SOURCE: Russell Investments

Russell Investments

April 12, 2012 13:43 ET

Low Volatility US Stocks as Defined by Russell-Axioma Low Volatility Indexes Outperformed Russell 1000® & Russell 2000® for 5 Yrs a/o 3/30

SEATTLE, WA--(Marketwire - Apr 12, 2012) - Lower volatility large- and small-cap U.S. stocks, as defined by the Russell-Axioma US. Large Cap Low Volatility Index and the Russell-Axioma US Small Cap Low Volatility Index, respectively, outperformed or had equal performance to similar broad market indexes for the following time periods with less volatility, as measured by standard deviation* of monthly returns:

Russell-Axioma U.S. Large Cap Low Volatility Index:

  • 7.9% return & 11.5% standard deviation for the Index for one year ending March 30th compared to a 7.9% return & 16.7% standard deviation for the Russell 1000® Index.

  • 3.6% annualized return & 14.0% standard deviation for the Index for the five years ending March 30th compared to a 2.2% annualized return & 19.3% standard deviation for the Russell 1000® Index.

Russell-Axioma U.S. Small Cap Low Volatility Index:

  • 6.3% return & 17.1% standard deviation for the Index for the one year ending March 30th compared to a (-0.2%) return & 22.8% standard deviation for the Russell 2000® Index.

  • 5.1% annualized return & 18.7% standard deviation for the Index for the five years ending March 30th compared to a 2.1% annualized return & 24.5% standard deviation for the Russell 2000® Index.

"The Russell-Axioma Factor Index Series helps isolate, track and manage a range of risk factors such as beta, momentum, leverage, liquidity and volatility," said Rolf Agather, managing director for index research and innovation at Russell Investments. "The Russell-Axioma Low Volatility Indexes identify and track a very focused and specific set of low volatility stocks."

"We're pleased to be able to assist clients through additional insights from the Russell-Axioma Low Volatility Indexes," said Ian Webster, managing director, Axioma. "These indexes combine the expertise of two global companies. They draw on the quantitative, analytical skills of Axioma and the history of portfolio construction and index creation of Russell."

Russell Index - Return 1 Yr Ending
3/30/12

3 Yrs Ending
3/30/12

5 Yrs Ending
3/30/12
Russell-Axioma US Large Cap Low Volatility Index 7.9%
18.9%

3.6%
Russell 1000® Index 7.9%
24.0%

2.2%
Russell-Axioma US Small Cap Low Volatility Index 6.3%
25.0%

5.1%
Russell 2000® Index -0.2%
26.9%

2.1%

Russell Index - Standard Deviation of Monthly Returns 1 Yr Ending
3/30/12

3 Yrs Ending
3/30/12

5 Yrs Ending
3/30/12
Russell-Axioma US Large Cap Low Volatility Index 11.5%
11.8%

14.0%
Russell 1000® Index 16.7%
16.4%

19.3%
Russell-Axioma US Small Cap Low Volatility Index 17.1%
16.5%

18.7%
Russell 2000® Index 22.8%
22.3%

24.5%

Source: Russell Investments

Opinions expressed by Mr. Agather reflect market performance and observations as of March 30th, 2012 and are subject to change at any time based on market or other conditions without notice. Please remember that 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 Russell Global Index includes more than 10,000 securities in 48 countries and covers 98% of the investable global market. All securities in the index are classified according to size, region, country and sector. Daily Returns for the main components are available here: http://www.russell.com/indexes/data/daily_total_returns_global.asp

Disclaimer: http://www.russell.com/indexes/about/index_alerts.asp#disclaimer