The Russell Pure Style Index Series (Pure Style) is based on eight standard market-cap weighted Russell US Style Indexes (Style). There are both Pure Growth and Pure Value indexes associated with the Russell Top 200®, Russell Midcap®, Russell 2000® and Russell 1000® indexes. The Pure Style Indexes are constructed to include only those constituent companies that display only value or only growth characteristics."Weights within each Pure Style index are assigned according to the relevant style score of each constituent within that index. For example, the highest value scores are assigned the highest weights in the Pure Value indexes and the highest growth scores are assigned the highest weights in the Pure Growth indexes.
As we can see below, this sharper focus on style tends to magnify the effects of the Pure Style indexes within each size and style segment. When one style outperformed the other, the Pure Style indexes exhibited greater differentiation than their standard Style index counterparts. For example, when value indexes outperformed growth indexes, the average difference between the Pure Value and Pure Growth indexes was greater than the average difference between the standard Value and Growth indexes. This differentiation between the standard Russell Style Indexes and the Russell Pure Style Index Series is consistent over the Pure Style index series history, from July 1998 - December 2016.
As illustrated below, 2016 was a positive year for all indexes shown, except for the Russell Top 200 Pure Growth Index. Each Russell Pure Value Index outperformed its standard Russell Value Index counterpart, with the small cap Russell 2000 Pure Value Index leading the pack. On the flip side, each Pure Growth index underperformed its standard Style counterpart. This is consistent with past periods when value outperformed growth, as shown in the first chart.
Furthermore, since the design of the Russell Pure Style Index Series was intended to create a sharper distinction between growth and value, the differences in total returns between the Pure Growth and Pure Value indexes were greater than the differences between the standard Growth and Value indexes in 2016.
So for market participants who want just one particular flavor, the Russell Pure Style Index Series offers tools to help exercise their strong conviction towards one style or another. Now, if only we could get candy companies to do the same!
Please follow the link to find more detail on the Russell Pure Style Indexes.
© 2017 London Stock Exchange Group plc and its applicable group undertakings (the “LSE Group”). The LSE Group includes (1) FTSE International Limited (“FTSE”), (2) Frank Russell Company (“Russell”), (3) FTSE TMX Global Debt Capital Markets Inc. and FTSE TMX Global Debt Capital Markets Limited (together, “FTSE TMX”) and (4) MTSNext Limited (“MTSNext”). All rights reserved.
FTSE Russell® is a trading name of FTSE, Russell, FTSE TMX and MTS Next Limited. “FTSE®”, “Russell®”, “FTSE Russell®” “MTS®”, “FTSE TMX®”, “FTSE4Good®” and “ICB®” and all other trademarks and service marks used herein (whether registered or unregistered) are trade marks and/or service marks owned or licensed by the applicable member of the LSE Group or their respective licensors and are owned, or used under licence, by FTSE, Russell, MTSNext, or FTSE TMX.
All information is provided for information purposes only. Every effort is made to ensure that all information given in this publication is accurate, but no responsibility or liability can be accepted by any member of the LSE Group nor their respective directors, officers, employees, partners or licensors for any errors or for any loss from use of this publication or any of the information or data contained herein.
No member of the LSE Group nor their respective directors, officers, employees, partners or licensors make any claim, prediction, warranty or representation whatsoever, expressly or impliedly, either as to the results to be obtained from the use of the FTSE Russell indexes or the fitness or suitability of the indexes for any particular purpose to which they might be put.
No member of the LSE Group nor their respective directors, officers, employees, partners or licensors provide investment advice and nothing in this communication should be taken as constituting financial or investment advice. No member of the LSE Group nor their respective directors, officers, employees, partners or licensors make any representation regarding the advisability of investing in any asset. A decision to invest in any such asset should not be made in reliance on any information herein. Indexes cannot be invested in directly. Inclusion of an asset in an index is not a recommendation to buy, sell or hold that asset. The general information contained in this publication should not be acted upon without obtaining specific legal, tax, and investment advice from a licensed professional.
No part of this information may be reproduced, stored in a retrieval system or transmitted in any form or by any means, electronic, mechanical, photocopying, recording or otherwise, without prior written permission of the applicable member of the LSE Group. Use and distribution of the LSE Group index data and the use of their data to create financial products require a licence from FTSE, Russell, FTSE TMX, MTSNext and/or their respective licensors.
Past performance is no guarantee of future results. Charts and graphs are provided for illustrative purposes only. Index returns shown may not represent the results of the actual trading of investable assets. Certain returns shown may reflect back-tested performance. All performance presented prior to the index inception date is back-tested performance. Back-tested performance is not actual performance, but is hypothetical. The back-test calculations are based on the same methodology that was in effect when the index was officially launched. However, back- tested data may reflect the application of the index methodology with the benefit of hindsight, and the historic calculations of an index may change from month to month based on revisions to the underlying economic data used in the calculation of the index.