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ftserussell.com
April 2016
FTSE Russell | Russell U.S. Equity Indexes Construction and Methodology, v2.1, April 2016
FTSE Russell | Russell U.S. Equity Indexes Construction and Methodology, v2.1, April 2016
Updated sections
This document has been updated since the previously published version, in the
following sections:
FTSE Russell | Russell U.S. Equity Indexes Construction and Methodology, v2.1, April 2016
Contents
Introduction....................................................................................8
Available indexes................................................................................................. 8
Basic methodology...................................................................... 10
Annual reconstitution........................................................................................ 10
Quarterly initial public offerings ...................................................................... 11
Float .............................................................................................. 23
FTSE Russell | Russell U.S. Equity Indexes Construction and Methodology, v2.1, April 2016
FTSE Russell | Russell U.S. Equity Indexes Construction and Methodology, v2.1, April 2016
FTSE Russell | Russell U.S. Equity Indexes Construction and Methodology, v2.1, April 2016
Section 1
Introduction
FTSE Russell provides float-adjusted, market capitalizationweighted indexes for
a precise picture of the market. Today, $5.7 trillion in assets are benchmarked to
the Russell indexes and more institutional funds track them than all other U.S.
1
equity indexes combined. In 2007, Russell applied its practical, industry-leading
U.S. index methodology to the worlds equity markets and launched its family of
global indexes. Covering 78 markets worldwide, we provide comprehensive
benchmarks covering 98% of investable global equity, making them more
representative of the market.
Available indexes
All Russell U.S. equity indexes are subsets of the Russell 3000E Index. A list of
available tickers and index values can be found in Appendix A.
Price, total, net, and hedged data for the Russell U.S. indexes is available in the
following currencies. Exchange rates used in the End of Day calculations are
WM/Reuters Closing Spot Rates, collected at 16:00 London time (further
information on The WM/Reuters Closing Spot Rates service is available from The
WM Company).
AUD
CAD
CHF
GBP
JPY
ZAR
SGD
USD
EUR
FTSE Russell | Russell US Equity Indexes Construction and Methodology, v2.1, April 2016
FTSE Russell | Russell U.S. Equity Indexes Construction and Methodology, v2.1, April 2016
Section 2
Basic methodology
Russell indexes are objectively constructed and based on transparent rules. The
broadest U.S. index is the Russell 3000E Index, which contains the largest 4,000
U.S. companies. Sub-indexes in the Russell 3000E Index are broken out by
market capitalization and style.
The members of the Russell 3000E Index and its subsets are determined each
year during annual reconstitution and enhanced quarterly with the addition of
initial public offerings (IPOs).
Annual reconstitution
Annual reconstitution is the process by which all Russell indexes are completely
rebuilt. Reconstitution is a vital part of the creation of a benchmark that
accurately represents a particular market segment. Companies may get bigger or
smaller over time, or periodically undergo changes in their style characteristics.
Reconstitution ensures that companies continue to be correctly represented in
the appropriate Russell indexes.
On the rank day in May each year (typically the last trading day in May but a
confirmed timetable is announced each spring), all eligible securities are ranked
by their total market capitalization. The largest 4,000 become the Russell 3000E
Index, and the other Russell U.S. indexes are determined from that set of
securities. If there are not 4,000 eligible securities in the U.S. market, the entire
eligible set is included.
Reconstitution occurs on the last Friday in June. However, at times this date is
too proximal to exchange closures and abbreviated exchange trading schedules
when market liquidity is exceptionally low. In order to ensure proper liquidity in
the markets, when the last Friday in June falls on the 29th or 30th, reconstitution
will occur on the preceding Friday. A full calendar for reconstitution is made
available each spring.
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Section 3
FTSE Russell | Russell US Equity Indexes Construction and Methodology, v2.1, April 2016
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YES
Classified in the
unique country
NO
Move to Step 2
STEP 2
YES
Classified in the
country of primary
assets
NO
Move to Step 3
STEP 3
YES
Classified in the
country of primary
revenue
NO
Move to Step 4
STEP 4
YES
Classified in the
country of
headquarters
NO
Assigned to
primary
exchange
country
Note: If the company does not trade on a major U.S. exchange it is not eligible.
Incorporation: U.S.
Headquarters: China
Trading locations: U.S., U.K., Hong Kong (most liquid exchange: U.S.)
NO
Move to Step 2
STEP 2
NO Canada
Move to Step 3
STEP 3
NO No Data
Move to Step 4
STEP 4
YES China
CLASSIFICATION:
China
FTSE Russell | Russell U.S. Equity Indexes Construction and Methodology, v2.1, April 2016
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Incorporation: Ireland
Headquarters: Ireland
Trading locations: U.S., Ireland, Germany (most liquid exchange: U.S.)
YES Ireland
Assigned to
Ireland
Trading requirements
All securities eligible for inclusion in Russell U.S. indexes must trade on an
eligible U.S. exchange. Bulletin board, pink sheet or over-the-counter (OTC)
traded securities are not eligible for inclusion, including securities for which prices
are displayed on the FINRA ADF.
Eligible U.S. Exchanges: NYSE, NYSE MKT, NASDAQ, ARCA.
FTSE Russell | Russell U.S. Equity Indexes Construction and Methodology, v2.1, April 2016
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Company structure
Companies structured in the following ways are excluded from inclusion in
Russell indexes: royalty trusts, U.S. limited liability companies, closed-end
investment companies (As a point of clarification: Companies that are required to
report Acquired Fund Fees and Expenses (as defined by the SEC), including
Business Development Companies, are not eligible for inclusion), blank-check
companies, special-purpose acquisition companies (SPACs), and limited
partnerships. Exchange Traded Funds (ETFs) and mutual funds are also
excluded.
UBTI screening
Companies that produce unrelated business taxable income (UBTI) are restricted
from ownership for tax-exempt investors. In recognition of this, FTSE Russell
screens all REIT's and Publicly Traded Partnerships (PTP's), removing any
security from eligibility that generates or has historically generated UBTI and has
not taken steps to block UBTI to equity holders. The research process is
conducted as part of FTSE Russell's annual rebalance effort. Additional
screening will not be assessed or changed outside of the reconstitution period.
