Beta index returns

S&P beta index returns
The S&P 500 High Beta Index is constructed by using trailing daily price changes over the previous year, and calculating the S&P 500 constituents’ betas. Constituents are then ranked in descending order of their betas. The top 100 securities form the index.

A similar process is used in constructing the S&P BMI International Developed High Beta Index and the S&P BMI Emerging Markets High Beta Index. In both instances the top 200 high beta securities are selected to form each index.

Russell-Axioma beta index returns
The Russell-Axioma low and high beta indexes are constructed by ranking constituent stocks by beta. Starting with the lowest beta stock, for the low beta index, and the highest beta stock, for the high beta index, each index adds stocks until the portfolio has a total capitalization of 35% of the target index. This target portfolio is the reference factor index. The indexes then select the following numbers of stocks, designed to "optimally track the returns of the target portfolio while managing turnover and neutralizing exposure to other factors":


 * The Russell-Axioma U.S. Large Cap Low Beta Index selects 200 stocks from the Russell 1000 index.
 * The Russell-Axioma U.S. Large Cap High Beta selects 200 stocks from the Russell 1000 index.
 * The Russell-Axioma U.S. Small Cap Low Beta Index selects 400 stocks from the Russell 2000 index.
 * The Russell-Axioma U.S. Small Cap High Beta Index selects 400 stocks from the Russell 2000 index.
 * The Russell-Axioma Developed ex-U.S. Large Cap Low Beta Index selects 400 stocks from the Russell Developed ex-U.S. Large Cap Index.
 * The Russell-Axioma Developed ex-U.S. Large Cap High Beta Index selects 400 stocks from the Russell Developed ex-U.S. Large Cap Index.

Investment options
Investors in the U.S. can invest in exchange traded funds based on S&P high indexes. The table below provides a summary of available offerings.

Indexes

 * Russell-Axioma U.S. Large Cap High Beta Index
 * Russell-Axioma U.S. Large Cap Low Beta Index
 * Russell-Axioma U.S. Small Cap High Beta Index
 * Russell-Axioma U.S. Small Cap Low Beta Index
 * Russell-Axioma Developed ex-U.S. Large Cap High Beta Index
 * Russell-Axioma Developed ex-U.S. Large Cap Low Beta Index
 * S&P 500 High Beta Index
 * S&P BMI International Developed Market High Beta Index
 * S&P BMI Emerging Markets High Beta Index

Methodology

 * Russell-Axioma Long-Only Factor construction - methodology
 * S&P 500 High Beta Index, select methodology