Russell ETF Pipeline: Taking Factor Investing International

by: Michael Johnston

Since making its ETF debut earlier this year, Russell has moved quickly to build out a suite of investment discipline and factor products that bring time-tested strategies to investors in the tax efficient and low cost exchange-traded wrapper. The Russell ETF lineup currently consists of 17 funds, and the company has filed details on several more that could launch some time in 2011. The most recent additions to the “in development” section of the Russell ETF line includes a number of proposed funds that would offer exposure to various investments strategies in international markets. In a recent SEC filing, the ETF newcomer laid the groundwork for five new funds:

  • Russell Developed ex-U.S. Low Beta ETF: This fund would seek to replicate the Russell-Axioma Developed ex-U.S. Large Cap Low Beta Index. That benchmark starts with the lowest beta stock and adds the next lowest beta securities until the portfolio has a market cap equal to 35% of the Russell Developed ex-U.S.
  • Russell Developed ex-U.S. High Beta ETF: This proposed ETF would replicate the Russell-Axioma Developed ex-U.S. Large Cap High Beta Index, a benchmark that includes stocks that have historically exhibited high sensitivity to broad ex-U.S. developed markets.
  • Russell Developed ex-U.S. Low Volatility ETF: This ETF would be linked to the Russell-Axioma Developed ex-U.S. Large Cap Low Volatility Index, which includes international stocks exhibiting relatively low historical volatility.
  • Russell Developed ex-U.S. High Volatility ETF: This proposed fund would track the Russell-Axioma Developed ex-U.S. Large Cap High Volatility Index.
  • Russell Developed ex-U.S. High Momentum ETF: This ETF would be linked to the Russell-Axioma Developed ex-U.S. Large Cap High Momentum Index, a benchmark that includes stocks with high momentum. This is calculated as cumulative return over the last 250 trading days, excluding the last 20 trading days.

No ticker symbols or expense ratios were included in the filing. (Also see Russell ETF Push Picks Up Momentum.)

Factor ETFs

The proposed ETFs would be similar to versions of products Russell rolled out in May of this year that target large cap U.S. stocks. Those funds were among the first wave of Russell ETFs to debut in 2011. The company has since introduced small cap counterparts that segment the Russell 2000 based on momentum, volatility and beta.

Ticker ETF ER
LVOL Russell 1000 Low Volatility ETF 0.49%
HVOL Russell 1000 High Volatility ETF 0.49%
LBTA Russell 1000 Low Beta ETF 0.49%
HBTA Russell 1000 High Beta ETF 0.49%
HMTM Russell 1000 High Momentum ETF 0.49%
SLVY Russell 2000 Low Volatility ETF 0.69%
SHVY Russell 2000 High Volatility ETF 0.69%
SLBT Russell 2000 Low Beta ETF 0.69%
SHBT Russell 2000 High Beta ETF 0.69%
SHMO Russell 2000 High Momentum ETF 0.69%

Disclosure: No positions at time of writing.

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