Information used to confirm UBTI impact includes the following publicly available
sources: 10-K, SEC Form S-3, K-1, company annual report, dividend notices or
company website.
For UBTI to be passed to a security holder, the UBTI must be produced by the
company directly. UBTI incurred by a subsidiary will not be realized by the holder
of the parent entity and would not require removal of the parent company from
eligibility.
If a company restructures to block UBTI, they will remain eligible for index
inclusion. Acceptable forms of restructure are as follows:
1. Formal creation of a shell entity or offshore vehicle ensuring that any
dividend payment is void of UBTI.
2. If within a public filing (SEC filing, dividend disclosure, press release) the
company declares that any UBTI producing assets have been sold AND
no future intent to purchase UBTI producing assets exists. This
declaration of intent must clearly state that the companys past
investment strategy has changed and the intent is to remove the
exposure of UBTI to the end holder.
Shares excluded
The following share types are not eligible for inclusion: preferred and convertible
preferred stock, redeemable shares, participating preferred stock, warrants,
rights, installment receipts and trust receipts.
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Section 4
FTSE Russell | Russell US Equity Indexes Construction and Methodology, v2.1, April 2016
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Stapled units and other paired share structures are considered eligible for index
inclusion, unless an underlying component of the stock is an ineligible security
type (e.g. convertible debt).
Determining price
During annual reconstitution, the last price traded on the primary exchange on
the rank day is used to determine market capitalization.
Size: Must have a total market cap larger than that of the smallest
company in the Russell 3000E Index.
Liquidity: ADDTV (Average Daily Dollar Trading Value) must exceed
that of the global median, which is determined each reconstitution rank
day by ranking all securities in investable countries by ADDTV. As of
reconstitution 2015, the global median ADDTV was USD 170,000.
Float: Must have greater than 5% of shares available in the marketplace
For reconstitution ranking purposes, all share classes for a company, including
unlisted shares will be aggregated and considered total shares outstanding. Total
shares are multiplied by the primary exchange close price of the pricing vehicle
and used to determine the companys total market capitalization for the purpose
of ranking of companies and determination of index membership. If no volume
exists on the primary exchange on the rank day, the last trade price from an
eligible secondary exchange will be used where volume exists (using the lowest
last trade price above $1 if multiple secondary markets exist). Rank will be
determined based on cumulative market capitalization. As of reconstitution 2016,
FTSE Russell | Russell U.S. Equity Indexes Construction and Methodology, v2.1, April 2016
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share classes not qualifying for eligibility independently will not be aggregated
with the pricing vehicle within the available shares calculation.
For companies with multiple share classes, the pricing vehicle will be designated
as the share class with the highest two-year trading volume as of the rank day in
May. In the absence of two years worth of data, all available data will be used for
this determination. If the difference between trading volumes for each share class
is less than 20%, the share class with the most available shares outstanding will
be used as the pricing vehicle. At least 100 day trading volume is necessary to
consider the class as a pricing vehicle for existing members. New members will
be analyzed on all available data, even if that data is for less than 100 days. If
applicable, shares held across different share classes will be represented on a
mathematically equivalent basis (e.g. conversion ratios between share classes
will be considered).
Due to replication issues related to Berkshire Hathaway Class A (BRK.A) share
price, BRK.A shares will be aggregated with the primary share class rather than
considered for membership separately.
Growth, value, defensive and dynamic probabilities will be based on that of the
pricing vehicle and assigned consistently across all additional share classes.
Corporate Actions
If a company distributes shares of an additional share class to its existing
shareholders through a mandatory corporate action, FTSE Russell will evaluate
the additional share class for separate index membership. The new share class
will be deemed eligible if the market capitalization of the distributed shares meets
minimum size requirement (above the minimum market capitalization breakpoint
defined as the smallest member of the Russell 3000E Index from previous
rebalance, adjusted for performance to date.) Index membership of additional
share classes that are added due to corporate actions will mirror that of the
pricing vehicle, as will style and stability probabilities. If the distributed shares of
an additional share class do not meet eligibility requirements, they will not be
added to the index (the distributed shares may be added to the index temporarily
until they are settled and listed to enable index replication).
IPOs
Between annual reconstitution periods, FTSE Russell will review for index
inclusion any share class in addition to that of the pricing vehicle that is made
available via IPO as per the quarterly IPO inclusion methodology described in
section 2. Additional share classes will be considered eligible if the following
conditions are met:
Size: Must have a total market cap larger than that of the smallest
company in the Russell 3000E Index as of the previous reconstitution,
adjusted for performance.
Liquidity: ADDTV must exceed that of the global median, which is
determined each reconstitution rank day by ranking all securities in
FTSE Russell | Russell U.S. Equity Indexes Construction and Methodology, v2.1, April 2016
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Additional share classes introduced via IPO that do not meet eligibility
requirements, will not be added to the index and subsequently reviewed for index
membership during the next annual reconstitution.
Third-quarter
additions
Fourth-quarter
additions
First-quarter
additions
Initial offering
period
Rank date
31-Aug
30-Nov
February 28/29
Announce date*
15-Sep
15-Mar
Effective date**
30-Sep
Third Friday in
December
31-Mar
FTSE Russell | Russell U.S. Equity Indexes Construction and Methodology, v2.1, April 2016
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The other index capitalization breaks remain unchanged. All remaining indexes
are a subset of this index. A market capitalization breakpoint is determined by the
break between the companies below.
Index
Companies included
(based on descending total market
capitalization)
Companies #13,000
Companies #1-50
Companies #1200
Companies #11,000
Companies #2011,000
Companies #1,0013,000
Companies #5013,000
Companies #2,0014,000
After the initial market capitalization breakpoints are determined by the ranges
listed above, new members are assigned on the basis of the breakpoints, and
existing members are reviewed to determine if they fall within a cumulative 5%
market cap range around these new market capitalization breakpoints. If an
existing members market cap falls within this cumulative 5% of the market
capitalization breakpoint, it will remain in its current index rather than be moved
to a different market capitalizationbased Russell index. Companies that fall on
the edge of market capitalization breakpoints are often still within a managers
opportunity set, since they have not significantly grown or declined in market
capitalization.
