FTSE Russell Factsheet Russell 1000® Focused Factor Indexes Data as at: 31 August 2021 bmkTitle1 The Russell Focused Factor Indexes offer innovative tools to assist investors seeking specific FEATURES factor objectives - momentum, yield and low volatility respectively. The Russell Focused factor indexes are constructed to address some perceived drawbacks of single factor momentum, yield Coverage
and low volatility indexes and allow for less volatility while capturing the target objectives. Derived from the Russell 1000 Index, which
10-Year Focused Factor Performance relative to Russell 1000 - Total Return represents large cap companies in US
Relative to Russell 1000 (USD) markets. 120 Objective
110 The indexes are designed for use in the 100 creation of a range of financial products, including index-linked funds, ETFs and over- 90
the-counter (OTC) products. 80
Liquidity 70 Aug-2011 Aug-2012 Aug-2013 Aug-2014 Aug-2015 Aug-2016 Aug-2017 Aug-2018 Aug-2019 Aug-2020 Aug-2021 Stocks are screened to ensure that the index Data as at month end is tradable.
Russell 1000 Low Volatility Focused Factor Russell 1000 Low Volatility Focused Factor ex Tobacco Transparency Russell 1000 Yield Focused Factor Russell 1000 Momentum Focused Factor
Index methodologies are freely available on
10-Year Single Factors Performance relative to Russell 1000 - Total Return the FTSE Russell website.
Relative to Russell 1000 (USD) Availability 120 The indexes are calculated based on price 110 and total return methodologies, available 100 end-of-day. Net of tax indexes are also
90 available. Industry Classification Benchmark 80
(ICB) 70 Aug-2011 Aug-2012 Aug-2013 Aug-2014 Aug-2015 Aug-2016 Aug-2017 Aug-2018 Aug-2019 Aug-2020 Aug-2021 Index constituents are categorized in Data as at month end accordance with the Industry Classification
Russell 1000 Momentum Factor Russell 1000 Yield Factor Russell 1000 Volatility Factor Benchmark (ICB), the global standard for Russell 1000 Quality Factor Russell 1000 Value Factor Russell 1000 Size Factor industry sector analysis.
Source: FTSE Russell as at 31 August 2021. Past performance is no guarantee of future results. 1 of 6
Returns shown before the index launch date reflect hypothetical historical performance. Please see disclaimer for important legal information. Russell 1000® Focused Factor Indexes Data as at: 31 August 2021
Performance and Volatility - Total Return INFORMATION
Index (USD) Return % Return pa %* Volatility %** Index Universe 3M 6M YTD 12M 3YR 5YR 3YR 5YR 1YR 3YR 5YR Russell 1000 Russell 1000 Low Volatility Focused 4.0 17.8 22.2 38.9 51.1 97.5 14.8 14.6 14.6 22.9 16.4 Factor Index Launch Russell 1000 Low Volatility Focused 4.0 17.8 22.2 38.9 51.1 97.5 14.8 14.6 14.6 22.9 16.4 Factor ex Tobacco 30 September 2015
Russell 1000 Yield Focused Factor 1.2 16.3 31.7 60.1 47.7 93.8 13.9 14.2 21.6 29.5 21.4 Base Date Russell 1000 Momentum Focused 4.3 16.6 21.8 39.4 40.9 89.6 12.1 13.7 15.5 25.4 18.1 Factor 20 September 2013
Russell 1000 Momentum Factor 9.4 18.5 18.7 26.4 63.2 133.1 17.7 18.4 17.0 21.1 15.4 Base Value Russell 1000 Yield Factor 2.1 15.7 21.8 37.7 41.1 77.3 12.2 12.1 15.6 20.5 15.4 1000 Russell 1000 Volatility Factor 9.0 21.1 20.8 27.2 64.0 117.6 17.9 16.8 14.1 18.2 13.9 Index Calculation Russell 1000 Quality Factor 11.5 22.3 22.9 29.7 77.8 159.8 21.1 21.0 15.9 19.9 15.1 Real-time and end-of-day Russell 1000 Value Factor 2.5 15.8 25.2 45.6 52.0 108.6 15.0 15.8 16.4 23.7 17.8
