Construction and Methodology

July 2024

Russell US Equity
Indexesv6.2

lseg.com/en/ftse-russell

Russell US Equity Indexes, v6.2, July 2024

Contents

Section 1 Introduction ......................................................................................................................................................... 3
Section 2 Management responsibilities .............................................................................................................................. 6
Section 3 FTSE Russell Index policies ............................................................................................................................... 7
Section 4 Basic methodology ............................................................................................................................................. 9
Section 5 Defining eligible securities ................................................................................................................................ 11
Section 6 Defining membership by size ............................................................................................................................ 15
Section 7 Float .................................................................................................................................................................. 20
Section 8 Determining style .............................................................................................................................................. 21
Section 9 Corporate action-driven changes...................................................................................................................... 26
Appendix A Index tickers and base values ....................................................................................................................... 29
Appendix B Country assignment methodology details ..................................................................................................... 33
Appendix C Sample client notification .............................................................................................................................. 36
Appendix D Predictive index data ..................................................................................................................................... 38
Appendix F Performance algorithms ................................................................................................................................ 39
Appendix G Reconstitution schedule ................................................................................................................................ 41

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Section 1

Introduction

1.

Introduction

1.1

Introduction

1.1.1

FTSE Russell provides float-adjusted, market capitalisation-weighted indexes for a precise picture of themarket. Today, $9.1 trillion in assets are benchmarked to the Russell US indexes1.

1.1.2

The Russell US Equity Indexes do not take account of ESG factors in the index design.

1.2

FTSE Russell
FTSE Russell is a trading name of FTSE International Limited, Frank Russell Company, FTSE Global Debt
Capital Markets Limited (and its subsidiaries FTSE Global Debt Capital Markets Inc. and FTSE Fixed
Income Europe Limited), FTSE Fixed Income LLC, FTSE (Beijing) Consulting Limited, Refinitiv Benchmark
Services (UK) Limited, Refinitiv Limited and Beyond Ratings.

1.2.1

FTSE Russell hereby notifies users of the index series that it is possible that circumstances, including
external events beyond the control of FTSE Russell, may necessitate changes to, or the cessation of, theindex series and therefore, any financial contracts or other financial instruments that reference the index
series or investment funds which use the index series to measure their performance should be able towithstand, or otherwise address the possibility of changes to, or cessation of, the index.

1.2.2

Index users who choose to follow this index series or to buy products that claim to follow this index series
should assess the merits of the index’s rules-based methodology and take independent investment advice
before investing their own or client funds. No liability whether as a result of negligence or otherwise isaccepted by FTSE Russell for any losses, damages, claims and expenses suffered by any person as aresult of:– any reliance on this methodology;– any inaccuracies in this methodology;– any non-application or misapplication of the policies or procedures described in this methodology;– any inaccuracies in the compilation of the index or any constituent data.

1.3

Available indexes
–
–
–
–
–
–
–

1

Capital and total return indexes.
Net total return indexes based on specified withholding tax rates.
Indexes calculated in currencies other than the base currency (USD).
Currency hedged indexes.
Capped indexes; for full details see the FTSE Russell Capping Methodology Guide.
Constituent size bands – large, mid, small and micro capitalisation indexes.
Sector indexes.

Data as of 31 December 2019 as reported on 1 April 2020 by eVestment for institutional assets, Morningstar for retail mutual funds, insurance products and ETFs, and additionalpassive assets directly collected by FTSE Russell.

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Additional customised variants can be calculated on request including indexes with industry, country andsector exclusions. Selected indexes are calculated and disseminated on a real-time basis.
1.3.1

All Russell US equity indexes are subsets of the Russell 3000E Index. A list of available tickers and index
values can be found in Appendix A.

1.3.2

Price, total, net and hedged data for the Russell US indexes is available in the following currencies.
Exchange rates used in the end-of-day calculations are WMR Closing Spot Rates™, collected at 16:00
London time.
Russell US TTM indexes are available using T+1 Telegraphic Transfer Middle Rate (TTM). The TTM rate is
only available after us close and is therefore applied on the next business day. TTM source: WMR FX
Benchmarks.

1.3.3

The base currency of the benchmark is US Dollars. Index values may also be published in other currencies.
AUD

CAD

CHF

EUR

GBP

JPY

USD

SGD

ZAR

Broad market US indexes

Large cap US indexes

Midcap US indexes

Russell 3000E Index

Russell 1000® Index

Russell Midcap® Index

Russell 3000E Value Index

Russell 1000® Value Index

Russell Midcap® Value Index

Russell 3000E Growth Index

Russell 1000® Growth Index

Russell Midcap® Growth Index

Russell 3000® Index

Russell 1000® Defensive Index®

Russell Midcap® Defensive Index®

Russell 3000® Value Index

Russell 1000® Dynamic Index®

Russell Midcap® Dynamic Index®

Russell 3000® Growth Index

Russell 1000® Growth-Defensive Index®

Russell Midcap® Growth-Defensive Index®

Russell 3000® Defensive Index®

Russell 1000® Growth-Dynamic Index®

Russell Midcap® Growth-Dynamic Index®

Russell 3000® Dynamic Index®

Russell 1000® Value-Defensive Index®

Russell Midcap® Value-Defensive Index®

Russell 3000® Growth-Defensive Index®

Russell 1000® Value-Dynamic Index®

Russell Midcap® Value-Dynamic Index®

Russell 3000® Growth-Dynamic Index®

Russell Top 200® Index

Russell 3000® Value-Defensive Index®

Russell Top 200® Value Index

Russell 3000® Value-Dynamic Index®

Russell Top 200® Growth Index
Russell Top 200® Defensive Index®
Russell Top 200® Dynamic Index®
Russell Top 200® Growth-Defensive
Index®
Russell Top 200® Growth-Dynamic Index®
Russell Top 200® Value-Defensive Index®
Russell Top 200® Value-Dynamic Index®
Russell Top 50® Mega Cap Index
Russell Top 500 Index
Russell Top 500 Growth Index
Russell Top 500 Value Index

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Small-mid US indexes

Small cap US indexes

Microcap US indexes®

Russell 2500 Index

Russell 2000 Index

Russell Microcap® Index

Russell 2500 Value Index

Russell 2000® Value Index

Russell Microcap® Value Index

Russell 2500 Growth Index

Russell 2000® Growth Index

Russell Microcap® Growth Index

Russell 2500 Defensive Index®

Russell 2000® Defensive Index®

Russell 2500 Dynamic Index®

Russell 2000® Dynamic Index®

Russell 2500 Growth-Defensive Index®

Russell 2000® Growth-Dynamic Index®

Russell 2500 Growth-Dynamic Index®

Russell 2000® Value-Defensive Index®

Russell 2500 Value-Defensive Index®

Russell 2000® Value-Dynamic Index®

Russell 2500 Value-Dynamic Index®

Russell 2000® Growth-Defensive Index®
Russell Small Cap Completeness® Index
Russell Small Cap Completeness® Value
Index
Russell Small Cap Completeness®
Growth Index

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Section 2

Management responsibilities

2.

Management responsibilities

2.1

FTSE International Limited (FTSE)

2.1.1

FTSE is the benchmark administrator of the index 2.

2.1.2

FTSE Russell is responsible for the daily calculation, production and operation of the index series and will:– maintain records of the index weightings of all constituents;– make changes to the constituents and their weightings in accordance with the methodology;– carry out the periodic index reviews of the index series and apply the changes resulting from the reviews
as required by the methodology;– publish changes to the constituent weightings resulting from their ongoing maintenance and theperiodic reviews; and– disseminate the indexes.