Exceptions: There will be no percentile banding at the bottom of the Russell 3000
Index (stock 3,000) or the Russell 3000E Index (stock 4,000). In addition, due to
the small market cap percentage, the Russell Microcap Index will be banded at
1% around stock 2,000.
Steps in calculating percentile ranges of the new index:
1. Sort the Russell 3000E Index members in descending order by total
market capitalization.
2. Calculate the total market capitalization of the Russell 3000E Index by
summing all members total market capitalizations.
3. Calculate percentiles for each company in the Russell 3000E Index by
dividing the cumulative market cap associated with each member by the
total market cap of the Russell 3000E.
4. Calculate a range of five percentiles around the newly determined
market cap breakpoints, by subtracting, and then adding, 2.5% from/to
the calculated percentile of the market cap breakpoint.
FTSE Russell | Russell U.S. Equity Indexes Construction and Methodology, v2.1, April 2016
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Example:
Assume the market capitalization of security 1,000 is $2 billion (i.e., the
breakpoint between the Russell 1000 and the Russell 2000). Current members of
the Russell 1000 Index that are smaller than $2billion are slated to be moved to
the Russell 2000, while current members of the Russell 2000 that are larger than
$2billion are slated to be moved to the Russell 1000. However, since they are
current members, they are further assessed for the magnitude of their differences
from the market capitalization breakpoint.
Illustration:
1. Sort the new Russell 3000E Index members by descending market
capitalization (see below).
2. Calculate the total market capitalization of the Russell 3000E Index.
Assume for illustration purposes that the index = $182,500 ($M). (Note:
Total market cap has been dramatically reduced for simpler illustration.)
3. Calculate percentiles for each company (see below).
4. Calculate a 5 percentile range around the $2 billion market cap
percentile (89.99 for this illustration):
1. 89.99 2.5 = 87.49
2. 89.99 + 2.5 = 92.49
Range = 87.49% 92.49%
Company
Market cap
($M)
Cumulative
market cap
Cumulative
percentile
New index
membership
$2,115
$154,000
84.38%
R1
Current R1
member
Current R2
member
Rank
Company
995
XYZ Company
996
ABC Company
$2,105
$156,105
85.54%
R1
997
Drugstore Inc.
$2,100
$158,205
86.69%
R1
998
PYK Shipping
$2,011
$160,216
87.79%
R2
999
Z Technology
$2,010
$162,226
88.89%
R2
1,000
RE Trust
$2,000
$164,226
89.99%
R2
1,001
Foods Inc.
$1,995
$166,221
91.08%
R1
1,002
$1,950
$168,171
92.15%
R2
1,003
RYT Inc.
$1,923
$170,094
93.20%
R2
Therefore, the market capitalization of current Russell 2000 Index members PYK
Shipping, Z Technology and RE Trust have not changed significantly enough to
require a membership move into the Russell 1000, and current Russell 1000
Index member Foods Inc.s market capitalization has not changed significantly
enough to require a membership move out of the Russell 1000 (although it is
smaller than $2billion). These companies remain in their current indexes.
FTSE Russell | Russell U.S. Equity Indexes Construction and Methodology, v2.1, April 2016
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Section 5
Float
Adjustments to members shares outstanding
After membership is determined, a securitys shares are adjusted to include only
those shares available to the public. This is often referred to as free float. The
purpose of this adjustment is to exclude from market calculations the
capitalization that is not available for purchase and is not part of the investable
opportunity set. Stocks in the Russell U.S. indexes are weighted by their
available (also called float-adjusted) market capitalization, which is calculated by
multiplying the primary closing price by the available shares. Adjustments to
shares are reviewed at reconstitution and for corporate actions such as mergers.
Capitalization adjustments
The following types of shares are removed from total market capitalization to
arrive at free float or available market capitalization. Adjustments are based on
information recorded in SEC corporate filings, including DEF 14, 424B, and 10K
filings, or other reliable sources in the event of missing or questionable data.
Please note that 13F filings are not reviewed.
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Section 6
Determining style
FTSE Russell uses a non-linear probability method to assign stocks to the
growth and value style valuation indexes and to assign stocks to the defensive
and dynamic Russell Stability Indexes.
FTSE Russell | Russell US Equity Indexes Construction and Methodology, v2.1, April 2016
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each stock. In general, a stock with a lower CVS is considered growth, a stock
with a higher CVS is considered value and a stock with a CVS in the middle
range is considered to have both growth and value characteristics, and is
weighted proportionately in the growth and value index. Stocks are always fully
represented by the combination of their growth and value weights; e.g., a stock
that is given a 20% weight in a Russell value index will have an 80% weight in
the corresponding Russell growth index. Style index assignment for non-pricing
vehicle share classes will be based on that of the pricing vehicle and assigned
consistently across all additional share classes.
FTSE Russell | Russell U.S. Equity Indexes Construction and Methodology, v2.1, April 2016
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the stability probability. The Volatility score makes up the other half of the
stability probability, and is based on an equal weight of the past 52 weeks of the
stock prices weekly volatility and the past 60 months of the stock prices monthly
volatility. The Volatility and Quality variables are gathered annually (end of May).
A company may be included in both the defensive and dynamic indexes based
on its stability probability. However, the number of shares for each index will be
divided based on its stability probability. The total shares will be the same as the
parent index.
Earnings
Variability
Weight: 33%
Leverage
Weight: 33%
Return on
Assets
Weight: 33%
52 Week
Total Return
Volatility
Weight: 50%
60 Month
Total Return
Volatility
Weight: 50%
Scoring
Scoring
Scoring
Scoring
Scoring
Total Return
Volatility Score
Weight: 50%
Quality Score
Weight: 50%
Stability Probability
(0-1)
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In Figure 1, the quartile breaks are calculated such that approximately 25% of the
available market capitalization lies in each quartile. Stocks at the median are
divided 50% in each style index. Stocks below the first quartile are 100% in the
growth index. Stocks above the third quartile are 100% in the value index. Stocks
falling between the first and third quartile breaks are in both indexes to varying
degrees; depending on how far they are above or below the median and how
close they are to the first or third quartile breaks.
