Quality that counts: Analysing the Russell 2000 Quality Index, with LGIM

Presented by

Elisa Piscopiello & Aude Martin (LGIM); Ryan Giannotto (FTSE Russell)

About this talk

Improving resiliency in a US small cap universe through a quality overlay. In the 2022 rout most factor strategies fared better than their respective market cap benchmarks, and differing exposures to energy, financials and the ‘tech wreck’ were among the biggest return drivers. Yet differences in fundamental characteristics between small cap and large cap stocks have impacted relative returns attributable to such factors. In this webinar we will specifically explore how quality factor has typically behaved during market downturns and historically extracted risk premia in a US small cap universe. Is the Quality factor set to bounce back in 2023? Join experts from LGIM’s ETF team and FTSE Russell as they discuss: • What it means to invest in a quality company • The Russell 2000 0.4 Quality Target Exposure Factor Index • Perspectives for US small-cap equities • Potential benefits of investing into the index via an ETF Presenters: • Elisa Piscopiello, CFA, ETF Analyst, LGIM • Aude Martin, Senior ETF Investment Specialist, LGIM • Ryan Giannotto, CFA, Manager Equity Index Research, FTSE Russell About the Index: The Russell 2000 0.4 Quality Target Exposure Factor Index is a benchmark designed to maintain a constant level of targeted active factor exposure against the Russell 2000 Index at review date. The Index follows a consistent and transparent construction methodology in order to achieve controlled exposure to its targeted factor while avoiding any off-target factor exposure and respecting levels of diversification and capacity. The index also seeks to maintain industry neutrality. FTSE Russell has licensed the Russell 2000 0.4 Quality Target Exposure Factor Index to serve as benchmark of the L&G Russell 2000 US Small Cap Quality UCITS ETF. **Please note that this webinar is addressed exclusively to investors in the EU, the UK and/or jurisdictions where Legal & General Investment Management ("LGIM") products are approved for distribution.**

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