2.2

Amendments to the construction and methodology

2.2.1

This Construction and Methodology shall be subject to regular review (at least once a year) by FTSE
Russell to ensure that they continue to best reflect the aims of the index. Any proposals for significant
amendments to the construction and methodology will be subject to consultation with FTSE Russell advisorycommittees and other stakeholders if appropriate. The feedback from these consultations will be consideredby the FTSE Russell Index governance board before approval is granted.

2

The term administrator is used in this document in the same sense as it is defined in Regulation (EU) 2016/1011 of the European Parliament and of the Council of 8 June 2016 onindexes used as benchmarks in financial instruments and financial contracts or to measure the performance of investment funds (the European Benchmark Regulation) and The
Benchmarks (Amendment and Transitional Provision) (EU Exit) Regulations 2019 (the UK Benchmark Regulation).

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Section 3

FTSE Russell Index policies

3.

FTSE Russell Index policies
These Ground Rules should be read in conjunction with the following policy documents, which can beaccessed using the links below:

3.1

Queries, complaints and appeals

3.1.1

A constituent or prospective constituent company (or professional advisor acting on behalf of the company),a national organisation or a group of no fewer than 10 users of the Indexes from different organisations
acting in their professional capacity may appeal against decisions taken by FTSE Russell.
FTSE Russell’s complaints procedure can be accessed using the following link:
Benchmark_Determination_Complaints_Handling_Policy.pdf
FTSE Russell’s appeal process can be accessed using the following link:Appeals_Against_Decisions.pdf

3.2

Index policy for trading halts and market closures

3.2.1

Guidance for the treatment of index changes in the event of trading halts or market closures can be foundusing the following link:
Index_Policy_for_Trading_Halts_and_Market_Closures.pdf

3.3

Index policy in the event clients are unable to trade a market or a security

3.3.1

Details of FTSE Russell’s treatment can be accessed using the following link:
Index_Policy_in_the_Event_Clients_are_Unable_to_Trade_a_Market_or_a_Security.pdf

3.4

Recalculation policy and guidelines

3.4.1

Where an inaccuracy is identified, FTSE Russell will follow the steps set out in the FTSE Russell Index
Recalculation Guidelines when determining whether an index or index series should be recalculated and/or
associated data products reissued. Users of the Russell US Equity Indexes will be notified throughappropriate media.
For further information refer to the FTSE Russell Recalculation Policy and Guidelines document, which isavailable from the FTSE Russell website using the link below or by contacting info@ftserussell.com.
Equity_Index_Recalculation_Policy_and_Guidelines.pdf

3.5

Policy for benchmark methodology changes

3.5.1

Details of FTSE Russell’s policy for making benchmark methodology changes can be accessed using thefollowing link:
Policy_for_Benchmark_Methodology_Changes.pdf

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3.6

FTSE Russell governance framework

3.6.1

To oversee its indexes, FTSE Russell employs a governance framework that encompasses product, service
and technology governance. The framework incorporates the London Stock Exchange Group’s three lines ofdefence risk management framework and is designed to meet the requirements of the IOSCO Principles for
Financial Benchmarks3, the European benchmark regulation4 and the UK benchmark regulation5. The FTSE
Russell Governance Framework can be accessed using the following link:
FTSE_Russell_Governance_Framework.pdf

3.7

Real Time Status Definitions

3.7.1

For indexes which are calculated in real time, please refer to the following guide for details of real time
status definitions:
Real_Time_Status_Definitions.pdf

345

IOSCO Principles for Financial Benchmarks Final Report, FR07/13 July 2013.
Regulation (EU) 2016/1011 of the European Parliament and of the Council of 8 June 2016 on indexes used as benchmarks in financial instruments and financial contracts or tomeasure the performance of investment funds.
The Benchmarks (Amendment and Transitional Provision) (EU Exit) Regulations 2019.

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Section 4

Basic methodology

4.

Basic methodology

4.1.1

Russell indexes are objectively constructed and based on transparent rules. The broadest US index is theRussell 3000E Index, which contains the largest 4,000 US companies. Sub-indexes in the Russell 3000E
Index are broken out by market capitalisation and style.

4.1.2

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).

4.2

Annual reconstitution

4.2.1

Annual reconstitution is the process by which all Russell indexes are completely rebuilt. Reconstitution isa 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 stylecharacteristics. Reconstitution ensures that companies continue to be correctly represented in theappropriate Russell indexes.

4.2.2

On the rank day, all eligible securities are ranked by their total market capitalisation. The largest 4,000
become the Russell 3000E Index and the other Russell US indexes are determined from that set of
securities. If there are not 4,000 eligible securities in the US market, the entire eligible set is included.

4.2.3

Reconstitution occurs on the fourth Friday in June. A full calendar for reconstitution is published each spring,
although the guidelines that define the schedule are available in Appendix G.

4.3

Quarterly initial public offerings

4.3.1

Eligible initial public offerings (IPOs) are added to Russell indexes quarterly in accordance with the schedule
in section 6. FTSE Russell adds IPOs each quarter to ensure that new additions to the institutional investing
opportunity set are reflected in representative indexes. FTSE Russell focuses on IPOs each quarterbecause it is important to reflect market additions between reconstitution periods. Companies filing an initialpublic offering registration statement (or the local equivalent when outside the US) and listing within thesame quarter* on an eligible US exchange are reviewed for eligibility regardless of previous trading activity(exceptional or unique events may induce extraordinary treatment, which will be communicatedappropriately). Companies currently trading on foreign exchanges or OTC markets will be reviewed for
eligibility if:– the company files an IPO statement for an eligible US exchange; and– the offering is announced to the market and confirmed by our vendors as an IPO.
* A one-month window will be used to ensure that companies submitting the requisite filings just outside of
the quarter are not excluded from eligibility.
To ensure that the requisite number of shares are available to satisfy the inclusion criteria and to ensure an
accurate company weighting within the index calculation, FTSE Russell will distinguish between fully
guaranteed IPOs, variable/best effort IPOs and direct listing IPOs as follows:

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4.3.2

Fully guaranteed IPOs (i.e. underwritten)– The free float is assigned based on the post IPO shareholder structure contingent on this information
being publicly available and disclosed in the appropriate filings prior to the IPO rank date. Otherwise, thefree float will be based on the number of shares publicly offered at the time of the IPO.

4.3.3

Variable/best effort/direct listing IPOs
– Variable, best effort and direct listing IPOs will be considered for index inclusion at the next quarterly
review if, by the IPO cut-off date, a public disclosure* (which has been published post IPO) is available
confirming the IPO updated shareholder structure. Index inclusion remains subject to meeting all othereligibility criteria. If the post IPO shareholder structure has not been disclosed by the IPO cut-off date, theevaluation of the company will be deferred to the subsequent quarterly review. If no disclosure ispublished prior to the IPO cut-off date of the following quarter, the company will be evaluated at theAnnual Reconstitution only (and inclusion will remain contingent on the above disclosures)**.
**For illustration purposes:
For the December review, a variable, best effort or direct listing IPO, which listed in October of the same
year, will be required to disclose, post IPO, its updated shareholder structure by the December review
IPO cut-off (i.e. 31 October).
If there is no disclosure prior to this date, the company will not be eligible for inclusion at the December
review and will be reassessed at the next review in March.
If a published post IPO shareholder structure is not published prior to the March review IPO cut-off (i.e.
31 January), the company will no longer be considered as a potential IPO addition and will instead beevaluated during the annual reconstitution process only.
For the avoidance of doubt:– shares that are locked up during the IPO will be considered for inclusion within the free float of acompany only once the lock up has expired; and– green shoes (underwriter overallotment options) will only be considered for inclusion within the free floatof a company once the green shoe has been exercised and publicly confirmed (confirmation must be
available on or prior to the rank date).

