SOURCE: Russell Investments

Russell Investments

November 21, 2014 11:19 ET

Low Volatility-Oriented U.S. Large Cap Stocks Outperformed U.S. Large Cap Value, Quality & Momentum Stocks Year-to-Date, While Momentum Took the Reins Since October 15; Russell High Efficiency™ Factor Indexes

SEATTLE, WA--(Marketwired - Nov 21, 2014) - In 2014 year-to-date as of November 18, the Russell High Efficiency™ Factor Indexes show low volatility-oriented U.S. large cap stocks leading their value-, quality- and momentum-oriented counterparts within the Russell 1000® Index. However, since the Russell 1000 Index hit a six month low on October 15*, U.S. large cap the momentum factor index has led all other factor indexes.

In 2014 YTD as of November 18, the Russell 1000® High Efficiency™ Low Volatility Index (13.7%) has outperformed the Russell 1000® Index (12.6%), the Russell 1000® High Efficiency™ Value Index (12.5%), the Russell 1000® High Efficiency™ Quality Index (11.4%) and the Russell 1000® High Efficiency™ Momentum Index (9.9%).

However, since the Russell 1000 hit a seven month low on October 15, the tables have turned, with the Russell 1000® High Efficiency™ Momentum Index (11.6%) leading the Russell 1000® Index and all other Russell 1000 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.

David Koenig - CFA, FRM, Index Investment Strategist, Russell Investments
"With U.S. equities exhibiting moderate and relatively volatile performance thus far in 2014 relative to 2013, it appears investors are seeking lower volatility stocks as evidenced by Russell factor index performance. And it is also no surprise to see momentum-driven stocks leading U.S. large caps stocks since the most recent mid-October low for the Russell 1000. Yet high quality stocks have also been strong since October 15, 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 11/18
  4th QTR
a/o 11/18
  15th Oct - 18th Nov
Russell 1000® Index   12.6%   4.3%   9.7%
Russell 1000® High Efficiency™ Low Volatility Index   13.7%   5.8%   8.6%
Russell 1000® High Efficiency™ Value Index   12.5%   4.0%   9.2%
Russell 1000® High Efficiency™ Quality Index   11.4%   4.6%   10.1%
Russell 1000® High Efficiency™ Momentum Index   9.9%   4.1%   11.6%
             

Source: Russell Investments. Total returns, US dollar denominated.

*The Russell 1000® Index closed at 1,034.48 on October 15, 2014. The previous low close for the Index in 2014 was at 1,013.01 on April 11, 2014.

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.

The Russell 1000 Index measures the performance of the large-cap segment of the U.S. equity universe. It is a subset of the Russell 3000® Index and includes approximately 1000 of the largest securities based on a combination of their market cap and current index membership. The Russell 1000 represents approximately 92% of the U.S. market.

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. Koenig reflect market performance as of November 18, 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.

Copyright © Russell Investments 2014. All rights reserved.

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.