Cap Index. However, in November the European large cap momentum factor index led all other European large cap factor indexes according to the Russell High Efficiency™ Factor Indexes.

In 2014 YTD as of December 2, the Russell Developed Europe Large Cap High Efficiency™ Low Volatility Index (12.6%) has outperformed the Russell Developed Europe Large Cap High Efficiency™ Quality Index (9.5%), the Russell Developed Europe Large Cap Index (9.4%), the Russell Developed Europe Large Cap High Efficiency™ Value Index (9.1%) and the Russell Developed Europe Large Cap High Efficiency™ Momentum Index (8.4%).

In November, the Russell Developed Europe Large Cap High Efficiency™ Momentum Index (3.5%) showed a slight lead over the Russell Developed Europe Large Cap Index and all other Russell Developed Europe Large Cap High Efficiency™ Factor Indexes as shown in the table below.

The Russell High Efficiency™ Factor Indexes are designed to help investors identify and measure stocks which exhibit certain characteristics commonly sought by investors; Low Volatility, Value, Quality and Momentum. The index methodology weights stocks in proportion to their factor exposure rather than their market capitalization. The stronger a stock's exposure to a particular factor, the larger its active weight in the index. 

Gareth Parker - Director, Indexes Research & Product, Russell Investments Europe
"November was a relatively stable month for factor index performance as measured by Russell's High Efficiency Momentum, Low Volatility, Value and Quality indexes. However, with European equities exhibiting moderate and relatively volatile performance thus far in 2014, it is notable to see that lower volatility stocks have enjoyed strong relative performance year-to-date, as evidenced by Russell factor index performance. Momentum-driven European stocks as reflected by the Russell Developed Europe Large Cap High Efficiency™ Momentum Index marginally led European large caps stocks in November, yet low volatility and high quality European large caps stocks also remained strong as reflected by Russell's high efficiency factor indexes, indicating that investors potentially have some appetite for risk but it is still a very 'risk-aware' market environment."

For more on the Russell High Efficiency™ Factor Indexes, go to the Russell Indexes website.

         
         
Russell Index   YTD 2014 a/o Dec 2   Nov 2014
Russell Developed Europe Large Cap Index   9.4%   3.3%
Russell Developed Europe Large Cap High Efficiency™ Low Volatility Index   12.6%   3.4%
Russell Developed Europe Large Cap High Efficiency™ Quality Index   9.5%   3.2%
Russell Developed Europe Large Cap High Efficiency™ Value Index   9.1%   2.8%
Russell Developed Europe Large Cap High Efficiency™ Momentum Index   8.4%   3.5%
         

Source: Russell Investments. Total returns, euro denominated.

Please note: Indexes are unmanaged and cannot be invested in directly. Returns represent past performance, are not a guarantee of future performance, and are not indicative of any specific investment.

Russell's publication of the Indexes or Index constituents in no way suggests or implies a representation or opinion by Russell as to the attractiveness of investing in a particular security. Inclusion of a security in an Index is not a promotion, sponsorship or endorsement of a security by Russell and Russell makes no representation, warranty or guarantee with respect to the performance of any security included in a Russell Index. 

Russell Investments is the owner of the trademarks, service marks and copyrights related to its respective indexes.

Westpeak Global Advisors, LLC and Goldman Sachs Asset Management, L.P. are developers of technologies used in the Russell High Efficiency Factor (HEFI) Indexes. Russell Indexes has independently developed intellectual property that is used to construct and maintain the Russell HEFI Indexes.

Opinions expressed by Mr. Parker reflect market performance as of December 2, 2014 and are subject to change at any time based on market or other conditions without notice. Past performance does not guarantee future performance. 

Nothing contained in this material is intended to constitute legal, tax, securities or investment advice, nor an opinion regarding the appropriateness of any investment, nor a solicitation of any type. The general information contained in this publication should not be acted upon without obtaining specific legal, tax and investment advice from a licensed professional. The information, analysis and opinions expressed herein are for general information only and are not intended to provide specific advice or recommendations for any individual entity.

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Russell Investments is a trade name and registered trademark of Frank Russell Company, a Washington USA corporation, which operates through subsidiaries worldwide.