4.3.4

SPAC IPOs– If an unlisted special purpose acquisition company (“SPAC”) acquires a target company, becomes aneligible company structure and files an IPO registration statement and lists, all in the same quarterly
window, then the company will be considered an IPO for the purposes of index inclusion.
– If an unlisted SPAC files an IPO registration statement and lists, acquires a target company andbecomes an eligible company structure, then files another registration statement, all in the samequarterly window, then the company will be considered an IPO.
If a listed SPAC (which listed prior to the current quarterly window) acquires a target company andsubsequently files another registration statement, the company will not be considered an IPO.

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Section 5

Defining eligible securities

5.

Defining eligible securities

5.1.1

Russell US indexes capture approximately 99% of the US equity market and 100% of the investable US
market. Below are the requirements for securities’ inclusion in the Russell US indexes.

5.2

Determining US companies

5.2.1

Historically, asset owners have diversified their risk by assigning assets to specific countries. Somecompanies incorporate in a specific country for tax reasons, while some companies choose better accessto capital. Therefore, to most closely track country risk, FTSE Russell uses objective criteria to assign
companies to the US equity market. All companies that are determined to be part of the US equity market
are included in the Russell US indexes.

5.3

Home-country indicators (HCIs)

5.3.1

If a company incorporates in, has a stated headquarters location in and also trades on a standard
exchange6 in the same country (ADRs and ADSs are not eligible), the company is assigned to its country ofincorporation. If any of the three criteria do not match, Russell then defines three home country indicators(HCIs). The HCIs are as follows:
1. country of incorporation;
2. country of headquarters; and3. country of the most liquid exchange as defined by two-year average daily Dollar trading volume (ADDTV)
from all exchanges within a country.

5.3.2

After the HCIs are defined, the next step in the country assignment involves an analysis of assets bylocation. FTSE Russell cross-compares the primary location of the company’s assets with the three HCIs. If
the primary location of assets matches ANY of the HCIs, then the company is assigned to its primary asset
location (see Appendix B for specifics on the definition of primary asset/revenue location).

5.3.3

If there is not enough information to determine a company’s primary location of assets, FTSE Russell uses
the primary location of the company’s revenue for the same cross-comparison and assigns the company tothe appropriate country in a similar fashion. FTSE Russell uses an average of two years of assets orrevenue data for analysis to reduce potential turnover.

5.3.4

If conclusive country details cannot be derived from assets or revenue, FTSE Russell assigns the company
to the country in which its headquarters are located unless the country is a benefit driven incorporation (BDI)
country (see Appendix B for a list of BDI countries). If the country in which its headquarters are located is a
BDI, the company is assigned to the country of its most liquid stock exchange.

6Standard exchanges are considered to be those listed in Appendix A ‘Eligible Exchanges and Market Segments’ of the FTSE Global Equity Index Series Ground Rules as well as
the Toronto Stock Exchange venture market.

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5.3.5

If a company is designated as a Chinese N share, it will not be considered for inclusion within the Russell
US Indexes. An N share is a company incorporated outside of mainland China that trades on the New York
Stock Exchange, the NASDAQ Exchange or the NYSE American. An N share will have a headquarters or
principle executive office or its establishment in mainland China, with the majority of its revenue or assets
derived from the PRC. Further information regarding the designation of N shares is available within
Appendix B.

5.4

Share descriptions

5.4.1

For a description of Chinese share classes please see the Guide to Chinese Share Classes document,
which can be accessed using the following link:
Guide_to_Chinese_Share_Classes.pdf

5.4.2

The definitions these share classes are reviewed annually in September.

5.5

Steps to determining US country assignment
STEP 1Is the company incorporated in, traded in andheadquartered in one unique country?

YES – classified in the uniquecountry

NO – move to Step 2

STEP 2

Are the company’s reported assets primarily
located in one of the HCIs?

YES – classified in the country ofprimary assets

NO – move to Step 3

STEP 3

Are the company’s reported revenues primarily
derived from one of the HCIs?

YES – classified in the country ofprimary revenue

NO – move to Step 4

STEP 4Is the company headquartered in a non-BDI
country?

YES – classified in the country ofheadquarters

NO – assigned to primaryexchange country

Note: if the company does not trade on a major US exchange, it is not eligible.

Example 1: XYZ company
HCIs:

Incorporation: US
Headquarters: China
Trading locations: US UK Hong Kong (most liquid exchange: US)

Asset location: 100% in Canada
STEP 1Is the company incorporated in, traded in andheadquartered in one unique country?

NO – move to Step 2

STEP 2

Are the company’s reported assets primarily
located in the one of the HCIs?

NO – Canada
move to Step 3

STEP 3

Are the company’s reported revenues primarily
located in one of the HCIs?

NO – no data
Move to Step 4

STEP 4Is the company headquartered in a non-BDI
country?

YES – China

CLASSIFICATION: China

Example 2: ABC company
HCIs:

Incorporation: Ireland
Headquarters: Ireland
Trading locations: US, Ireland, Germany (most liquid exchange: US)

Asset location: 85% in US
STEP 1FTSE Russell

Is the company incorporated in, traded in andheadquartered in one unique country?

YES – Ireland

Assigned to Ireland

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5.6

Trading requirements

5.6.1

All securities eligible for inclusion in Russell US indexes must trade on an eligible US exchange. Bulletinboard, 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.

5.7

Exchange and segment requirements

5.7.1

In construction of its equity indexes, FTSE Russell reviews each exchange considering closing mechanism,
availability of real-time prices, regulatory requirements for each exchange segment, settlement, trading rules
and recognition of the exchange by the governing regulatory body. Following review of US exchanges, thefollowing markets are deemed eligible. There is no minimum number of securities required for the Russell
US indexes.
Eligible US exchanges: CBOE, NYSE, NYSE American, NASDAQ, ARCA.

5.8

Minimum closing price

5.8.1

A stock must have a close price at or above $1.00 (on its primary exchange) on rank day to be considered
eligible for inclusion. In order to reduce unnecessary turnover, if an existing index member’s closing price isless than $1.00 on rank day, it will be considered eligible if the average of the daily closing prices (from its
primary exchange) during the 30 days prior to the rank date is equal to or greater than $1.00. If an existing
index member does not trade on the rank day, it must price at $1.00 or above on another eligible US
exchange to remain eligible. A stock added during the quarterly IPOs process is considered a new index
addition and therefore must have a close price on its primary exchange at or above $1.00 on the last day of
the IPO eligibility period in order to qualify for index inclusion.

5.9

Minimum total market capitalisation

5.9.1

Companies with a total market capitalisation less than $30 million are not eligible for inclusion in Russell
US indexes.

5.10

Minimum available shares/float requirement

5.10.1Companies with only a small portion of their shares available in the free float as defined by FTSE Russell
are not eligible for the Russell indexes. Companies with less than an absolute 5% of shares available will be
removed from eligibility. (4.9999% or less of shares available is considered ineligible for all tests in Section
5). See Section 7: Adjustments to Members’ Shares Outstanding (Float) for details on calculations ofavailable shares.

5.11

Company structure

5.11.1Companies structured in the following ways are excluded from inclusion in Russell indexes: royalty trusts,
US limited liability companies, closed-end investment companies (as a point of clarification: companies thatare required to report acquired fund fees and expenses as defined by the SEC, including businessdevelopment companies, are not eligible for inclusion), blank-cheque companies, special-purpose
acquisition companies (SPACs), and limited partnerships. Exchange traded funds (ETFs) and mutual funds
are also excluded.

