SOURCE: Russell Investments

Russell Investments

October 31, 2014 10:13 ET

Low Volatility: Russell Low Volatility Indexes Outperformed Their Small and Large-Cap Market Capitalization-Weighted Counterparts for Year-to-Date and Month-to-Date as of October 24

SEATTLE, WA--(Marketwired - Oct 31, 2014) -  In a year of heightened volatility and lower performance for the U.S. equity markets relative to 2013, Russell's low volatility indexes have outperformed their market capitalization weighted parent indexes year-to-date and month-to-date as of October 24. And this outperformance is particularly significant in the small cap stock arena.

The Russell 1000® Low Volatility Index outperformed the Russell 1000® Index by more than 2% year-to-date and by 1.6% month-to-date as of October 24.

The Russell 2000® Low Volatility Index outperformed the Russell 2000® Index by more than 7% year-to-date and by 2.7% month-to-date as of October 24.

Russell Low Volatility Indexes consist of U.S. large cap and small cap indexes that seek to deliver lower volatility than their parent Russell 1000® or Russell 2000® Indexes, respectively. These indexes use an objective, transparent construction approach designed to identify stocks with low total return variability over the last 252 trading days. Each index is weighted by inverse volatility, so that the stock with the lowest volatility has the largest weight.

"During this time of heightened equity market volatility, the Russell Low Volatility Indexes have illustrated the benefit to investors of participating in equity markets through stocks which exhibit lower volatility over time," said David Koenig, CFA, FRM, index investment strategist with Russell Investments. "And history has shown that over longer periods of time, while low volatility indexes have tended to underperform their market cap weighted parent index in years of strong market advances. Conversely, they have tended to outperform in weak market periods."

Russell U.S. Index Returns

Russell Index   October MTD as of
  YTD 2014 as of
Russell 1000® Index   -0.3%   7.7%
Russell 1000® Low Volatility Index   1.3%   9.8%
Russell 2000® Index   1.6%   -2.9%
Russell 2000® Low Volatility Index   4.3%   4.3%

Source: Russell Investments. Returns are total returns (reflect reinvestment of dividends and distributions) and are denominated in U.S. dollars.

"Investors today have access to an expanded spectrum of innovative new indexes which reflect markets in diverse new ways," said David Mazza, head of research, SPDR ETFs and SSgA Funds. "Low volatility indexes are just one example of an increasingly expanding index tool set to help investors tackle market challenges."

For more information on the Russell Low Volatility Indexes and to see a copy of Russell Indexes new Small Cap Perspectives quarterly report and Russell Small Cap Compendium, go to the Russell Investments website.

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.

The Russell 2000® Index measures the performance of the small-cap segment of the U.S. equity universe. The Russell 2000 Index is a subset of the Russell 3000® Index representing approximately 10% of the total market capitalization of that index. It includes approximately 2000 of the smallest securities based on a combination of their market cap and current index membership.

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. 

Opinions expressed by Mr. Koenig and Mr. Mazza reflect market performance as of October 24, 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.

Russell Investment Group is an independent organization and is not affiliated with Credit Suisse.

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.