5% rule
Roughly 70% of the available market capitalization is classified as all-growth or
all-value (or all-defensive or all-dynamic). The remaining 30% of stocks have
some portion of their market value in either the value or the growth index (or
defensive and dynamic), depending on their relative distance from the median
value score. The astute observer may note that since the percentage of
capitalization between the first quartile and the third quartile is 50%, we would
expect that 50% of the capitalization would be found in both indexes. What
happened to the 20% (i.e., 50% to 30%)? The source for the disappearance of
the 20% is our decision to institute a small position cutoff rule. If a stocks weight
is more than 95% in one style index, we increase its weight to 100% in that
index. This rule eliminates many small weightings and makes passive
management easier.
Banding rule
In an effort to mitigate unnecessary turnover, FTSE Russell implements a
banding methodology at the composite value score (CVS) level of the growth and
value style algorithm. If a companys CVS change from the previous year is to
+/- 0.10 AND if the company remains in the same core index (Russell 1000 or
Russell 2000), then the CVS remains unchanged during the next reconstitution
process. Keeping the CVS static for these companies does not mean the
probability (growth/value) will remain unchanged in all cases due to the relation
of a CVS score to the overall index. However, this banding methodology has
proved to reduce turnover caused by smaller, less meaningful movements while
continuing to allow the larger, more meaningful changes to occur, signaling a true
change in a companys relation to the market.
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XL Lower Breakpoint
XM Median
XU Upper Breakpoint
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Section 7
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No replacement rule
Securities that leave the index for any reason (e.g., mergers, acquisitions or
other similar corporate activity) are not replaced. Thus, the number of securities
in the indexes over the year will fluctuate according to corporate activity.
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The merged entity (including total shares outstanding, crossownership, and country assignment) will be evaluated for index
membership. If using the available shares of the merged entity
causes a change of less than 5% from the shares received
automatically during the transaction, only the merger shares will be
included within the index at the time of the merger.
Index placement will be determined by using the market-adjusted
breakpoints from the last reconstitution.
The growth/value of the merged entity is determined by the industry
average. For defensive/dynamic, the merged entity takes on the
target companys characteristic.
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Reincorporations
Members of the index that are reincorporated to another country are analyzed for
country assignment the following year during reconstitution, as long as they
continue to trade in the U.S. Companies that reincorporate and no longer trade in
the U.S. are immediately deleted from the U.S. indexes and placed in the
appropriate country within the Russell Global Index. Those that reincorporate to
the U.S. during the year will be assessed during reconstitution for membership.
Rights offerings
A rights offer/issue is essentially a companys offering to shareholders of the right
to purchase additional shares at a given subscription price. The subscription
price of the rights is generally at a discount to the prevailing market price of the
stock, to make the offer enticing to shareholders and to ensure that the rights
offering is fully subscribed. FTSE Russell will not apply poison pill rights or
entitlements that give shareholders the right to purchase ineligible securities such
as convertible debt.
FTSE Russell will only adjust the index to account for a right if the subscription
price of the right is at a discount to the market price of the stock. Provided FTSE
Russell has been alerted to the rights offer prior to the ex-date, a price
adjustment will be applied before the open on the ex-date to account for the
value of the rights, and shares increased according to the terms of the offering.
The treatment is consistent for both transferable and non-transferable rights.
Where the Rights Issue / Entitlement offer subscription price remains
unconfirmed on the ex-date an estimated price will be used. FTSE Russell will
estimate the subscription price using the value being raised and the offer terms.
Where there is a range of values the mid value will be used to estimate the
subscription price. Where the value being raised and/or offer terms are unknown
no adjustment will be made on the ex-date. If those details are subsequently
released or a company announces a rights issue with a historical ex-date, a
price adjustment and share increase will be applied as soon as practical. The
latest close price prior to the announcement will be used to confirm whether the
rights are being offered at a discount, and to calculate the adjustment.
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Spin-offs
A spin-off is a new entity resulting from the spinning-off of assets and equity from
a parent company. In a pure spin-off, a parent company distributes 100% of its
ownership interests in a subsidiary operation as dividends to its existing
shareholders. After the spin-off, there are two (or more) separate, publicly held
firms with exactly the same shareholder base, and cumulative market
capitalization as the original company. The spin-off companys style index is
determined by the style index membership of the parent entity.
Spin-offs will be valued using an estimate prior to ex-date, based on the following
(listed in order of preference):
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Tender offers
A tender offer is an offer to purchase shareholders' shares in a corporation. The
price offered is usually higher than the market price, providing an incentive to
shareholders to tender. The target companys shareholders are asked to
FTSE Russell | Russell U.S. Equity Indexes Construction and Methodology, v2.1, April 2016
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tender or surrender their stock holdings for a stated value, subject to the
agreement of a minimum and/or maximum number of shareholders. For instance,
if a corporation's stock were trading at $1 per share, an acquirer might offer the
shareholders $1.15 per share on the condition that 51% of the shareholders
agree.
In the case of a cash tender offer, the target company will be removed from the
index when either:
a) Offer acceptances reach 90% (initial, extension or subsequent); and
Shareholders have validly tendered and the shares have been
irrevocably accepted for payment; and
All pertinent offer conditions have been reasonably met and the
acquirer has not explicitly stated that it does not intend to acquire the
remaining shares; or
b) Where offer acceptances are below 90%, there is reason to believe
that the remaining free float is under 5% based on information
available at the time; or
c) Following completion of the offer the acquirer has stated intent to
finalise the acquisition via a short-form merger, squeeze-out, top-up
option or any other compulsory mechanism.
The target company is deleted from the index at the last traded price. In the
event that trading in the target company has halted at the time of index
implementation, it will be deleted from the index at a price based on the offer
terms.
In the event where a company has been deleted from the index but retains a
listing with a float greater than 5%, it will not be considered for index eligibility for
a period of 12 months.
When non-tradable Contingent Value Rights (CVRs) are included within the
tender offer terms, FTSE Russell may consider a tender offer 'final' prior to the
expiration date of the offer. Doing so minimizes the risk of index implementation
moving into delayed status, and prevents managers who are passively
investing in the index from receiving CVRs that do not carry a confirmed and
realizable economic value. FTSE Russell will establish the likelihood of tender
offer completion using confirmed tendered shares, board/director
recommendations, exchange notifications, stock price versus deal value, and any
other available information.