Russell 1000 Size Factor 2.7 11.9 21.0 47.4 51.5 104.6 14.8 15.4 17.4 27.2 19.6 End-of-Day Distribution
Russell 1000 7.7 18.3 20.7 32.3 66.0 131.1 18.4 18.2 15.2 20.5 15.4 Via FTP and email
* Compound annual returns measured over 3 and 5 years respectively Currency ** Volatility – 1YR based on 12 months daily data. 3YR based on weekly data (Wednesday to Wednesday). 5YR based on monthly data
USD
Year-on-Year Performance - Total Return Review Dates Index % (USD) 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 Annually in June, except Momentum Focused Russell 1000 Low Volatility 6.2 16.9 37.6 19.2 2.1 16.2 18.2 -4.8 30.9 6.6 Focused Factor (semi-annually in June and December)
Russell 1000 Low Volatility 5.9 17.0 37.6 19.1 2.0 16.2 18.2 -4.8 30.9 6.6 Focused Factor ex Tobacco
Russell 1000 Yield Focused 4.9 19.2 36.2 12.6 -7.5 23.3 15.6 -7.8 27.3 2.3 Factor
Russell 1000 Momentum 3.7 17.2 40.2 12.3 -0.7 12.7 21.1 -11.8 26.7 10.8 Focused Factor
Russell 1000 Momentum Factor 2.3 15.4 33.6 12.7 2.7 7.9 22.8 -4.4 30.9 24.6
Russell 1000 Yield Factor 11.1 11.8 28.6 14.0 0.0 17.4 16.0 -4.9 25.4 0.9
Russell 1000 Volatility Factor 8.5 13.3 29.6 15.9 3.1 11.6 20.0 -2.4 32.2 13.7
Russell 1000 Quality Factor 8.5 16.1 31.7 13.3 2.1 10.7 28.1 -2.7 32.2 26.3
Russell 1000 Value Factor 1.8 18.8 36.4 12.9 -3.3 18.7 19.7 -8.1 29.8 7.1
Russell 1000 Size Factor -1.2 19.2 36.6 11.3 -2.3 16.0 18.3 -8.3 29.0 16.4
Russell 1000 1.5 16.4 33.1 13.2 0.9 12.1 21.7 -4.8 31.4 21.0
Return/Risk Ratio and Drawdown - Total Return
Index (USD) Return/Risk Ratio Drawdown (%)
1YR 3YR 5YR 10YR 1YR 3YR 5YR 10YR
Russell 1000 Low Volatility Focused Factor 2.6 0.6 0.9 1.2 -7.4 -40.0 -40.0 -40.0
Russell 1000 Low Volatility Focused Factor ex 2.6 0.6 0.9 1.2 -7.4 -40.0 -40.0 -40.0 Tobacco
Russell 1000 Yield Focused Factor 2.7 0.5 0.7 0.9 -8.0 -46.7 -46.7 -46.7
Russell 1000 Momentum Focused Factor 2.4 0.5 0.8 0.9 -7.5 -41.2 -41.2 -41.2
Russell 1000 Momentum Factor 1.5 0.9 1.2 1.2 -10.2 -34.1 -34.1 -34.1
Russell 1000 Yield Factor 2.3 0.6 0.8 1.0 -7.4 -37.4 -37.4 -37.4
Russell 1000 Volatility Factor 1.9 1.0 1.2 1.3 -9.5 -33.5 -33.5 -33.5
Russell 1000 Quality Factor 1.8 1.1 1.4 1.4 -10.5 -32.1 -32.1 -32.1
Russell 1000 Value Factor 2.7 0.6 0.9 1.0 -7.3 -39.6 -39.6 -39.6
Russell 1000 Size Factor 2.6 0.5 0.8 0.9 -7.5 -42.3 -42.3 -42.3
Russell 1000 2.1 0.9 1.2 1.2 -9.3 -34.6 -34.6 -34.6
Return/Risk Ratio – based on compound annual returns and volatility in Performance and Volatility table Drawdown - based on daily data
Source: FTSE Russell as at 31 August 2021. Past performance is no guarantee of future results. 2 of 6 Returns shown before the index launch date reflect hypothetical historical performance. Please see disclaimer for important legal information. Russell 1000® Focused Factor Indexes Data as at: 31 August 2021
Top 10 Constituents - Russell 1000 Low Volatility Focused Factor
Constituent ICB Sector Net MCap (USDm) Wgt %
Cognizant Tech Solutions Software and Computer Services 520,982 1.25
Progressive Corp Non-life Insurance 403,574 0.97
Dollar General Retailers 394,692 0.95
HP Technology Hardware and Equipment 361,155 0.87
Quest Diagnostics Medical Equipment and Services 327,037 0.79
Ebay Consumer Services 311,054 0.75
