Russell/Mellon Analytical Services and Measurisk.com Will Publish Value At Risk Measures On Russell Indices and Universes

Business Wire, May 2, 2000

Business Editors

NEW YORK--(BUSINESS WIRE)--May 2, 2000

Russell/Mellon Analytical Services and Measurisk.com today announced that beginning in the third quarter of 2000 the companies will publish value at risk measures on 18 Russell indices provided by Russell/Mellon and on the nine universes they support.

The published risk measures will give institutional investors benchmarks with which to compare their managers' actual risk. The risk universe analysis will provide quartile ranking and the range of risk within style. For example, the Russell 2000 Growth(R) Index may have a VaR of 13%, while the 87 Small Cap Growth managers who make up the universe have VaRs ranging from 20% to 8%.

VaR is a statistical measure of the downside loss potential of a portfolio within a certain confidence level.

"By publishing index and universe risk measures we want to give plan sponsors and asset managers the same kind of comparison tools they have traditionally used to measure performance," said Bill Pryor, Russell/Mellon president and chief executive officer. "This is an important step on the way to offering truly integrated performance and risk."

"I think the industry can benefit from more comparative information around risk," said Harris M. Lirtzman, Director of Risk Management, New York City Retirement Systems. "Several of our funds use Russell indices for performance and evaluation purposes. We look forward to seeing what the numbers show."

Russell US Domestic indexes and Russell/Mellon universe information are leading benchmarks for performance today. "There is no better place to start offering similar information on the risk side of the risk return equation," said Kelsey Biggers, Measurisk.com president and chief executive officer.

In March, Russell/Mellon Analytical Services and Measurisk.com announced plans to form an exclusive alliance to offer Measurisk.com's Value at Risk reporting and portfolio stress testing services to Russell/Mellon's 1,400 clients worldwide.

Measurisk.com is an independent Web-based risk measurement service for institutional investors founded in 1998 with investments from Morgan Stanley Dean Witter, The Bank of Bermuda and XL Capital. The company offers both financial and operational risk measures.

Russell/Mellon Analytical Services, a joint venture company formed by Frank Russell Company and Mellon Financial Corporation, with more than $2.5 trillion in global assets is one of the world's largest providers of sophisticated investment analysis tools for global money managers and institutional investors. Providing performance measurement, universe comparisons and risk analysis tools and services for investment strategies, Russell/Mellon helps to maximize investment returns, minimize risk, and streamline reporting in changing and complex global markets. Russell/Mellon Analytical Services operates from three principal offices in Boston, Pittsburgh and Tacoma and through subsidiaries and affiliated companies worldwide.

Source: Russell/Mellon Analytical Services, LLC and Measurisk.com

Website: www.russellmellon.com

Website: www.measurisk.com