In 2010, Russell introduced its Stability (Defensive/Dynamic) Index Series to complement its valuation (Growth/Value) and size (Large/Small) indexes. The inclusion of Stability, the Russell-denoted “third dimension of style,” enhanced investors’ ability to more precisely identify risks and opportunities in equity markets.1 The Stability Indexes are constructed using a mix of Quality and Volatility characteristics, with more stable companies being classified as Defensive and less stable companies as Dynamic.2

In 2012, Russell integrated the Defensive/Dynamic indexes with the Growth/ Value indexes to further expand the Stability dimension, introducing the combined style indexes: Growth-Defensive, Value-Defensive, Growth-Dynamic and Value-Dynamic (Figure 1).3

This paper provides a brief review of why Russell created the combined style indexes, how they have behaved in various market environments and how investors can benefit from using them. For the sake of brevity, the scope of this research is limited to the US large cap segment (measured by the Russell 1000® Index).4 However, the Russell combined style indexes also cover additional US size segments.

Figure 1: Matrix of the Russell 1000 combined style indexes in relation to the standard Defensive/Dynamic and Growth/Value indexes

Key points

  • Russell’s combined style indexes – the Russell Growth-Defensive, Value-Defensive, Growth-Dynamic and Value-Dynamic indexes – represent distinct investment styles, have different characteristics and perform differently in various market environments.
  • Historically, the Dynamic index variants generally demonstrated higher index returns than the Defensive index variants in bull markets; in bear markets, the Defensive index variants generally demonstrated higher index returns than the Dynamic index variants. This bull/bear market performance pattern was more consistent for Defensive and Dynamic indexes than for Growth and Value indexes.
  • In rising US interest rate environments, as measured by the 10-year US Treasury rate, performance of the four combined style indexes was mixed, pointing to different factors driving these markets. In the four rising-rate periods we examined over 19.5 years, the performance leader was either the Growth-Dynamic or the Value-Dynamic index. The Value-Defensive index lagged the other combined style indexes in three out of the four periods examined. In each period, all four combined style indexes outperformed the Barclays US Aggregate Bond Index, which measures the US bond market.


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1 See D. Hintz (2010), “The Third Dimension of Style: Introducing the Russell Stability Indexes,” Russell Research (December).

2 Quality characteristics used in the construction of the Russell Stability Indexes are Earnings Variability, Leverage and Return on Assets. Volatility characteristics used are 52-week and 60-month historical standard deviation. For more information on the construction of the Russell Stability Indexes, please see the Construction & Methodology document, available at

3 See D. Hintz and C. Yoshimoto (2013), “Gaining better market insight by combining Defensive/Dynamic with Growth/Value indexes,” Russell Research (February).

4 Russell Stability Indexes are also available at global, regional, country and sector levels, which are available on distribution platforms such as FactSet, Bloomberg and Morningstar.