5.12

UBTI screening

5.12.1Companies that produce unrelated business taxable income (UBTI) are restricted from ownership for taxexempt investors. In recognition of this, FTSE Russell screens all REITs and publicly traded partnerships(PTPs), removing any security from eligibility that generates or has historically generated UBTI and has nottaken steps to block UBTI to equity holders. The research process is conducted as part of FTSE Russell’sannual 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.

5.12.2For 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 realised by the holder of the parent entity and would not require removalof the parent company from eligibility.

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5.12.3

If a company restructures to block UBTI, they will remain eligible for index inclusion. Acceptable forms ofrestructure are as follows:
1. formal creation of a shell entity or offshore vehicle ensuring that any dividend payment is void of
UBTI; and
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 company’s past investment strategy has changed
and the intent is to remove the exposure of UBTI to the end holder.

5.13

Shares excluded

5.13.1

The following share types are not eligible for inclusion: preferred and convertible preferred stock,redeemable shares, participating preferred stock, warrants, rights, depositary receipts, installment receipts
and trust receipts.

5.14

Deadline for inclusion

5.14.1

Stocks must be listed on the rank day and FTSE Russell must have access to documentation on that date
supporting the company’s eligibility for index inclusion. This includes corporate description, verification ofincorporation, number of shares outstanding and other information needed to determine eligibility. IPOs will
be considered for index inclusion on a quarterly basis.
The Rank Day occurs on the last business day of April with membership eligibility determined using public
information available on the Rank Day and market capitalizations calculated at market close.

5.15

Minimum voting rights

5.15.1Companies assigned a developed market nationality are required to have 5% or greater of the company’s
voting rights (aggregated across all of its equity securities, including, where identifiable, those that are notlisted or trading) in the hands of unrestricted shareholders or they will be deemed ineligible for index
inclusion. Shares referenced as non-voting or provide legally minimum rights only will be viewed as having
no voting power as it relates to the minimum voting rights review. Emerging market securities are not subject
to this requirement.

5.15.2

Existing constituents with a developed market nationality who did not meet the above requirement had afive-year grandfathering period to comply. Constituents that continued to fail the minimum voting rights
requirement, were removed from Russell US indexes at the June 2023 reconstitution.

5.15.3The percentage of a company’s voting rights in public hands is calculated as:
The number of votes in the hands of shareholders that are unrestricted as determinedby the application of FTSE Russell free float definitions
The total number of votes conferred by the shares oustanding of all the company ′ svoting securities including those that have not been admitted to trading on a regulated venue
For example, company A has 100m listed class A shares each conferring one vote, free float is 65%. It also
has 300m unlisted class B shares each conferring 10 votes.
The test to assess whether the listed class A line has the required 5% or greater of the company’s voting
rights is as follows (5.0000% or greater of the company’s voting rights in public hands will be considered
eligible):
65m (i. e. 100m Class A voting rights ∗ 65% float)
3.1bn (i. e. 100m Class A + 3bn Class B= 2.097% of the company ′ s voting rights in public hands

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Section 6

Defining membership by size
Market capitalisation

6.

Defining membership by size

6.1.1

FTSE Russell calculates the total market capitalisation of each security to determine whether it is large
enough for inclusion in one or more of the Russell indexes. Total market capitalisation is determined bymultiplying total outstanding shares by the market price as of the rank day for those securities being
considered at annual reconstitution.

6.2

Determining total shares outstanding

6.2.1

Common stock, non-restricted exchangeable shares and partnership units/membership interests (in certain
cases – see below) are used to calculate a company’s total market capitalisation. Exchangeable shares areshares that may be exchanged at any time, at the holder’s option, on a one-for-one basis for common stock.
Membership or partnership units/interests represent an economic interest in a limited liability company orlimited partnership. FTSE Russell includes membership or partnership units/interests as part of total market
capitalisation when the company in question is merely a holding company of an underlying entity that issues
membership or partnership units/interests and when these membership units are the company’s sole asset.
This is not to be confused with operating partnership units that are issued in conjunction with UPREITs. In
these cases, total market capitalization will be calculated based on 100% of the value of all membershipinterests.

6.2.2

Any other form of shares – such as preferred or convertible preferred stock, redeemable shares,
participating preferred stock, warrants, rights, instalment receipts or trust receipts – are excluded from thecalculation. If multiple share classes of common stock exist, they are combined to determine total shares
outstanding. In cases where the common stock share classes act independently of each other (e.g. tracking
stocks), each class is considered for inclusion separately.

6.2.3

Stapled units and other paired share structures are considered eligible for index inclusion, unless anunderlying component of the stock is an ineligible security type (e.g. convertible debt).

6.3

Determining price

6.3.1

During annual reconstitution, the last price traded on the primary exchange on the rank day is used todetermine market capitalisation.

6.4

Corporate actions impacting reconstitution ranking

6.4.1

For merger and spin-off transactions that are effective between rank day and the business day immediately
before the index lock down takes effect ahead of the annual reconstitution in June, the market
capitalisations of the impacted securities are recalculated and membership is reevaluated as of the effective
date of the corporate action. For corporate events that occur during the reconstitution lock down period(which take effect from the open on the first day of the lock-down period onwards), market capitalisations
and memberships will not be reevaluated. Non-index members that have been considered ineligible as ofrank day will not be reevaluated in the event of a subsequent corporate action that occurs between rank day
and the reconstitution effective date.

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6.5

Reconstitution

6.5.1

If an eligible company trades under multiple share classes, FTSE Russell will review each share classindependently for US index inclusion. Share classes in addition to the primary share class (pricing vehicle)
that meet the following minimum size, liquidity and float requirements will also be eligible:– size: must have a total market cap larger than $30 million;– liquidity: average daily Dollar trading value (ADDTV) must exceed that of the global median, which isdetermined each reconstitution rank day by ranking all securities in investable countries by ADDTV. As of
the reconstitution 2024 rank date, the global median ADDTV was USD 125,000; and– float: must have 5% or greater of shares available in the free float as defined by FTSE Russell (5.000%
or greater shares available to be considered eligible).

6.5.2

For reconstitution ranking purposes, all share classes for a company, including unlisted shares will beaggregated and considered total shares outstanding. Total shares are multiplied by the primary exchange
close price of the pricing vehicle and used to determine the company’s total market capitalisation for the
purpose of ranking of companies and determination of index membership. If no volume exists on the primaryexchange on the rank day, the last trade price from an eligible secondary exchange will be used wherevolume exists (using the lowest last trade price above $1 if multiple secondary markets exist). Rank will be
determined based on cumulative market capitalisation. As of reconstitution 2016, share classes not
qualifying for eligibility independently will not be aggregated with the pricing vehicle within the available
shares calculation.

6.5.3

For companies with multiple share classes, the pricing vehicle will be designated as the share class with thehighest two-year trading volume as of the rank day. 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 isless 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 equivalentbasis (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 beaggregated with the primary share class rather than considered for membership separately.

6.5.4

Growth, value, defensive and dynamic probabilities will be based on that of the pricing vehicle and assigned
consistently across all additional share classes.

6.6

Corporate actions

6.6.1

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 capitalisation of the distributed shares meets minimum
size requirement (above the minimum market capitalisation breakpoint defined as the smallest member ofthe Russell 3000E Index from previous rebalance, adjusted for performance to date.) Index membership ofadditional 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).

6.7

IPOs

6.7.1

Between annual reconstitution periods, FTSE Russell will review for index inclusion any share class inaddition to that of the pricing vehicle that is made available via IPO as per the quarterly IPO inclusion
methodology described in section 4. 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;

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– liquidity: ADDTV 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 the reconstitution 2024 rank date,
the global median ADDTV was USD 125,000; and– float: must have 5% or greater of shares available in the free float as defined by FTSE Russell. (5.000%
or greater of shares available to be considered eligible)
6.7.2

Additional share classes introduced via IPO that do not meet eligibility requirements will not be added to theindex and subsequently reviewed for index membership during the next annual reconstitution.