Where the conditions for index deletion are not met, FTSE Russell may
implement a free float change based on the reported acceptance results at the
expiration of the initial, subsequent, or final offer period where:
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A minimum two days notice period of the change is generally provided. If the
offer includes a stock consideration, the acquiring companys shares will be
increased proportionate to the free float change of the target company. The
target company will then be deleted as a second-step, if the conditions for
deletion are achieved at the expiration of a subsequent offer period.
FTSE Russell does not review partial tender offers and acquisitions. A partial
tender offer or acquisition is defined as an offer by an acquiring company for a
stake in a target company that is not intended to result in 100% ownership.
Shares acquired in a partial acquisition or tender offer will be reviewed at annual
reconstitution for inclusion in free float. Shares that are issued as a result of a
partial acquisition or tender offer will be reviewed at month-end for inclusion (if
greater than 5%). If a partial acquisition or tender offer includes a corporate
action impacting all shareholders, FTSE Russell will give effect to the mandatory
element of the event.
Delisting
Only companies listed on U.S. exchanges are included in the Russell U.S.
indexes. Therefore, when a company is delisted from a U.S. exchange and
moved to OTC, the company is removed from the Russell indexes. When this
occurs, the company is removed either at the close of the current day at the last
traded price, or the following day, using the closing OTC price.
Securities continuing to trade on the primary exchange (non-halted):
If FTSE Russell determines the status of the action to be final prior to 1:00
p.m. Eastern: These deletes will be applied after the close of the current day,
using the last traded price.
If FTSE Russell determines the status of the action to be final after 1:00
p.m. Eastern: These deletes will be deemed delayed actions and will be
carried out after the close of the following day, using the closing OTC price.
Securities previously halted that fail to trade on the primary exchange prior to
being moved to OTC will always be removed the following day at the OTC
closing price, regardless of the time of notification.
FTSE Russell | Russell U.S. Equity Indexes Construction and Methodology, v2.1, April 2016
40
Dividends
Gross dividends are included in the daily total return calculation of the indexes on
the basis of their ex-dates. The ex-date is used rather than the pay-date because
the marketplace price adjustment for the dividend occurs on the ex-date. If a
dividend is payable in stock and cash and the number of shares to be issued
cannot be determined by the ex-date, the dividend is treated as all cash. If the
number of shares to be issued as a stock dividend is announced subsequently,
FTSE Russell will give effect to the share change on the pay date, providing
appropriate notice can be given.
Regular cash dividends: Regular cash dividends are those paid to
shareholders out of a companys profits or reserves. Regular cash dividends
impact the total return and are reinvested across the index at the close on the
dividend ex-date. Monthly, quarterly and annual total returns are calculated by
FTSE Russell | Russell U.S. Equity Indexes Construction and Methodology, v2.1, April 2016
41
Halted securities
When a stocks trading has been halted, FTSE Russell holds the security at its
most recent closing price until trading is resumed or the security is removed from
the index.
If a constituent is halted, FTSE Russell will determine its treatment as follows:
If a constituent is declared bankrupt without any indication of compensation to
shareholders, the last traded price will be adjusted down to zero* value and it will
subsequently be removed from the index with T+2 notice.
In all other cases, the constituent will continue to be included in the index for a
period of up to 20 business days at its last traded price.
If the constituent continues to be suspended at the end of that period, it will be
subject to review and a decision will be taken to either allow the constituent to
remain in the index for a further period of up to 20 business days or to remove it
at zero value. In making this determination, FTSE Russell will take into account
the stated reasons for the suspension. These reasons may include
announcements made by the company regarding a pending acquisition or
restructuring, and any stated intentions regarding a date for the resumption of
trading.
This procedure will be repeated at successive 20 business day intervals
thereafter until either trading recommences or the suspension period reaches 80
business days.
If the suspension period reaches 80 business days and the constituent has not
announced a firm date for the resumption of trading during the 40 business day
period, FTSE Russell will provide notice that the constituent will be removed at
zero value following the expiry of at least 40 business days.
In certain limited circumstances where the index weight of the constituent is
significant and FTSE Russell determines that a market-related value can be
established for the suspended constituent, for example because similar company
securities continue to trade, deletion may take place at the market-related value
FTSE Russell | Russell U.S. Equity Indexes Construction and Methodology, v2.1, April 2016
42
instead. In such circumstances, FTSE Russell will set out its rationale for the
proposed treatment of the constituent at the end of the 80 business day period.
If following the end of the 80 business day period, a suspended constituent that
has not announced a firm date for the resumption of trading nevertheless
resumes trading before its planned removal date, the constituent will continue to
be removed from the index as previously announced but in these circumstances
the deletion will be implemented at market value.
If during the minimum 40 business day notice period, a suspended constituent
that had previously announced a firm date for the resumption of trading within
that period then nevertheless fails to resume trading on that date, FTSE Russell
will give notice that the constituent will be removed at the index review following
the expiry of an additional notice period of 40 business days.
If a constituent has been removed from the index and trading is subsequently
restored, the constituent will only be re-considered for inclusion after a period of
12 months from its deletion. For the purposes of index eligibility it will be treated
as a new issue.
*For system purposes the actual value used is .0001, in local currency.
Stocks that are scheduled for changes but are halted or suspended prior to
reconstitution will have their scheduled updates postponed and will be monitored
for trade resumption. Once trading resumes, these securities changes will be
announced and will have their positions updated accordingly. Standard notice
requirements for these changes will be adhered to: Same day changes
wouldoccur, presuming notification within the 2 pm (Eastern Time) cumulative
change file can be provided. If sufficient notice is not possible, the updates will be
delayed by one day. Securities that are being removed will be removed using the
primary exchange close price.
FTSE Russell | Russell U.S. Equity Indexes Construction and Methodology, v2.1, April 2016
43
Section 8
Available indexes
The following indexes are available for the Russell Equal Weight Indexes:
FTSE Russell | Russell US Equity Indexes Construction and Methodology, v2.1, April 2016
44
Each quarter, each sector in the underlying index is allocated an equal weight
(i.e., 1/N, where N is the number of sectors in the Market Cap Index). Next, each
constituent within each sector is assigned an equal weight within that sector (i.e.,
1/N, where N is the number of constituents within the sector.)
