FTSE Russell announces schedule for annual Russell US Index reconstitution
(London, New York): FTSE Russell, the global index provider, today announced the 2017 schedule for the annual reconstitution of its Russell US Indexes. The reconstitution process, closely watched by market participants, is designed to capture and reflect market shifts that have occurred in the past year to ensure investors continue to have the most accurate US equity market benchmarks.
Rolf Agather, managing director of North America research, FTSE Russell, said:
“Annual Russell reconstitution is a critical time for our widely followed US indexes, particularly the US large-cap Russell 1000® Index and US small-cap Russell 2000® Index as well as the Russell growth and value indexes which turn thirty this year. This event and related adjustments essentially redefines, refreshes and recasts the entire Russell US family of indexes for the next 12 months and help our clients re-evaluate the equity landscape with a fresh perspective. Such a complex undertaking by our index teams requires our full commitment to operational excellence.”
Performed since the Russell indexes were introduced in 1984, Russell reconstitution fully realigns the indexes to ensure that they continue to accurately reflect the global markets. Russell index updates reflect changes in market capitalization, sector composition, company rankings and style orientation for the last year.
With approximately $6.6 trillion tracking the Russell US indexes as of December 31, 2015, Russell reconstitution is a notable event for US equity investors. The 2017 Russell US Index reconstitution schedule is as follows:
- May 12 – “rank day” – Russell US Index membership eligibility for 2017 reconstitution determined from constituent market capitalization at market close.
- June 9 – preliminary US index add & delete lists posted to the FTSE Russell website after 6:00 PM US eastern time.
- June 16 & 23 – updated US index add & delete lists posted to the FTSE Russell website after 6:00 PM US eastern time.
- June 23 – reconstitution is final after equity markets close
- June 26 – equity markets open with newly reconstituted Russell US Indexes
FTSE Russell has made a number of updates to its Russell US and Global Index reconstitution process this year. These updates are part of an ongoing effort to align FTSE Russell indexes since the combination of the two leading index families in 2015, bringing greater consistency and efficiency to clients:
- Shares outstanding and free floats will converge across all FTSE Russell Indexes effective at this year’s reconstitution and will be maintained similarly going forward. Changes to shares outstanding and free floats for all Russell indexes will now be implemented quarterly rather than the current monthly cycle, with intra-quarter changes implemented for certain defined events in accordance with set guidelines.
- Rank date, the date used to determine Russell US Index membership, usually in late May, will be on Friday, May 12 to facilitate the scheduled June alignment of shares outstanding and free float across the FTSE and Russell indexes. Fundamental data used to determine index constituent characteristics such as style and stability will still continue to be based on May month-end data.
- Russell Global ex-US Indexes will now be fully reconstituted in September to align with the FTSE indexes annual country classification cycle.
Other methodology enhancements are being introduced this year at reconstitution:
- Eligibility of new market exchanges: As of reconstitution 2017, the IEX and BATS market exchanges will be eligible for membership in the Russell US Indexes.
- Free float restrictions: FTSE Russell has clarified the treatment of shares held by investment funds or investment companies. Notably, shares held by an investor, investment company or investment fund that is actively participating in the management of a company, owns shares in a company for strategic reasons, or has successfully placed a current member to the board of directors of a company will be restricted.
- Dummy lines/Placeholders: The Russell US Indexes will now utilize dummy lines and placeholders to facilitate replication of certain market events.
FTSE Russell index expertise and products are used by institutional and retail investors globally and approximately $10 trillion is currently benchmarked to its indexes. Other examples of leading edge index reconstitution methodology for FTSE Russell include the FTSE Global Equity Index Series and FTSE UK Index Series quarterly reviews, which happened earlier this week, and the FTSE Annual Country Classification Review for global markets, which concludes each year in September.
A full summary of planned updates along with background information on reconstitution can be found on the reconstitution home page.
- Ends -
For further information:
Notes to editors:
About FTSE Russell:
FTSE Russell is a leading global provider creating and managing a wide range of indexes, data and analytic solutions to meet client needs across asset classes, style and strategies. Covering 98% of the investable market, FTSE Russell indexes offer a true picture of global markets, combined with the specialist knowledge gained from developing local benchmarks around the world.
FTSE Russell index expertise and products are used extensively by institutional and retail investors globally. More than $10 trillion is currently benchmarked to FTSE Russell indexes. For over 30 years, leading asset owners, asset managers, ETF providers and investment banks have chosen FTSE Russell indexes to benchmark their investment performance and create investment funds, ETFs, structured products and index-based derivatives. FTSE Russell indexes also provide clients with tools for asset allocation, investment strategy analysis and risk management.
A core set of universal principles guides FTSE Russell index design and management: a transparent rules-based methodology is informed by independent committees of leading market participants. FTSE Russell is focused on index innovation and customer partnership applying the highest industry standards and embracing the IOSCO Principles. FTSE Russell is wholly owned by the London Stock Exchange Group.
For more information, visit www.ftserussell.com.
© 2017 London Stock Exchange Group plc and its applicable group undertakings (the “LSE Group”). The LSE Group includes (1) FTSE International Limited (“FTSE”), (2) Frank Russell Company (“Russell”), (3) FTSE TMX Global Debt Capital Markets Inc. and FTSE TMX Global Debt Capital Markets Limited (together, “FTSE TMX”) and (4) MTSNext Limited (“MTSNext”). All rights reserved.
FTSE Russell® is a trading name of FTSE, Russell, FTSE TMX and MTS Next Limited. “FTSE®”, “Russell®”, “FTSE Russell®” “MTS®”, “FTSE TMX®”, “FTSE4Good®” and “ICB®” and all other trademarks and service marks used herein (whether registered or unregistered) are trade marks and/or service marks owned or licensed by the applicable member of the LSE Group or their respective licensors and are owned, or used under licence, by FTSE, Russell, MTSNext, or FTSE TMX.
All information is provided for information purposes only. Every effort is made to ensure that all information given in this publication is accurate, but no responsibility or liability can be accepted by any member of the LSE Group nor their respective directors, officers, employees, partners or licensors for any errors or for any loss from use of this publication or any of the information or data contained herein.
No member of the LSE Group nor their respective directors, officers, employees, partners or licensors make any claim, prediction, warranty or representation whatsoever, expressly or impliedly, either as to the results to be obtained from the use of the FTSE Russell Indexes or the fitness or suitability of the Indexes for any particular purpose to which they might be put.
No member of the LSE Group nor their respective directors, officers, employees, partners or licensors provide investment advice and nothing in this communication should be taken as constituting financial or investment advice. No member of the LSE Group nor their respective directors, officers, employees, partners or licensors make any representation regarding the advisability of investing in any asset. A decision to invest in any such asset should not be made in reliance on any information herein. Indexes cannot be invested in directly. Inclusion of an asset in an index is not a recommendation to buy, sell or hold that asset. The general information contained in this publication should not be acted upon without obtaining specific legal, tax, and investment advice from a licensed professional.
No part of this information may be reproduced, stored in a retrieval system or transmitted in any form or by any means, electronic, mechanical, photocopying, recording or otherwise, without prior written permission of the applicable member of the LSE Group. Use and distribution of the LSE Group index data and the use of their data to create financial products require a licence from FTSE, Russell, FTSE TMX, MTSNext and/or their respective licensors.