Index provider Russell has created new indices that combine exposures to equity market stability and valuation factors.
Russell is combining the growth and value sub-indices of its style index series, launched in 1987, with the dynamic and defensive sub-indices of its stability index series, launched in 2011, to produce indices that it says are relevant to four distinct groups of equity style managers.
The Russell growth-defensive, value-defensive, growth-dynamic and value-dynamic indices are created by combining the scores awarded by the index provider on the scales of growth vs. value and defensive vs. dynamic.
According to the index provider, some members of the respective indices are: Microsoft, IBM, Coca-Cola, Costco, Starbucks (growth-defensive); Exxon, Chevron, Pfizer, CenturyLink, PG&E (value-defensive); Salesforce.com, Facebook, eBay (growth-dynamic); Wells Fargo, JP Morgan Chase, Yahoo! (value-dynamic).
Russell points out that its defensive and dynamic indices are generally inversely correlated in up and down markets, while its growth and value indices’ correlations appear less distinct in different market phases.