A capacity screen is then applied to the securities in the Russell Equal Weight
Indexes. Capacity is defined as the total amount that can theoretically be
invested in a company. For a security that has 100% of its shares freely
available, the maximum capacity is defined as the total market capitalization of
that security. To be eligible for membership, the share position of a potential
constituent cannot exceed 5% of the float-adjusted shares of a company when a
notional value of $5 billion is assumed to be invested in the portfolio. (An
3
example is provided in the appendix.)
The Russell Global Large Cap Equal Weight Index methodology also applies an
additional liquidity screen. The liquidity screen captures 95% of the liquidity in
the marketplace. It removes securities that have a liquidity measure that is two
standard deviations from the mean of a lognormal distribution of the average
daily dollar trading value (ADDTV) of the securities in the Russell Global Large
Cap Index.
For a security to be eligible for inclusion, it must have an average daily dollar
trading value (ADDTV) greater than or equal to:
1.96
Where: x = x1, x2, xi, xn where xi is the average daily dollar trading value of
security i
=
ni=1 ln(xi )
n
1
N
ni=1 ln(xi ) -)
In the above equation, the mean and standard deviations are derived by use of
the liquidity of the constituents in the Russell Global Large Cap Index. Small cap
securities will be subject to an ADDTV cutoff point that is half of the cutoff point
identified above.
If the parent index includes multiple share classes for a given company, only the
primary share class will be included in the index( i.e., each company will have
only one share class represented in the Russell Equal Weight Indexes).
The sector scheme used in the construction of the Russell Equal Weight Indexes is the Russell Global Sectors (RGS) classification system,
which has nine sectors: Consumer Discretionary, Consumer Staples, Energy, Financial Services, Health Care, Materials & Processing,
Producer Durables, Technology and Utilities
3
After securities weights are reset, they may change as often as daily as stock prices fluctuate.
FTSE Russell | Russell U.S. Equity Indexes Construction and Methodology, v2.1, April 2016
45
FTSE Russell | Russell U.S. Equity Indexes Construction and Methodology, v2.1, April 2016
46
# of
constituents Constituent
In sector
weight
Portfolio
Value*
Price
Shares
held in
portfolio
Float adjusted
shares
% of float
adjusted
shares
Company
Sector
Consumer
Discretionary
11.1%
5.56% 277,777,778
23 12,077,295 120,772,946,860
0.0%
Company B
Consumer
Discretionary
11.1%
5.56% 277,777,778
15 18,518,519
1,851,851,852
1.0%
Company C
Consumer
Staples
11.1%
2.78% 138,888,889
48
2,893,519
72,337,963
4.0%
Company D
Consumer
Staples
11.1%
2.78% 138,888,889
55
2,525,253
36,075,036
7.0%
Company E
Consumer
Staples
11.1%
2.78% 138,888,889
19
7,309,942
73,099,415
10.0%
Company F
Consumer
Staples
11.1%
2.78% 138,888,889
33
4,208,754
1,402,918,070
0.3%
Company G
Energy
11.1%
3.70% 185,185,185
67
2,763,958
460,659,665
0.6%
Company H
Energy
11.1%
3.70% 185,185,185
42
4,409,171
1,469,723,692
0.3%
Company I
Energy
11.1%
3.70% 185,185,185
89
2,080,732
456,300,969
0.5%
Company J
Financial
Services
11.1%
2.22% 111,111,111
12
9,259,259
1,381,978,994
0.7%
Company K
Financial
Services
11.1%
2.22% 111,111,111
27
4,115,226
4,623,849,817
0.1%
Company L
Financial
Services
11.1%
2.22% 111,111,111
1230
90,334
1,290,489,095
0.0%
Company M
Financial
Services
11.1%
2.22% 111,111,111
8 13,888,889
462,962,963
3.0%
Company N
Financial
Services
11.1%
2.22% 111,111,111
215
516,796
527,342,720
0.1%
Company O
Health Care
11.1%
2.78% 138,888,889
43
3,229,974
4,969,191,016
0.1%
Company P
Health Care
11.1%
2.78% 138,888,889
27
5,144,033
907,236,847
0.6%
Company Q
Health Care
11.1%
2.78% 138,888,889
14
9,920,635
496,031,746
2.0%
Company R
Company S
Health Care
Producer
Durables
11.1%
11.1%
4
2
2.78% 138,888,889
5.56% 277,777,778
73 1,902,588
26 10,683,761
350,384,442
267,094,017
0.5%
4.0%
Company T
11.1%
5.56% 277,777,778
45
68,587,105,624
0.0%
Company U
Producer
Durables
Technology
11.1%
1.85%
92,592,593
120
771,605
13,536,929
5.7%
Company V
Technology
11.1%
1.85%
92,592,593
45
2,057,613
2,611,184,224
0.1%
Company W
Technology
11.1%
1.85%
92,592,593
342
270,739
791,633,260
0.0%
Company X
Technology
11.1%
1.85%
92,592,593
38
2,436,647
5,378,912,083
0.0%
Company Y
Company Z
Technology
Technology
11.1%
11.1%
6
6
1.85%
1.85%
92,592,593
92,592,593
67
15
1,381,979
6,172,840
6,008,604,321
791,389,680
0.0%
0.8%
Company AA
Utilities
11.1%
5.56% 277,777,778
29
9,578,544
2,128,565,347
0.5%
FTSE Russell | Russell U.S. Equity Indexes Construction and Methodology, v2.1, April 2016
6,172,840
47
Company AB
Utilities
11.1%
5.56% 277,777,778
8 34,722,222
6,123,848,716
0.6%
Company AC
Materials &
Processing
11.1%
5.56% 277,777,778
4 69,444,444
30,062,530,063
0.2%
Company AD
Materials &
Processing
11.1%
5.56% 277,777,778
53,214,134
9.0%
58
4,789,272
* This hypothetical example is for illustration only and is not intended to reflect an actual value.