6.8

Initial public offerings (IPOs)

6.8.1

IPOs are added to Russell indexes based on total market capitalisation ranking within the market-adjusted
capitalisation breaks established during the most recent reconstitution. Country assignment determination
is made using data provided in prospectuses or other filings. Market adjustments to the capitalisation
breaks are made using the returns of the broad market Russell 3000E Index. Eligible IPOs will be added
to Russell’s growth/value indexes using their industry’s average style probability established at the latest
reconstitution. All IPOs entering the index outside of annual reconstitution are assigned as 100%
dynamic within the Russell Stability Indexes. IPOs entering the index during annual reconstitution are
reviewed for Russell Stability Index assignment and probabilities are calculated using the methodology
described in section 8.

6.9

Russell U.S. Indexes timing of IPO additions

6.9.1

The IPO rank date is the last business day of the first month of each quarter (January, April, July, October,
respectively). Accordingly, IPOs which price/trade between rank day + 1 of the previous cycle and rank dayof the current cycle will be considered for inclusion as part of the quarterly review. Quarterly IPO additionsin March, September, and December will be announced on the Friday four weeks prior to implementation,with additions becoming effective after the close of the third Friday of the review month. IPO additions inJune will be implemented in conjunction with the annual reconstitution which will become effective on the
fourth Friday in June, with changes announced five weeks prior to implementation.
Note: once IPO additions have been announced, an IPO may be added to the index prior to the previously
announced schedule. If a corporate action has deemed this to be appropriate and notice can be provided(e.g. an index member automatically receives shares via a stock distribution into a projected IPO add).
In order to be added during a quarter outside of reconstitution, an IPO must meet all Russell US Index
eligibility requirements. Additionally, the IPO must meet the following criteria on the rank day for thequarterly additions: (1) it is priced and traded; and (2) it ranks larger in total market capitalisation than themarket-adjusted smallest company in the Russell 3000E Index as of the latest June reconstitution. See
Appendix F for calculations.

6.10

Determining index membership6.10.1Once the market capitalisation for each security is determined by use of total shares and price (as describedabove), each security is placed in the appropriate Russell market capitalisation-based index. The largest
4,000 securities become members of the Russell 3000E Index. If eligible securities total less than 4,000, theRussell 3000E and Russell Microcap Index will include all eligible securities. The other index capitalisation
breaks remain unchanged. All remaining indexes are a subset of this index. A market capitalisation
breakpoint is determined by the break between the companies below.

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Index

Companies included(based on descending total market capitalisation)

Russell 3000E Index

Companies #1-4,000 or 100% of the eligible securities

Russell 3000 Index

Companies #1-3,000

Russell Top 50 Mega Cap Index

Companies #1-50

Russell Top 200 Index

Companies #1-200

Russell Top 500 Index

Companies # 1-500

Russell 1000 Index

Companies #1-1,000

Russell Midcap Index

Companies #201-1,000

Russell 2000 Index

Companies #1,001-3,000

Russell 2500 Index

Companies #501-3,000

Russell Microcap Index

Companies #2,001-4,000

Russell Top Indexes

Top 10, 20, and 100 companies

6.10.2After the initial market capitalisation breakpoints are determined by the ranges listed above, new members
are assigned based on the breakpoints and existing members are reviewed to determine if they fall within acumulative 5% market cap range around these new market capitalisation breakpoints. If an existing
member’s market cap falls within this cumulative 5% of the market capitalisation breakpoint, it will remain in
its current index rather than be moved to a different market capitalisation-based Russell index. Companies
that fall on the edge of market capitalisation breakpoints are often still within a manager’s opportunity set,since they have not significantly grown or declined in market capitalisation.

6.10.3

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) and no percentile banding for the Top 50 Mega Cap (banding is applied
to the top 200 (5%) and the top 500 (5%)). In addition, due to the small market cap percentage, the Russell
Microcap Index will be banded at 1% around stock 2,000. There will be no percentile banding for the Russell
Top Indexes.

6.11

Steps in calculating percentile ranges of the new index
1. Sort the Russell 3000E Index members in descending order by total market capitalisation.
2. Calculate the total market capitalisation of the Russell 3000E Index by summing all members’ total
market capitalisations.
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.
ExampleAssume the market capitalisation 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 $2 billion areslated to be moved to the Russell 2000, while current members of the Russell 2000 that are larger than $2
billion are slated to be moved to the Russell 1000. However, since they are current members, they arefurther assessed for the magnitude of their differences from the market capitalisation breakpoint.
Illustration
1. Sort the new Russell 3000E Index members by descending market capitalisation (see below).
2. Calculate the total market capitalisation of the Russell 3000E Index. Assume for illustration purposesthat the index = $182,500 ($M). (Note: total market cap has been dramatically reduced for simpler
illustration.)

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3. Calculate percentiles for each company (see below).
4. Calculate a five-percentile range around the $2 billion market cap percentile (89.99 for this illustration):a. 89.99 - 2.5 = 87.49
b. 89.99 + 2.5 = 92.49
Range = 87.49% - 92.49%
Rank

Company

Current R1
memberCurrent R2
memberCompany
Market cap ($M)

Cumulative
market cap

Cumulative
percentile

New index
membership995

XYZ company

YN$2,115$154,000

84.38%

R1

996

ABC company

NY$2,105$156,10585.54%

R1

997

Drugstore Inc.

Y

N

$2,100$158,205

86.69%R1

998

PYK ShippingNY$2,011$160,216

87.79%R2

999

Z Technology

NY$2,010$162,226

88.89%

R2

1,000

RE Trust

NY$2,000$164,226

89.99%

R2

1,001

Foods Inc.

YN

$1,995$166,22191.08%

R1

1,002

PETs and moreNY

$1,950$168,17192.15%

R2

1,003

RYT Inc.

YN$1,923$170,094

93.20%

R2

Therefore, the market capitalisation 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 capitalisation has not changed significantly
enough to require a membership move out of the Russell 1000 (although it is smaller than $2 billion). These
companies remain in their current indexes.

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Section 7

Float
Adjustments to member’s shares outstanding

7.

Float

7.1.1

After membership is determined, a security’s shares are adjusted to include only those shares available tothe public. This is often referred to as “free float.” The purpose of this adjustment is to exclude from market
calculations the capitalisation that is not available for purchase and is not part of the investable opportunity
set. Stocks in the Russell US indexes are weighted by their available (also called float-adjusted) market
capitalisation, which is calculated by multiplying the primary closing price by the available shares.
Adjustments to shares are reviewed at reconstitution, during quarterly update cycles and for corporate
actions such as mergers.
Total shares and adjustments for available shares are based on information recorded in SEC corporate
filings. FTSE Russell primarily uses 10-K, 20-F, 40-F, 10-Q, DEF-14 and 424 filings to determine the total
share figure. 8-K filings may be used to confirm research disclosed in a primary filing. FTSE Russell uses a
company’s most recent beneficial ownership table to determine index free float. That table is normally foundwithin DEF14, 10-K, 20-F, and 40-F fillings. Any updates to the most recent beneficial ownership table will
be considered if disclosed within a subsequent 424 filing. Please note that in the absence of a beneficial
ownership table FTSE Russell will evaluate on a case-by-case basis and utilise additional publicly available
information to determine a company’s free float.
Full details of the free float adjustments applied to the Russell US Indexes can be found within thefollowing guidelines:
Free_Float_Restrictions.pdf

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Section 8

Determining style

8.