Allstate Corp Non-life Insurance 307,977 0.74
Kroger Personal Care Drug and Grocery Stores 291,813 0.70
Synopsys Inc Software and Computer Services 283,597 0.68
CDW Technology Hardware and Equipment 276,148 0.66
Totals 3,478,029 8.37
ICB Supersector Breakdown - Russell 1000 Low Volatility Focused Factor
ICB Code ICB Supersector No. of Cons Net MCap (USDm) Wgt %
1010 Technology 38 6,176,972 14.87
1510 Telecommunications 7 461,621 1.11
2010 Health Care 34 3,761,435 9.05
3010 Banks 15 351,844 0.85
3020 Financial Services 28 2,268,475 5.46
3030 Insurance 34 3,666,579 8.82
3510 Real Estate 36 2,480,015 5.97
4010 Automobiles and Parts 3 413,659 1.00
4020 Consumer Products and Services 22 1,780,688 4.29
4030 Media 12 573,257 1.38
4040 Retailers 13 1,774,465 4.27
4050 Travel and Leisure 4 290,149 0.70
4510 Food Beverage and Tobacco 24 2,101,576 5.06
4520 Personal Care Drug and Grocery Stores 11 1,565,409 3.77
5010 Construction and Materials 15 1,500,667 3.61
5020 Industrial Goods and Services 85 7,742,701 18.63
5510 Basic Resources 7 691,936 1.67
5520 Chemicals 9 410,972 0.99
6010 Energy 3 103,236 0.25
6510 Utilities 34 3,435,825 8.27
Totals 434 41,551,481 100.00
Top 10 Constituents - Russell 1000 Yield Focused Factor
Constituent ICB Sector Net MCap (USDm) Wgt %
Progressive Corp Non-life Insurance 761,754 1.91
HP Technology Hardware and Equipment 738,559 1.85
Kroger Personal Care Drug and Grocery Stores 583,786 1.46
Kimberly-Clark Personal Care Drug and Grocery Stores 516,958 1.29
Best Buy Company Retailers 512,077 1.28 Altria Group Tobacco 485,476 1.22 International Paper Industrial Materials 467,781 1.17
General Mills Food Producers 456,708 1.14
Dow Inc Chemicals 455,076 1.14
Tyson Foods Inc A Food Producers 417,099 1.04
Totals 5,395,273 13.51
Source: FTSE Russell as at 31 August 2021. Past performance is no guarantee of future results. 3 of 6 Returns shown before the index launch date reflect hypothetical historical performance. Please see disclaimer for important legal information. Russell 1000® Focused Factor Indexes Data as at: 31 August 2021
ICB Supersector Breakdown - Russell 1000 Yield Focused Factor
ICB Code ICB Supersector No. of Cons Net MCap (USDm) Wgt %
1010 Technology 11 2,644,136 6.62
1510 Telecommunications 2 456,605 1.14
2010 Health Care 5 991,764 2.48
3010 Banks 22 1,653,821 4.14
3020 Financial Services 20 2,261,371 5.66
3030 Insurance 26 4,088,444 10.24
3510 Real Estate 45 4,559,072 11.41
4010 Automobiles and Parts 2 450,110 1.13
4020 Consumer Products and Services 11 1,568,917 3.93
4030 Media 8 1,143,797 2.86
4040 Retailers 6 1,129,589 2.83
4050 Travel and Leisure 1 22,627 0.06
4510 Food Beverage and Tobacco 12 3,104,883 7.77
4520 Personal Care Drug and Grocery Stores 5 1,580,932 3.96
5010 Construction and Materials 4 524,654 1.31
5020 Industrial Goods and Services 38 5,032,155 12.60
5510 Basic Resources 7 1,497,739 3.75
5520 Chemicals 13 1,742,484 4.36
6010 Energy 8 1,305,544 3.27
6510 Utilities 30 4,181,303 10.47
Totals 276 39,939,946 100.00
Top 10 Constituents - Russell 1000 Momentum Focused Factor
Constituent ICB Sector Net MCap (USDm) Wgt %
HP Technology Hardware and Equipment 447,210 1.08
NetApp Technology Hardware and Equipment 297,650 0.72
Dell Technologies Software and Computer Services 287,909 0.70
Williams Sonoma Retailers 278,574 0.67
Quanta Services Construction and Materials 262,118 0.63
