SSgA Plans To Revisit Russell Low-Vol ETFs
December 07, 2012
State Street Global Advisors has filed paperwork with U.S. regulators to market two volatility-focused equities ETFs that are built around a pair of Russell indexes once used in Russell ETFs that were shuttered earlier this year.
The SPDR Russell 1000 Low Volatility ETF will track the same index that once benchmarked the Russell 1000 Low Volatility ETF (NYSEArca: LVOL) and track a portfolio of roughly 200 low-volatility equities.
Similarly, the SPDR Russell 2000 Low Volatility ETF will track the index that used to anchor the Russell 2000 Low Volatility ETF (NYSEArca: SLVY) in a strategy that will comprise about 400 securities.
Russell closed all but one of its ETFs over the summer, at which time it alluded to its intention to market the indexes it had created for those ETFs to third-party providers. The filing appears to be SSgA’s first detailing of low-volatility funds, aside from the SPDR S&P 1500 Volatility Tilt ETF, which has been in registration since 2011.
The two indexes being used are part of the Russell-Axioma Factor Index series that is designed to deliver exposure to equities with low volatility.
“Volatility is a measure of a security’s variability in total returns based on its historic behavior,” SSgA said in the filing. “Low volatility securities are considered to have a lower return variability than the overall market and can be used by investors to adjust volatility exposure in a portfolio.”
The indexes pick securities that deliver low volatility exposure from the Russell 1000 and 2000, respectively, and are reconstituted monthly.
“Unlike more traditional equity market indexes which seek to track the performance of a specific segment of the equity market, the Index is intended to provide a specific factor exposure,” the filing said.
Paul and Ugo discuss the rumors surrounding the SEC's new approach to passive ETFs and whether investors have learned any lessons from the recent moves in gold.See All