FTJPSEPR Russell 2000 Diversified Factor Index

The index allocates the stocks in the Russell 2000 Index into eight custom sectors. Each stock is then ranked using a composite score of 0.5 * Book to price ratio + 0.5 * Dividend Yield + Return on equity + Momentum. The top 70% scoring stocks in each of the eight custom sectors are included in the index. The index selects around 840 stocks. All stocks selected are weighted by the reciprocal of stock volatility.

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As of 12/01/2022


Index Information
Provider:     FTSE Russell
Category1:  US Equity
Category2:  Broad market
Category3:  Small cap
Country:      USA
Currency:    USD
Inception date:  09/30/2016
Backtesting data exists:   Yes
Weighting methodology:   Volatility
Number of holdings:  840
Total return version:  FTJPSETR


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