Synchrony Financial Industrial Support Services 245,717 0.59
Carrier Global Construction and Materials 234,706 0.57
Interpublic Group Cos Media 229,352 0.55
Qorvo Inc. Technology Hardware and Equipment 193,299 0.47
CBRE Group Real Estate Investment and Services Development 188,552 0.46
Totals 2,665,088 6.43
Source: FTSE Russell as at 31 August 2021. Past performance is no guarantee of future results. 4 of 6 Returns shown before the index launch date reflect hypothetical historical performance. Please see disclaimer for important legal information. Russell 1000® Focused Factor Indexes Data as at: 31 August 2021
ICB Supersector Breakdown - Russell 1000 Momentum Focused Factor
ICB Code ICB Supersector No. of Cons Net MCap (USDm) Wgt %
1010 Technology 124 7,062,132 17.05
1510 Telecommunications 19 516,126 1.25
2010 Health Care 92 3,266,097 7.88
3010 Banks 38 1,314,391 3.17
3020 Financial Services 52 2,500,689 6.04
3030 Insurance 42 2,302,000 5.56
3510 Real Estate 64 1,903,911 4.60
4010 Automobiles and Parts 9 643,221 1.55
4020 Consumer Products and Services 51 2,629,704 6.35
4030 Media 19 894,854 2.16
4040 Retailers 38 2,819,314 6.81
4050 Travel and Leisure 23 341,695 0.82
4510 Food Beverage and Tobacco 35 1,038,524 2.51
4520 Personal Care Drug and Grocery Stores 15 533,123 1.29
5010 Construction and Materials 24 2,324,509 5.61
5020 Industrial Goods and Services 148 6,916,344 16.70
5510 Basic Resources 14 1,005,485 2.43
5520 Chemicals 22 1,162,652 2.81
6010 Energy 36 978,484 2.36
6510 Utilities 41 1,269,658 3.07
Totals 906 41,422,914 100.00
Index Characteristics - Russell 1000 Focused Factor
Attributes Russell 1000 Low Russell 1000 Low Russell 1000 Russell 1000 Volatility Focused Volatility Focused Yield Focused Momentum Factor Factor ex Factor Focused Factor Tobacco
Number of constituents 434 434 276 906
Dividend Yield % 1.53 1.53 3.02 1.40
Constituent (Wgt %)
Average 0.23 0.23 0.36 0.11
Largest 1.25 1.25 1.91 1.08
Median 0.20 0.20 0.28 0.07
Top 10 Holdings (Wgt %) 8.36 8.36 13.50 6.44
Index Characteristics - Russell 1000 Single Factors
Attributes Russell 1000 Russell 1000 Yield Russell 1000 Volatility Momentum Factor Factor Factor
Number of constituents 691 176 236
Dividend Yield % 1.14 3.04 1.40
Constituent (Wgt %)
Average 0.14 0.57 0.42
Largest 5.88 3.28 8.30
Median 0.06 0.27 0.19
Top 10 Holdings (Wgt %) 27.12 27.08 36.06
Source: FTSE Russell as at 31 August 2021. Past performance is no guarantee of future results. 5 of 6 Returns shown before the index launch date reflect hypothetical historical performance. Please see disclaimer for important legal information. Russell 1000® Focused Factor Indexes Data as at: 31 August 2021
Index Characteristics - Russell 1000 Single Factors (cont.)
Attributes Russell 1000 Quality Russell 1000 Value Russell 1000 Size Factor Factor Factor
Number of constituents 372 695 665
Dividend Yield % 0.95 1.92 1.24
Constituent (Wgt %)
Average 0.27 0.14 0.15
Largest 9.18 3.24 0.40
Median 0.09 0.06 0.15
Top 10 Holdings (Wgt %) 39.86 19.54 3.42
31 August 2021
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Source: FTSE Russell as at 31 August 2021. Past performance is no guarantee of future results. 6 of 6 Returns shown before the index launch date reflect hypothetical historical performance. Please see disclaimer for important legal information.