Determining style

8.1.1

FTSE Russell uses a “non-linear probability” method to assign stocks to the growth and value style valuationindexes, and to assign stocks to the defensive and dynamic Russell Stability Indexes®.

8.2

Russell growth and value indexes

8.2.1

FTSE Russell uses three variables in the determination of growth and value. For value, book-to-price (B/P)
ratio is used, while for growth, two variables—I/B/E/S forecast medium-term growth (two-year) and sales per
share historical growth (five year) are used.

8.2.2

The term “probability” is used to indicate the degree of certainty that a stock is value or growth, based on its
relative book-to-price (B/P) ratio, I/B/E/S forecast medium-term growth (two year) and sales per sharehistorical growth (five year). This method allows stocks to be represented as having both growth and value
characteristics, while preserving the additive nature of the indexes.

8.2.3

The process for assigning growth and value weights is applied separately to the stocks in the Russell 1000
and Russell 2000 and to the smallest 1,000 stocks in the Russell Microcap Index Research indicates that on
average, valuations of small stocks differ from those of large stocks. Treating the Russell 1000, Russell
2000 and smallest Russell Microcap stocks separately prevents the possible distortion to relative valuations
that may occur if the Russell 3000E is used as the base index.

8.2.4

For each base index (the Russell 1000 and Russell 2000, and the smallest 1,000 in Russell Microcap),
stocks are ranked by their book-to-price ratio (B/P), their I/B/E/S forecast medium-term growth (two year)
and sales per share historical growth (five year). These rankings are converted to standardised units, wherethe value variable represents 50% of the score and the two growth variables represent the remaining 50%.
They are then combined to produce a composite value score (CVS). Stocks are then ranked by their CVS
and a probability algorithm is applied to the CVS distribution to assign growth and value weights to eachstock. In general, a stock with a lower CVS is considered growth, a stock with a higher CVS is consideredvalue 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 ina 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.

8.3

Russell defensive and dynamic indexes

8.3.1

The Russell Stability Indexes add a Third Dimension of Style™ to the Russell Style Indexes7. Stability ismeasured in terms of volatility (price and earnings), leverage and return on assets. Stability indexes are
created in a similar fashion as the growth and value indexes in that they involve splitting an existing
applicable Russell index in half based on the combination of the stability indicators. The more stablehalf of the split is called “defensive,” and the less stable half is called “dynamic.”

7

To clarify, the June 2020 rebalance was applied using the legacy RGS style substitution. New ICB became the official sector scheme for the index from September 2020. New
additions/IPOs used the new ICB average for missing variables following the June 2020 review (September 2020 quarterly). The first rebalance that was implement fully using the
new ICB scheme was the June 2021 annual reconstitution.

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8.3.2

The Russell Defensive Indexes® measure the performance of companies that have relatively stablebusiness conditions which are less sensitive to economic cycles, credit cycles and market volatility based on
their stability indicators. The Russell Dynamic Indexes® measure the performance of companies that haverelatively less stable business conditions and are more sensitive to those market cycles.

8.3.3

For each base index (Russell 1000 and Russell 2000), there are five specific fundamentals used todetermine the probability of being defensive or dynamic: debt/equity, return on assets (ROA), earnings
variability and total return volatility (52 week and 60 month). Among other things, a company has risks
related to balance sheet leverage, economic cycles and industry/product cycles, and weaknesses in its
business model. FTSE Russell uses debt/equity ratios as a proxy for risks related to balance sheet
leverage. Earnings variability is used as a proxy for risks related to economic cycles and industry/productcycles. Return on assets (ROA) is used as a proxy for risks related to the strength of a company’s businessmodel. The final component used as an indicator of a company’s risk is the volatility of its stock’s returns.
Total return volatility reflects aspects of a company’s stability or risk not captured by the other three inputs to
a company’s stability probability. Stability index assignment for non-pricing vehicle share classes will bebased on that of the pricing vehicle and assigned consistently across all additional share classes.

8.3.4

Using the non-linear style algorithm, companies with high stability probabilities are included in the Russell
Defensive Indexes. Companies with low stability probabilities are included in the Russell Dynamic Indexes.

8.3.5

FTSE Russell has assigned the label “quality” to the score, resulting from an equal weight of the threeaccounting-based indicators (earnings variability, debt/equity ratios and ROA). Together, these three
indicators comprise 50% of the stability probability. The “volatility” score makes up the other half of thestability probability and is based on an equal weight of the past 52 weeks of the stock price’s weekly
volatility and the past 60 months of the stock price’s monthly volatility. The volatility and quality variables aregathered annually (as of rank).

8.3.6

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
assetsweight: 33%

52-week
total return
volatility
weight: 50%

60-month
total return
volatility
weight: 50%

Scoring

Scoring

Scoring

Scoring

Scoring

Total return
volatility scoreweight: 50%

Quality scoreweight: 50%

Stability
probability(0-1)

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8.4

Quality score (comprises 50% of the overall stability probability)

8.4.1

There are three stability indicators that comprise the quality score – debt/equity, pre-tax ROA and earnings
variability. Each indicator comprises one third of the quality score.

8.4.2

Debt/equity: the debt/equity ratio is based on the most recent quarterly SEC filing.

8.4.3

Pre-Tax ROA: the pre-tax ROA is based on the last year’s pre-tax income divided by the average of theassets for the previous year ((current assets + same quarter one year prior)/2).

8.4.4

Earnings variability: the earnings variability computation uses quarterly EPS for the previous five years. It
is based on the standard error of the linear earnings-per-share (EPS) trend regression. The rationale forusing the standard error is that if there is a trend in the EPS over time, then the trend itself should notcontribute to EPS variability. The standard error is then dividend by the median EPS (of the 20
observations). This scaling normalises the information to make each company directly comparable to othercompanies regardless of the relative level of EPS.

8.4.5

Negative (or zero) EPS numbers are included in the standard error calculation; however, a negative or zero
median EPS value will not be used to calculate EPS variability. Rather, EPS variability is excluded in theanalysis and set to zero/dynamic. Assigning this value is equivalent to characterising the company has
having very high earnings variability.

8.4.6

If there are less than 20 observations for EPS (or standard error is equal to zero), it is considered NULL andstandard error will not be calculated (see missing variables below).

8.5

Volatility score (comprises 50% of the overall stability probability)

8.5.1

Total return volatility (standard deviation) is measured over two horizons: over the previous year and overthe previous five years. Each indicator represents one half of the volatility score.

8.5.2

52-week price volatility (one year): the one year-volatility is the standard deviation based on the 52
weekly returns that end on the last Friday prior to rank.

8.5.3

60-month price volatility (five year): trailing five-year volatility is the standard deviation based on monthly
returns. Thus, for a score based on 30 April, 2023 data, the five-year volatility is based on the 60 monthly
returns for the period that starts on 30 April, 2018 and ends on 30 April, 2023.

8.6

Description of non-linear probability algorithm

8.6.1

Stock A, in figure 1, is a security with 20% of its available shares assigned to the value index and theremaining 80% assigned to the growth index. The growth and value (or defensive and dynamic) probabilities
will always sum to 100%. Hence, the sum of a stock’s market capitalisation in the growth and value index
will always equal its market capitalization in the Russell 1000 Index, Russell 2000 Index, or Russell
Microcap Index.

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In figure 1, the quartile breaks are calculated such that approximately 25% of the available market
capitalisation 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.
8.7

5% rule8.7.1

Roughly 70% of the available market capitalisation is classified as all-growth or all-value (or all-defensiveor 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 capitalisation between the first quartileand the third quartile is 50%, we would expect that 50% of the capitalisation 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 stock’s 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.

