Russell and Parametric launch cross-sectional volatility indexes

By Melissa Kory

Cleveland, Oct. 18 - Russell Investments and Parametric Portfolio Associates announced the launch on Monday of the Russell-Parametric Cross-sectional Volatility indexes, a joint index series that measures the return dispersion of securities.

The indexes rely on Russell's global index construction rules and a new calculation methodology developed by Parametric.

"We believe our collaboration with Parametric results in a vital metric for the active investment process," Rolf Agather, head of index research and innovation at Russell Investments, said in a news release.

"Cross-sectional volatility of the markets is an important determinant of the success of active management," Agather said in a news release. "We believe this measure will become a key indicator that investors in markets around the world can follow on a regular basis."

The indexes are subdivided, covering each of the major regions such as global, U.S. markets, developed ex-U.S. markets and emerging markets. Within each region, cross-sectional volatility is calculated for separate market capitalization tiers and investment styles, including all capitalization levels, large cap, small cap, value and growth, as well as economic sectors.

"Through our work with Russell, we offer managers a better way to make sure the risk profile of their portfolio is appropriate and allow investors to assess performance records and help them make more informed decisions," Paul Bouchey, director of research at Parametric, said in a news release.

Russell is a financial services firm based in Seattle. Parametric, also based in Seattle, is a provider of structured portfolio management.

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