Growth and Value Trends; Russell linked ETFs – Part 2

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This post picks up from the last, Part 1. The goal is to study and use ETFs based on Russell family of indices to analyze historic and emerging trends and rotations.

Last time we looked at ETFs based on US equities segmented based on market-cap. So large-cap equities, mid-cap, small-cap and micro-cap and combination of these.
Now we look ETFs based on Value and Growth factors for equities within the Russell 3000 Index. Table 1 below gives the ETF.

ETF Description

Ticker

Russell Index

Market-Cap

Factor

iShares Russell Top 200 Value

IWX US

200

Large

Value

iShares Russell Top 200 Growth

IWY US

200

Large

Growth

iShares Russell Mid-Cap Value

IWS US

800

Mid

Value

iShares Russell Mid-Cap Growth

IWP US

800

Mid

Growth

iShares Russell 1000 Value ETF

IWD US

1000

Large-Mid

Value

iShares Russell 1000 Growth ET

IWF US

1000

Large-Mid

Growth

iShares Russell 2000 Value ETF

IWN US

2000

Small

Value

iShares Russell 2000 Growth ET

IWO US

2000

Small

Growth

 Table 1

We can look at the charts and see how returns for Value takes over returns from Growth. Are these changes significant? The Russell 3000, as the name suggests, has 3000 securities. And Large, Mid and Small cap groups have anywhere from 200-500 equities for large, 800 equities for mid and 2000 for small. So how do we know that these trends in returns are significant or just a random anomaly?

Answering this question requires some deeper regression analysis. I’ve analyzed Value and Growth factor returns across YTD, 1-Year, 3-Year and 5-Year returns. Results show statistically significant drop in Growth returns and increase in Value returns in Chart 1. Also reflected in the Year-to-Date returns Chart 2


Chart 1: Data Source Bloomberg

Chart 2: Data Source Bloomberg










Next up we will add to this Russell family some more ETFs targeting factors including yield, volatility and momentum.

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