8.8

Banding rule

8.8.1

In an effort to mitigate unnecessary turnover, FTSE Russell implements a banding methodology at thecomposite value score (CVS) level of the growth and value style algorithm. If a company’s CVS change fromthe 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 toreduce turnover caused by smaller, less meaningful movements while continuing to allow the larger, moremeaningful changes to occur, signalling a true change in a company’s relation to the market.

8.9

Market capitalisation of growth/value and defensive/dynamic indexes

8.9.1

The market capitalisation of the growth and value style indexes, as well as that of the defensive anddynamic stability indexes, may not each equal 50% of their base index. At first glance, this seems
counterintuitive, since the methodology uses capitalisation-weighted medians and quartiles, which in turnimplies that 50% of the capitalisation is above and 50% is below the median. However, asymmetry in thecapitalisation distributions within the second and third quartiles results in a skewed distribution of CVS.
When CVS is normally distributed, 50% will be in each index.

8.10

Missing values, negative values or low coverage

8.10.1For valuation styles (growth and value), stocks with missing or negative values for B/P, or missing values for
I/B/E/S growth (negative IBES medium-term growth is valid), or missing sales per share historical growth(five year) (six years of quarterly numbers are required), are allocated by using the mean value score of thebase index (Russell 1000, Russell 2000, Russell Microcap) (ICB) subsector, sector, supersector or industry
group into which the company falls. Each missing (or negative B/P) variable is substituted with thesubsector, sector, supersector or industry group independently. An industry must have five members or thesubstitution reverts to the subsector, and so forth to the sector. This method was found to produce thefewest distortions and it has the added advantage of being very simple. In addition, a weighted value scoreis calculated for securities with low analyst coverage for I/B/E/S medium-term growth. For securities withcoverage by a single analyst, 2/3 of the Subsector, Sector, Supersector or Industry group value score isweighted with 1/3 the security’s independent value score. For those securities with coverage by two
analysts, 2/3 of the independent security’s value score is used and only 1/3 of the Subsector, Sector,
Supersector or Industry group is weighted. For those securities with at least three analysts contributing to
the I/B/E/S medium-term growth, 100% of the independent security’s value score is used.

8.10.2For stability indexes (defensive and dynamic), if the quality or volatility indicator is not available, thecompany receives a stability score for that indicator of 0.25. Since zero is the worst possible score and one

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is the best, this conservative assumption mandates that missing data will result in a lower-than-averagestability probability.
Russell non-linear probability algorithm

XL – Lower breakpoint
XM – Median
XU – Upper breakpoint

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Section 9

Corporate action-driven changes

9.

Timing and treatment of corporate actions

9.1.1

FTSE Russell applies corporate actions to its indexes daily, both to reflect the evolution of securities and toensure that the indexes remain highly representative of the US equity market. A company’s index
membership and its weight in the index can be impacted by these corporate actions. FTSE Russell uses avariety of reliable public sources to determine when an action is final, including a company’s press releases
and regulatory filings, local exchange notifications and official updates from other data providers FTSE
Russell deems trustworthy. Prior to the completion of a corporate action, FTSE Russell estimates theeffective date based on the same above sources. As new information becomes available, FTSE Russell
may revise the anticipated effective date and the terms of the corporate action, before ultimately confirming
its effective date.

9.1.2

Depending upon the time an action is determined to be final, FTSE Russell either (1) applies the action
before the open on the ex-date or (2) applies the action providing appropriate notice, referred to as a“delayed action” (see specific action types for details on timing and procedure). The timing of when
corporate actions are applied is critical for accurate market representation and it impacts tracking for
passive managers. FTSE Russell believes this methodology strikes the best balance between the two. The
impact of the action and the effective date will be communicated to clients on a regular schedule, via thedaily cumulative change files and the corporate action calendar. For a schedule and sample of notifications,
see Appendix C.

9.1.3

For the purposes of index calculation, FTSE Russell generally applies the most recently available market
prices to the index for corporate action adjustments. FTSE Russell will only use exchange provided
estimates and price adjustments in the absence of market prices and if the exchange provided estimate
is deemed to be appropriate.

9.1.4

If FTSE Russell has confirmed the completion of a corporate action, scheduled to become effective
subsequent to a rebalance; the event may be implemented in conjunction with the rebalance to limit
turnover, providing appropriate notice can be given. Example: company ABC is scheduled to be addedor continue as an existing member at rebalance. A tender offer is confirmed to be completed two days
following the rebalance effective date. FTSE Russell will provide appropriate notice of this index change
per our normal procedures and will remove company ABC at the rebalance effective date.

9.2“No replacement” rule

9.2.1

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 tocorporate activity.
Full details of changes to constituent companies due to corporate actions can be accessed in the Corporate
Actions and Events Guide using the following link:
Corporate_Actions_and_Events_Guide.pdf

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9.3

Changes to shares outstanding and free float

9.3.1

To maintain representativeness and maximise the available investment opportunity for index managers, theRussell US Indexes will be reviewed quarterly for updates to shares outstanding and to free floats usedwithin the index calculation. The changes will be implemented quarterly, on the third Friday of the month(after the close) in March, September, and December. The June reconstitution will continue to be
implemented on the last Friday of June (unless the last Friday occurs on the 29th or 30th, whenreconstitution will occur on the Friday prior).

9.3.2

In June the shares and free float updates will be implemented regardless of size (i.e. buffers will not beapplied). The June updates will be implemented using data sourced primarily from company filings for all
constituents, where appropriate.

9.3.3

In March, September and December, shares outstanding and free float will be updated to reflect thefollowing:– changes greater than 1% for cumulative shares in issue changes;– changes greater than three percentage points for cumulative free float changes*.
*A constituent with a free float of 15% or below will not be subject to the three percentage points threshold
and will instead be updated if the change is greater than one percentage point. For example, Company B
with a free float of 8% would trigger a change if its free float moved to above 9% or below 7%.

9.3.4

The March, September and December updates will be triggered by vendor changes and confirmed
appropriately, as of the cut-off for new information that occurs on the last business of the month in January,
July and October respectively.

9.3.5

Outside of the quarterly update cycle, shares and free float will be updated with at least two days’ notice if
occasioned by primary or secondary offerings IF:– there is a USD one billion investable market cap change related to a primary/secondary offering
measured by multiplying the change to index shares by the subscription price;OR– there is a resultant 5% change in index shares related to a primary or secondary offerings AND a USD
250 million investable market cap change measured by multiplying the change to index shares by thesubscription price.
The pricing date will serve as the trigger for implementation within the FTSE Russell US indexes, i.e. once
FTSE Russell is aware that an offering has priced (confirmed via an appropriate publicly disclosed
announcement or filing), the update will be implemented with two days’ notice from market close (contingent
on the thresholds described above being triggered).

9.3.6

If discovery of the pricing date occurs more than two days after the pricing date, the update will be deferred
until the next quarterly review.

9.3.7

Free float and share changes resulting from corporate events will not be subject to the buffers as detailed
above and will be implemented in line with the event Corporate Actions and Events Guide.

9.3.8

For primary offerings: there will be no change to the free float with any potential updates being deferred to
the next quarterly review. For example, in the event an existing restricted shareholder is diluted as aconsequence of the primary offering, any change to free float will be made at the next quarterly update
subject to a review of the shareholder structure at that time.

9.3.9

For secondary offerings: if the shares being offered were previously restricted, entirely or partially, the free
float will be adjusted accordingly, otherwise there will be no change to the free float with any potential
updates being deferred to the next quarterly review. Where all the previously restricted shares are solely
being offered to another restricted holder then there will be no change to free float.