FTSE Russell | Russell U.S. Equity Indexes Construction and Methodology, v2.1, April 2016
48
Section 9
PIVt
PIVt-1
Available indexes
FTSE Russell | Russell US Equity Indexes Construction and Methodology, v2.1, April 2016
49
Appendix A
Bloomberg
symbol price
return
Bloomberg
Symbol total
return
.RUI
RIY
RU10INTR
.RUI.M
RXU
.RLV
RLV
RU10VATR
RLV
IWD
.RLG
RLG
RU10GRTR
RLG
IWF
.RU1000DF
RU1000DF
.RU1000DY
RU1000DY
.RUT
RTY
RU20INTR
Russell index
CUSIP
Russell 1000
Russell 2000
12483510
AMEX
ETF
IWB
IWM
.RUT.M
.RUJ
RUJ
RU20VATR
RUJ
IWN
.RUO
RUO
RU20GRTR
RUO
IWO
.RU2000DF
RU2000DF
.RU2000DY
RU2000DY
Russell 3000
.RUA
RAY
RU30INTR
.RUA.M
.RAV
RAV
RU30VATR
RAV
IWW
.RAG
RAG
RU30GRTR
RAG
IWZ
.RU3000DF
RU3000DF
.RU3000DY
RU3000DY
Russell 2500
.R25I
R2500
RU25INTR
.R25IV
R2500V
RU25VATR
.R25IG
R2500G
RU25GRTR
.RU2500DF
RU2500DF
.RU2500DY
RU2500DY
Russell Midcap
.RMCC
RMC
RUMCINTR
RMC
IWR
.RMCCV
RMV
RUMCVATR
RMV
IWS
.RMCCG
RDG
RUMCGRTR
RCG
IWP
.RUMCAPDF
RUMCAPDF
.RUMCAPDY
RUMCAPDY
FTSE Russell | Russell US Equity Indexes Construction and Methodology, v2.1, April 2016
IWV
50
Thomson
Reuters RIC
Bloomberg
symbol price
return
Bloomberg
Symbol total
return
AMEX
ETF
.RT200
R200
RUTPINTR
RTL
IWL
.RT200V
R200V
RUTPVATR
RVA
IWX
.RT200G
R200G
RUTPGRTR
RTS
IWY
.RUT200DF
RUT200DF
.RUT200DY
RUT200DY
.RSCC
RSCC
RSCCINTR
.RSCCV
RSCCV
RSCCVATR
.RSCCG
RSCCG
RSCCGRTR
.RU50
RTOP50
RUTP50TR
Russell Microcap
.RUMIC
RMICRO
RUTPMCTR
.RUMICV
RMICROV
RUMRVATR
.RUMICG
RMICROG
RUMRGRTR
Russell index
CUSIP
IWC
The index value is the result of compounding daily (or monthly) return
percentages, where the starting value of the index is equal to the base value and
base date. Returns between any two dates can then be derived by dividing the
ending period index value (IV1) by the beginning period (IV0) index value
(Return = [(IV1 / IV0) 1]*100).
Calculated end of day
Index
Base date/value
Inception
Base date/value
Inception
Russell 1000
12/31/78 = 100.00
12/31/78
12/31/86 = 130.00
12/31/86
12/31/90 = 100.00
12/31/78
08/31/92 = 200.00
08/31/92
12/31/90 = 100.00
12/31/10 = 1000.00
12/31/78
7/1/96
08/31/92 = 200.00
NA
08/31/92
NA
12/31/10 = 1000.00
7/1/96
NA
NA
Russell 2000
12/31/78 = 100.00
12/31/78
12/31/86 = 135.00
12/31/86
05/31/93 = 1000.00
12/31/78
03/16/00 = 500.00
03/16/00
05/31/93 = 1000.00
12/31/10 = 1000.00
12/31/78
7/1/96
03/16/00 = 500.00
NA
03/16/00
NA
12/31/10 = 1000.00
7/1/96
NA
NA
Russell 3000
12/31/78 = 100.00
12/31/78
12/31/86 = 140.00
12/31/86
05/31/95 = 1000.00
05/31/95 = 1000.00
12/31/78
12/31/78
03/16/00 = 700.00
03/16/00 = 700.00
03/16/00
03/16/00
12/31/10 = 1000.00
7/1/96
NA
NA
12/31/10 = 1000.00
7/1/96
NA
NA
Russell Midcap
12/31/78 = 100.00
12/31/78
08/31/92 = 200.00
08/31/92
12/31/85 = 100.00
12/31/85 = 100.00
12/31/85
12/31/85
03/16/00 = 500.00
03/16/00 = 500.00
03/16/00
03/16/00
12/31/10 = 1000.00
7/1/96
NA
NA
12/31/10 =1000.00
7/1/96
NA
NA
12/31/78 = 100.00
12/31/78
03/16/00 = 400.00
03/16/00
FTSE Russell | Russell U.S. Equity Indexes Construction and Methodology, v2.1, April 2016
51
Base date/value
Inception
Base date/value
Inception
12/31/85 = 100.00
12/31/85
03/16/00 = 400.00
03/16/00
12/31/85 = 100.00
12/31/10 = 1000.00
12/31/85
7/1/96
03/16/00 = 400.00
NA
03/16/00
NA
12/31/10 =1000.00
7/1/96
NA
NA
Russell 2500
12/31/90 = 100.00
12/31/78
11/30/03 = 200
11/30/03
05/31/95 = 1000.00
12/31/85
11/30/03 = 200
11/30/03
05/31/95 = 1000.00
12/31/10 = 1000.00
12/31/85
7/1/07
11/30/03 = 200
NA
11/30/03
NA
12/31/10 =1000.00
7/1/07
NA
NA
3/31/99 = 1000.00
12/31/79
11/30/03 = 500
11/30/03
3/31/99 = 1000.00
12/31/79
11/30/03 = 500
11/30/03
3/31/99 = 1000.00
12/31/79
11/30/03 = 500
11/30/03
12/31/01 = 1000.00
3/21/05
915.03
3/18/05
6/24/05 = 1000.00
6/30/00
9/25/05 = 300
9/25/05
6/30/06 = 1000.00
6/30/00
NA
6/30/06 = 1000.00
6/30/00
NA
6/24/05 = 1000.00
6/24/05
NA
12/31/86
*Prior to January 13, 2014, some Russell U.S. real time indexes were calculated by Thomson Reuters.
