Russell Indexes

Russell U.S. Indexes Construction & methodology Russell produces a family of market cap-weighted U.S. equity indexes. All U.S. indexes are subsets of the Russell 3000E™ Index, which represents approximately 99% of the U.S. equity market. Download the complete document Russell U.S. Indexes construction and methodology (PDF) Purpose Act as a performance standard for active managers. Serve as a proxy for asset allocation purposes. Become a purchasable and replicable vehicle for passive investment strategy. Determining index membership Rank the U.S. common stocks from largest to smallest market capitalization at each annual reconstitution period (May 31). Top 3,000 stocks become the Russell 3000® Index. Largest 1,000 stocks become the Russell 1000® Index. Next 2,000 stocks become the Russell 2000® Index. The smallest 1,000 in the Russell 2000 Index plus the next smallest 1,000 comprise the Russell Microcap Index. Determining style index membership Rank each stock in the Russell 1000 and Russell 2000 by respective variables to determine Valuation (Growth/Value) or Stability (Defensive/Dynamic) styles. Valuation style variables: book-to-price ratio to represent value and I/B/E/S forecast medium-term growth and historical sales per share growth to represent growth. Stability style variables: EPS variability, ROA, and debt-to-equity to represent quality and total return volatility over two time periods to represent volatility. Combine variables to create a composite value score (CVS) for each stock. To ensure that turnover remains low, Valuation style implements a band of +/- .10 at the CVS level to prevent the occurrence of smaller, less meaningful movements. Rank the stocks by their CVS and apply a non-linear probability algorithm to the distribution to determine style membership weights. Roughly 70% are classified as all value or all growth and 30% are weighted proportionately to both value & growth. Exclusions Stocks trading below $1.00. Pink sheet and bulletin board stocks. Closed-end mutual funds, limited partnerships, royalty trusts, etc. Foreign Stocks and American Depositary Receipts (ADRs). REIT's and PTP's that generate or have generated UBTI. Stocks with a market capitalization of under $30 million. Adjustments Adjust shares outstanding for cross ownership and privately held shares to reflect shares available for trading. Adjust book value due to FAS 106 & 109 write-offs when determining price-to-book ratio for style classification. Maintenance Stocks deleted between reconstitution dates are not replaced. Spin-offs and Initial Public Offerings are the only additions between reconstitution dates. Dividends are reinvested on the ex-date.			Russell Indexes families Russell Global Indexes    -- Global Index    -- Global ex-U.S. Index    -- Global Large Cap Index    -- Global Small Cap Index    -- Developed Index    -- Emerging Markets Index Russell U.S. Indexes    -- 1000 Index    -- 2000 Index    -- 3000 Index    -- Microcap Index Barclays-Russell LDI Index Series BATS Chi-X Europe Russell Index Series Russell-Axioma Factor Indexes    -- Factor Indexes (Long-Only) Russell Dividend Achievers Russell Equal Weight Indexes Russell European Indexes Russell Frontier Indexes Russell Fundamental Index Series Russell Geographic Exposure Index Series Russell High Dividend Yield Index Series Russell High Efficiency Defensive Indexes Russell-IdealRatings Islamic Indexes Russell/Nomura Indexes Russell Stability Indexes Russell Volatility Control Indexes Custom Indexes Subscribe to Russell Indexes Index Calculator   U.S. Index info ETFs based on these indexes Membership lists Index definitions U.S. Indexes comparison (PDF) Printer friendly version of this page

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