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

Sector
Add to Russell 1000
Add to Russell 2000
Russell 1000 to Russell 2000
Russell 2000 to Russell 1000
Remaining in Russell 1000
Remaining in Russell 2000
Leaving Russell 1000
Leaving Russell 2000
Total 7 189 30 40 944 1,786 2 122
Consumer Discretionary 1 22 7 4 153 254 1 15
Consumer Staples 5 2 2 51 65 3
Energy 12 3 3 70 109 1 14
Financials 1 58 3 16 181 403 8
Health Care 27 1 5 95 247 34
Industrials 1 21 5 132 264 17
Information Technology 3 33 11 4 134 303 24
Materials 1 6 2 1 65 79 4
Telecommunication Services 3 15 25 2
Utilities 2 1 48 37 1


 

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

Sector
Add to Russell 1000
Add to Russell 2000
Russell 1000 to Russell 2000
Russell 2000 to Russell 1000
Remaining in Russell 1000
Remaining in Russell 2000
Leaving Russell 1000
Leaving Russell 2000
Total 7 189 30 40 944 1,786 2 123
Consumer Discretionary 1 22 7 4 153 255 1 15
Consumer Staples 5 2 2 51 65 3
Energy 12 3 3 70 108 1 15
Financials 1 58 3 16 181 403 8
Health Care 27 1 5 95 247 34
Industrials 1 21 5 132 264 17
Information Technology 3 33 11 4 134 303 24
Materials 1 6 2 1 65 79 4
Telecommunication Services 3 15 25 2
Utilities 2 1 48 37 1

 

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

Sector
Add to Russell 1000
Add to Russell 2000
Russell 1000 to Russell 2000
Russell 2000 to Russell 1000
Remaining in Russell 1000
Remaining in Russell 2000
Leaving Russell 1000
Leaving Russell 2000
Total 6 188 31 39 944 1,792 2 120
Consumer Discretionary 1 23 7 4 154 256 14
Consumer Staples 5 2 2 51 65 3
Energy 1 11 3 3 70 109 1 14
Financials 57 4 14 180 404 9
Health Care 28 1 5 94 247 1 35
Industrials 1 22 6 132 263 17
Information Technology 3 32 11 4 135 305 23
Materials 5 2 1 65 81 2
Telecommunication Services 3 15 25 2
Utilities 2 1 48 37 1

 

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

Sector
Add to Russell 1000
Add to Russell 2000
Russell 1000 to Russell 2000
Russell 2000 to Russell 1000
Remaining in Russell 1000
Remaining in Russell 2000
Leaving Russell 1000
Leaving Russell 2000
Total 5 180 29 40 949 1,797 2 117
Consumer Discretionary 1 22 7 4 153 253 18
Consumer Staples 4 2 51 67 3
Energy 12 2 3 73 110 12
Financials 54 5 16 178 401 1 10
Health Care 31 1 6 94 249 1 32
Industrials 2 18 6 134 264 16
Information Technology 2 29 10 4 137 309 21
Materials 5 2 1 65 81 3
Telecommunication Services 3 15 26 1
Utilities 2 49 37 1

 

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

Sector
Add to Russell 1000
Add to Russell 2000
Russell 1000 to Russell 2000
Russell 2000 to Russell 1000
Remaining in Russell 1000
Remaining in Russell 2000
Leaving Russell 1000
Leaving Russell 2000
Total 3 166 25 37 952 1,817 2 103
Consumer Discretionary 1 20 7 3 153 256 15
Consumer Staples 3 2 1 51 66 3
Energy 11 1 5 73 109 11
Financials 50 5 11 178 407 1 10
Health Care 26 5 95 252 1 30
Industrials 20 6 134 270 11
Information Technology 2 27 8 5 139 314 17
Materials 4 2 1 65 81 3
Telecommunication Services 3 15 26 1
Utilities 2 49 36 2

 

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

Sector
Add to Russell 1000
Add to Russell 2000
Russell 1000 to Russell 2000
Russell 2000 to Russell 1000
Remaining in Russell 1000
Remaining in Russell 2000
Leaving Russell 1000
Leaving Russell 2000
Total 3 159 28 28 949 1,833 2 100
Consumer Discretionary 1 21 7 3 153 258 13
Consumer Staples 4 2 1 51 66 3
Energy 9 3 3 71 113 9
Financials 47 4 9 179 410 1 10
Health Care 28 2 2 93 260 1 27
Industrials 1 17 1 5 133 269 13
Information Technology 1 25 7 5 140 313 19
Materials 4 2 65 82 3
Telecommunication Services 3 15 25 2
Utilities 1 49 37 1

 

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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