Russell Reconstitution: Final Trading Analysis

We extend our preliminary study published on 6/29/2012 to include the trading period between T-15 (6/1/2012) and T+15 (7/16/2012). We examine volume, spread, volatility and trading costs. We also look at algorithmic trading results for the constituents added to or removed from the Russell 1000 Index (R1K) and Russell 2000 Index (R2K). Furthermore, we look at trading characteristics of the iShares Russell 2000 Index Fund (IWM), a widely traded ETF that tracks the Russell 2000 Index and iShares Russell 1000 Index Fund (IWB), an ETF that tracks the Russell 1000 Index.

Final 2012 Russell Reconstitution Review

In this edition of the The Blotter, index expert Charles Behette recaps this year's Russell Rebalance. His effective date, period and post-event analysis includes detailed performance metrics on add/deletes, migrations, funding, and effective day closing print & full day performance.

Preliminary Russell Analysis

With this year’s Russell Reconstitution just a week past, we analyzed the trading characteristics of Russell adds and deletes to provide color on the reconstitution and the two days surrounding the event in this week’s edition of The Blotter.

Our analysis focuses on the trading characteristics of constituents added to or removed from the Russell 1000® (R1K) and Russell 2000® (R2K) indices. With the available data and trend analysis, we aim to help clients assess whether the execution strategy implemented was most conducive to the trading characteristics associated with these securities.

Russell Preliminary List as of 06/15/12

Every year, the Russell Reconstitution provides the investment community with surprises, opportunities and risks.  ITG’s index expert, Charles Behette, breaks down his analysis for the 2012 rebalance. If you would like to see the Russell 1000, 2000 and 3000 projections for adds/migrations and deletes please email Charles Behette at Charles.Behette@itg.com.

Updated Russell Reconstitution Report

Name Movement By Sector as of 06/15/12

SectorAdd to Russell 1000Add to Russell 2000Russell 1000 to Russell 2000Russell 2000 to Russell 1000Remaining in Russell 1000Remaining in Russell 2000Leaving Russell 1000Leaving Russell 2000
Total718930409441,7862122
Consumer Discretionary12274153254115
Consumer Staples52251653
Energy123370109114
Financials1583161814038
Health Care27159524734
Industrials121513226417
Information Technology33311413430324
Materials162165794
Telecommunication Services315252
Utilities2148371

 

Russell Preliminary List as of 06/08/12

Every year, the Russell Reconstitution provides the investment community with surprises, opportunities and risks.  ITG’s index expert, Charles Behette, breaks down his analysis for the 2012 rebalance. If you would like to see the Russell 1000, 2000 and 3000 projections for adds/migrations and deletes please email Charles Behette at Charles.Behette@itg.com.

Updated Russell Reconstitution Report

Name Movement By Sector as of 06/08/12

SectorAdd to Russell 1000Add to Russell 2000Russell 1000 to Russell 2000Russell 2000 to Russell 1000Remaining in Russell 1000Remaining in Russell 2000Leaving Russell 1000Leaving Russell 2000
Total718930409441,7862123
Consumer Discretionary12274153255115
Consumer Staples52251653
Energy123370108115
Financials1583161814038
Health Care27159524734
Industrials121513226417
Information Technology33311413430324
Materials162165794
Telecommunication Services315252
Utilities2148371

 

Russell Projections as of 5/31/12

Every year, the Russell Reconstitution provides the investment community with surprises, opportunities and risks.  ITG’s index expert, Charles Behette, breaks down his analysis for the 2012 rebalance. If you would like to see the Russell 1000, 2000 and 3000 projections for adds/migrations and deletes please email Charles Behette at Charles.Behette@itg.com.

Updated Russell Reconstitution Report

Projected Name Movement By Sector as of 05/31/12

SectorAdd to Russell 1000Add to Russell 2000Russell 1000 to Russell 2000Russell 2000 to Russell 1000Remaining in Russell 1000Remaining in Russell 2000Leaving Russell 1000Leaving Russell 2000
Total618831399441,7922120
Consumer Discretionary1237415425614
Consumer Staples52251653
Energy1113370109114
Financials574141804049
Health Care281594247135
Industrials122613226317
Information Technology33211413530523
Materials52165812
Telecommunication Services315252
Utilities2148371

 

Russell Projections as of 5/11/12

Every year, the Russell Reconstitution provides the investment community with surprises, opportunities and risks.  ITG’s index expert, Charles Behette, breaks down his analysis for the 2012 rebalance. If you would like to see the Russell 1000, 2000 and 3000 projections for adds/migrations and deletes please email Charles Behette at Charles.Behette@itg.com.

Updated Russell Reconstitution Report

Projected Name Movement By Sector as of 05/11/12

SectorAdd to Russell 1000Add to Russell 2000Russell 1000 to Russell 2000Russell 2000 to Russell 1000Remaining in Russell 1000Remaining in Russell 2000Leaving Russell 1000Leaving Russell 2000
Total518029409491,7972117
Consumer Discretionary1227415325318
Consumer Staples4251673
Energy12237311012
Financials54516178401110
Health Care311694249132
Industrials218613426416
Information Technology22910413730921
Materials52165813
Telecommunication Services315261
Utilities249371

 

Russell Projections as of 04/27/12

Every year, the Russell Reconstitution provides the investment community with surprises, opportunities and risks.  ITG’s index expert, Charles Behette, breaks down his analysis for the 2012 rebalance. If you would like to see the Russell 1000, 2000 and 3000 projections for adds/migrations and deletes please email Charles Behette at Charles.Behette@itg.com.

Updated Russell Reconstitution Report

Projected Name Movement By Sector as of 04/27/12

SectorAdd to Russell 1000Add to Russell 2000Russell 1000 to Russell 2000Russell 2000 to Russell 1000Remaining in Russell 1000Remaining in Russell 2000Leaving Russell 1000Leaving Russell 2000
Total316625379521,8172103
Consumer Discretionary1207315325615
Consumer Staples32151663
Energy11157310911
Financials50511178407110
Health Care26595252130
Industrials20613427011
Information Technology2278513931417
Materials42165813
Telecommunication Services315261
Utilities249362

 

Russell Projections as of 04/13/12

Every year, the Russell Reconstitution provides the investment community with surprises, opportunities and risks. ITG’s index expert, Charles Behette, breaks down his analysis for the 2012 rebalance.

Projected Name Movement By Sector as of 04/13/12

SectorAdd to Russell 1000Add to Russell 2000Russell 1000 to Russell 2000Russell 2000 to Russell 1000Remaining in Russell 1000Remaining in Russell 2000Leaving Russell 1000Leaving Russell 2000
Total315928289491,8332100
Consumer Discretionary1217315325813
Consumer Staples42151663
Energy933711139
Financials4749179410110
Health Care282293260127
Industrials1171513326913
Information Technology1257514031319
Materials4265823
Telecommunication Services315252
Utilities149371

 

2012 Russell Reconstitution Highlights and Observations

ITG’s index expert, Charles Behette, breaks down his analysis for the 2012 rebalance in this edition of The Blotter. Of note this year will be increased speculative activity as well as heightened turnover in the Financial Sector.

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