R1VQQFTR Russell 1000 2Qual/Val 5% Capped Factor Index

The Index selects companies from the Russell 1000 Index using a proprietary rules-based multi-factor selection and weighting process designed to increase exposure to companies demonstrating quality and value factors. The quality score is calculated from a company’s leverage and profitability (e.g., return on assets, asset turnover and accruals). The Index Provider’s methodology for measuring the quality factor attempts to identify stocks that are characterized by low debt, stable earnings growth, and other “quality” metrics, with the expectation that these will provide the possibility of excess returns. The value score is calculated based on a company’s valuation ratios (e.g., cash-flow yield, earnings yield and country relative sales to price). Companies are weighted based on their relative exposure to both factors with an increased exposure (or, a “tilt”) of 2x applied to the quality factor. The Index is rebalanced annually in June.

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As of 12/01/2022


Index Information
Provider:     FTSE Russell
Category1:  US Equity
Category2:  Broad market
Category3:  Large and mid cap
Currency:    USD
Inception date:  01/01/1900
Backtesting data exists:   No
Weighting methodology:   Composite scores
Methdology guide:  Read PDF
Number of holdings:  289  (as of 04/11/2018)
Rebalanced:  Annually
Reconstituted:  Annually

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