Index Focus: Russell 2000

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1 : At a glance The Russell series of indices are capitalisation weighted stock market indices maintained by FTSE Russell, with the Russell 3000 designed to be a benchmark for the entire US stock market. The index represents the performance of the 2000 smallest stocks in the Russell 3000 index and makes up no more than 10% of the Russell 3000 as at date of writing. Conversely, the Russell 1000 index contains the top 1000 of the Russell The is therefore classed as a small-cap index, concentrating on smaller sized companies by market capitalisation. Due to its wide coverage of US stocks, it has become one of the most popular benchmarks for investing. Despite the small label, however, the average market cap of the constituents is currently $2bn. To put that into context, the average market cap of the constituents in the FTSE 250 index, which is considered UK mid-cap, is 1.5bn. Some Headlines 2000 constituents provides significant diversification across companies and sectors Historically, the index has only fallen over any 6 year daily rolling period on less than 2% of occasions since its launch in 1981 (see Historical simulation inside) Capitalisation only index so that dividends do not affect index performance Market cap weighted index Currently, over 95% of the constituent companies are US domiciled Being made up of small-cap companies means the index benefits from size effects which suggests that smaller companies have more potential growth opportunities than larger, more mature companies Bloomberg ticker RTY Index Data from 31/12/1981 Composition 2000 smallest stocks from the Russell 3000 Weighting Market Capitalisation Constituent review Annually Index weighting review Quarterly Website Source: FTSE Russell and Bloomberg, 11 August 2017 This information is for financial advisers only and should not be presented to, or relied upon by, private investors Page 1

2 Sector breakdown Industrial Goods & Services Health Care 14.06% Technology Banks Real Estate Retail 13.42% Travel & Leisure Financial Services Personal & Household Goods Oil & Gas Utilities Construction & Materials 12.90% Insurance Food & Beverage Chemicals Media 10.99% Basic Resources Telecommunications Well Known Members The below are an example of some members of the Index. Automobiles & Parts Abercrombie & Fitch ( Retail) Eagle Outfitters (Retail) Barnes & Noble (Retail) Callaway Golf (Personal & Household Goods) Cheesecake Factory (Food & Beverage) Fitbit (Personal & Household Goods) Groupon (Media) Hostess Brands (Food & Beverage) IMAX (Travel & Leisure) TiVO (Technology) WebMD (Media) Yelp (Media) World Wrestling Entertainment (Travel & Leisure) Page 2

3 10 year cumulative price performance % Index Level (Rebased) Year Rolling monthly realised volatility Volatility (%) Year Page 3

4 Calendar price returns % -5.25% 4.69% 33.23% 12.90% FTSE % -4.67% -2.26% 11.97% 3.47% S&P % -0.69% 12.39% 26.39% 11.68% EURO STOXX % 4.08% 2.83% 14.67% 11.21% FTSE % 8.58% 1.04% 26.35% 19.43% S&P % -2.67% 5.75% 36.02% 13.05% Russell % -1.41% 11.46% 27.69% 12.29% Russell % -1.06% 12.06% 27.23% 12.24% Relative historical price returns YTD 1 YEAR 3 YEAR 5 YEAR 8 YEAR 0.52% 12.20% 20.20% 71.24% % FTSE % 7.62% 11.41% 26.39% 56.49% S&P % 12.08% 25.88% 73.43% % EURO STOXX % 13.75% 12.67% 41.69% 27.47% FTSE % 11.30% 27.42% 71.74% % S&P % 12.02% 26.39% 84.07% % Russell % 11.99% 24.56% 74.09% % Russell % 11.97% 24.96% 74.40% % Page 4

5 Historical simulation We have simulated the frequency at which varying levels of capital protection barrier would have been breached. It should be recognised that the economic conditions necessary to create structured products with these barriers may not have ever existed over these simulations. The sampling period begins from 31/12/1993 which is the lowest common denominator for the indices simulated. Number of 6 year cycles tested: 4342 Sampling Period: 31/12/ /08/2017 Barrier Index 50.00% 60.00% 70.00% 80.00% 90.00% % 0.00% 0.00% 0.00% 0.00% 0.00% 1.34% FTSE % 0.00% 0.02% 5.23% 17.16% 32.17% S&P % 0.00% 0.00% 0.00% 5.53% 20.18% EURO STOXX % 1.36% 13.80% 20.13% 31.35% 46.11% FTSE % 0.00% 0.00% 0.00% 1.08% 2.92% S&P % 0.00% 0.00% 0.00% 0.00% 0.02% Russell % 0.00% 0.00% 0.00% 0.62% 13.47% Russell % 0.00% 0.00% 0.00% 2.46% 16.33% Barrier Source: Bloomberg/Meteor Research Department, 11 August 2017 Index 50.00% 60.00% 70.00% 80.00% 90.00% % 0.07% 0.39% 0.39% 0.39% 1.27% 1.34% FTSE % 20.75% 28.19% 30.15% 31.32% 32.17% S&P % 11.98% 16.97% 18.52% 20.01% 20.18% EURO STOXX % 36.60% 42.47% 44.91% 45.88% 46.11% FTSE % 0.00% 0.00% 0.00% 1.80% 2.92% S&P % 0.02% 0.02% 0.02% 0.02% 0.02% Russell % 7.90% 11.17% 12.00% 13.17% 13.47% Russell % 9.40% 13.63% 14.81% 16.14% 16.33% Source: Bloomberg/Meteor Research Department, 11 August 2017 Simulated and/or past performance is not a reliable indicator of future performance and should not be used to assess future returns or risks. Approved and issued by Meteor Asset Management Limited. Meteor Asset Management is authorised and regulated by the Financial Conduct Authority, Financial Services Register Number Financial Conduct Authority: 25 The North Colonnade, Canary Wharf, London E14 5HS. M01345_6November King William Street London EC4R 9AD Tel +44 (0) info@focus-ss.com Web Meteor Asset Management Limited 55 King William Street London EC4R 9AD Tel +44 (0) Fax +44 (0) info@meteoram.com Web