The Russell High Efficiency Defensive Index® Series is designed to deliver an efficient, transparent and turnover-controlled capture of the Low Volatility and Quality variables from the Russell Stability Indices® at various levels of tracking error. These indices offer a non cap-weighted implementation of the Russell Defensive Index®. In addition, the indices are the first and only index series to offer target tracking error to the industry leading Russell benchmarks, a key benefit to pension plans, foundations and endowments.
They go beyond a single solution by providing low and moderate tracking-error targets that can be used to accommodate investor's risk budgets. Stocks are weighted in direct proportion to factor signal scores, which results in higher informational efficiency and higher Sharpe and Information Ratios compared to capitalization-weighted indices. Rebalancing buffers and turnover minimization techniques achieve a significant reduction in turnover compared to other passive alternatives, thus facilitating a cost-effective index replication.
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