FTSE Russell | Russell U.S. Equity Indexes Construction and Methodology, v2.1, April 2016
52
Appendix B
Country of incorporation
Country of headquarters
Country of most liquid exchange as defined by the two-year average
daily dollar trading volume (ADDTV).
FTSE Russell | Russell US Equity Indexes Construction and Methodology, v2.1, April 2016
53
* Majority of assets/revenue is determined by the absolute difference between those percentages. For
example, 20% difference would be achieved if assets were 44% in one country and 20% in another.
20% difference would NOT be recognized if country one was 30% and country two was 20% higher at
36%.
FTSE Russell | Russell U.S. Equity Indexes Construction and Methodology, v2.1, April 2016
54
Falkland Islands
Anguilla
Faroe Islands
Liechtenstein
Gibraltar
Monaco
Aruba
Guernsey
Suriname
Bahamas
Isle of Man
Barbados
Jersey
Belize
Liberia
Bermuda
Marshall Islands
Bonaire
Panama
Saba
Cayman Islands
Sint Eustatius
Channel Islands
Sint Maarten
Cook Islands
Curacao
U.S. Territories
A U.S. HCI is assigned for any company incorporated or headquartered in a U.S.
territory. This includes countries such as: Puerto Rico, Guam, and U.S. Virgin
islands.
Example by country:
Home Country Indicators: Incorporated in U.S., Headquartered in China, Most
liquid exchange U.S.
Year 1 assets/ revenues
($USD in millions)
Year 1 calculated
percentage
US
30.00%
China
15.00%
Country 3
15.00%
Country 4
15.00%
Country 5
15.00%
Country
Country 6
Total
10.00%
$20M
100.00%
FTSE Russell | Russell U.S. Equity Indexes Construction and Methodology, v2.1, April 2016
55
Year 1 calculated
percentage
North America
37.50%
Europe
12.50%
Asia
12.50%
Middle East
12.50%
Africa
12.50%
Region
South America
Total
12.50%
$16M
100.00%
Reporting
U.S.
All Other Countries
Total
Year 1 calculated
percentage
10M
77.00%
3M
23.00%
$13M
100.00%
Results: Total U.S. assets/revenues comprise more than 40% of the total assets
compared to the rest of the world. Country assignment is U.S.
FTSE Russell | Russell U.S. Equity Indexes Construction and Methodology, v2.1, April 2016
56
Appendix C
Schedule of notifications*
Time of notification
(Eastern Time)
Content of notification
10:00 a.m.
2:00 p.m.
6:30 p.m.
* Note, on days when the markets close early only one report is generated which will serve as final
notice. The report will be delivered an hour and a half prior to market close.
FTSE Russell | Russell US Equity Indexes Construction and Methodology, v2.1, April 2016
57
Sample report
Effective date: The effective date refers to the date the action will occur after the
close/before the open. A manager would want to put in a market
on close order for the day of the effective date.
Action:
Reasons:
Acquisition / Merger
Delisted
Spin-off
IPO
FTSE Russell | Russell U.S. Equity Indexes Construction and Methodology, v2.1, April 2016
58
Appendix D
FTSE Russell | Russell US Equity Indexes Construction and Methodology, v2.1, April 2016
59
Appendix E
File revisions
FTSE Russell endeavors to maintain the highest standard of return accuracy and
to maintain accurate security level positions and returns which are replicable for
passive investment managers, and replicate the passive experience of a
stockholder/derivative owner. The full index recalculation policy can be viewed
by clicking on the following link:
http://www.ftse.com/products/downloads/FTSE_Russell_Index_Recalculation_Po
licy_and_Guidelines.pdf
FTSE Russell | Russell US Equity Indexes Construction and Methodology, v2.1, April 2016
60
Appendix F
Performance algorithms
Calculation of a synthetic position or a
delayed action
Stock / Stock plus Cash Actions between members. The closing price of the
acquired company will be adjusted to capture the performance of the newly
formed entity, according to the merger terms.
Adjusted closing price calculation:
= (Acquiring company closing price per share * stock terms) + cash offer
per share
Stock only example: On trading day, Company A, a member of the Russell
1000, acquires Company B, a member of the Russell 2000, at the acquisition
terms of 1:5 shares. Based on the time of final notification from the exchange,
Russell classifies this as a delayed action. Therefore, for an entire trading day,
Company B remains a member of the Russell 2000, although the action has
been finalized and technically Company B no longer trades. At the close of that
day, Company Bs price is adjusted to mimic the terms of the deal and capture
the performance of Company A. After the close, Company B is removed from the
Russell 2000, and Company As shares are increased in the correct proportion
according to the merger terms.
Company
A (R1)
$10.00
$2.00
$12.00
No longer trading
NA
$2.40
Date
Stock + cash example: In the same example as above, assume that the merger
terms were stock plus cash, 1:5 plus $2 per share.
FTSE Russell | Russell US Equity Indexes Construction and Methodology, v2.1, April 2016
61
Date
Company A (R1)
$10.00
$4.00
$12.00
No longer trading
NA
$4.40
Company Z (R2)
$5.00
No longer trading
$5.02
Market-adjusted breakpoints
Market-adjusted breakpoints are determined by applying the performance of the
Russell 3000E Index to date to the latest reconstitution breakpoints.
Example: Russell 3000E Performance to date = 2.05%
Latest reconstitution breakpoint between R1 and R2 = $1.8 billion
Market-adjusted breakpoint = $1.8B * 1.0205 = $1.804
FTSE Russell | Russell U.S. Equity Indexes Construction and Methodology, v2.1, April 2016
62
Appendix G
FTSE Russell | Russell US Equity Indexes Construction and Methodology, v2.1, April 2016
63
FTSE Russell
64
FTSE Russell
North America
+1 877 503 6437
Asia-Pacific
Hong Kong +852 2164 3333
Tokyo +81 3 3581 2764
Sydney +61 (0) 2 8823 3521
65