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9.3.10

Secondary offerings are defined as share offerings of existing shares made directly by the company; by thecompany on behalf of selling shareholders; or offerings by shareholders themselves if the appropriate filings
have been submitted.

9.3.11

Share and free float changes resulting from activity such as private placements, exercise of warrants andexpiry of lock-ups will be deferred to the next quarterly review.

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Appendix A

Index tickers and base values

RIC

Bloomberg
symbolprice return

®

.RUI

RIY

®

.RUI.M

RXU

®

.RLV

RLV

RU10VATR

RLV

IWD

.RLG

RLG

RU10GRTR

RLG

IWF.RU1000DF

RU1000DF.RU1000DY

RU1000DY

.RUT

RTY

RU20INTR

Russell index
Russell 1000

CUSIP

Russell 1000 Mini
Russell 1000 Value®

Russell 1000 Growth®

®

Russell 1000 Defensive Index®

®

Russell 1000 Dynamic Index

Russell 2000®

12483510®

Bloomberg
Symboltotal return
RU10INTR

AMEX

ETF
IWB

IWM

Russell 2000 Mini

.RUT.M

Russell 2000® Value

.RUJ

RUJ

RU20VATR

RUJ

IWN

Russell 2000® Growth

.RUO

RUO

RU20GRTR

RUO

IWO.RU2000DF

RU2000DF

Russell 2000 Dynamic Index.RU2000DY

RU2000DY

Russell 3000®

.RUA

RAY

RU30INTR

Russell 2000® Defensive Index®
®

®

IWV

®

.RUA.M

®

.RAV

RAV

RU30VATR

RAV

IWW

.RAG

RAG

RU30GRTR

RAG

IWZ.RU3000DF

RU3000DF

Russell 3000 Dynamic Index.RU3000DY

RU3000DY

Russell 2500™

.R25I

R2500

RU25INTR

Russell 2500™ Value.R25IV

R2500V

RU25VATR

Russell 2500™ Growth.R25IG

R2500G

RU25GRTR

Russell 2500™ Defensive Index®

.RU2500DF

RU2500DF

Russell 2500™ Dynamic Index®

.RU2500DY

RU2500DY

Russell Midcap®

.RMCC

RMC

RUMCINTR

RMC

IWR.RMCCVRMV

RUMCVATR

RMV

IWS

Russell 3000 Mini
Russell 3000 Value®

Russell 3000 Growth®

®

Russell 3000 Defensive Index®

®

®

Russell Midcap ValueFTSE Russell

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RIC

Bloomberg
symbolprice return

Bloomberg
Symboltotal return

AMEX

ETF

.RMCCGRDG

RUMCGRTR

RCG

IWP.RUMCAPDF

RUMCAPDF.RUMCAPDYRUMCAPDY.RT200R200

RUTPINTR

RTL

IWL.RT200V

R200V

RUTPVATR

RVA

IWX.RT200G

R200G

RUTPGRTR

RTS

IWY

Russell Top 200 Defensive Index.RUT200DF

RUT200DF®

.RUT200DY

RUT200DY

Russell index

CUSIP

Russell Midcap® Growth
Russell Midcap® Defensive Index®
®

Russell Midcap Dynamic Index®

Russell Top 200®
®

Russell Top 200 Value®

Russell Top 200 Growth®

Russell Top 200 Dynamic Index®

®

Russell Small Cap Completeness®

.RSCC

RSCC

RSCCINTR®

.RSCCVRSCCV

RSCCVATR

Russell Small Cap Completeness®
Growth.RSCCG

RSCCG

RSCCGRTR

Russell Top 50® Mega Cap.RU50

RTOP50

RUTP50TR

Russell Microcap®

Russell Small Cap Completeness
Value.RUMICRMICRORUTPMCTR®

.RUMICVRMICROVRUMRVATR®

.RUMICGRMICROGRUMRGRTR

Russell Microcap Value
Russell Microcap Growth

IWC

The index value is the result of compounding daily (or monthly) return percentages, where the starting value of theindex is equal to the base value and base date. Returns between any two dates can then be derived by dividing theending period index value (IV1) by the beginning period (IV0) index value.
(Return = [(IV1/IV0) –1]*100).

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Calculated end of day
Index

Calculated real time *Base date/value

History start date

Base date/value

History start date®

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

12/31/78

08/31/92 = 200.00

08/31/92®

12/31/10 = 1000.00

7/1/96NA

NA®

Russell 1000 Dynamic

12/31/10 = 1000.00

7/1/96NA

NA

Russell 2000®

12/31/78 = 100.00

12/31/78

12/31/86 = 135.00

12/31/86

Russell 2000® Growth

05/31/93 = 1000.00

12/31/78

03/16/00 = 500.00

03/16/00

Russell 2000® Value

05/31/93 = 1000.00

12/31/78

03/16/00 = 500.00

03/16/00

Russell 2000® Defensive

Russell 1000

Russell 1000 Value
Russell 1000 Growth
Russell 1000 Defensive

12/31/10 = 1000.00

7/1/96NA

NA®

Russell 2000 Dynamic

12/31/10 = 1000.00

7/1/96NA

NA

Russell 3000®

12/31/78 = 100.00

12/31/78

12/31/86 = 140.00

12/31/86®

05/31/95 = 1000.00

12/31/78

03/16/00 = 700.00

03/16/00®

05/31/95 = 1000.00

12/31/78

03/16/00 = 700.00

03/16/00®

12/31/10 = 1000.00

7/1/96NA

NA®

Russell 3000 Dynamic

12/31/10 = 1000.00

7/1/96NA

NA

Russell Midcap®

12/31/78 = 100.00

12/31/78

08/31/92 = 200.00

08/31/92

Russell Midcap® Growth

12/31/85 = 100.00

12/31/85

03/16/00 = 500.00

03/16/00

Russell Midcap® Value

12/31/85 = 100.00

12/31/85

03/16/00 = 500.00

03/16/00

Russell Midcap® Defensive

12/31/10 = 1000.00

7/1/96NA

NA

Russell Midcap® Dynamic

12/31/10 =1000.00

7/1/96NA

NA

Russell Top 200®

12/31/78 = 100.00

12/31/78

03/16/00 = 400.00

03/16/00®

12/31/85 = 100.00

12/31/85

03/16/00 = 400.00

03/16/00®

12/31/85 = 100.00

12/31/85

03/16/00 = 400.00

03/16/00®

12/31/10 = 1000.00

7/1/96NA

NA®

Russell Top 200 Dynamic

12/31/10 =1000.00

7/1/96NA

NA

Russell 2500

12/31/90 = 100.00

12/31/78

11/30/03 = 200

11/30/03

Russell 2500 Growth

05/31/95 = 1000.00

12/31/85

11/30/03 = 200

11/30/03

Russell 2500 Value

05/31/95 = 1000.00

12/31/85

11/30/03 = 200

11/30/03

Russell 2500 Defensive

12/31/10 = 1000.00

7/1/07

NA

NA

Russell 2500 Dynamic

12/31/10 =1000.00

7/1/07

NA

NA

Russell Small Cap
Completeness®

3/31/99 = 1000.00

12/31/79

11/30/03 = 500

11/30/03

Russell SCC Growth

3/31/99 = 1000.00

12/31/79

11/30/03 = 500

11/30/03

Russell 3000 Growth
Russell 3000 Value
Russell 3000 Defensive

Russell Top 200 Growth
Russell Top 200 Value
Russell Top 200 Defensive

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Calculated end of day

Calculated real time *Index

Base date/value

History start date

Base date/value

History start date

Russell SCC Value

3/31/99 = 1000.00

12/31/79

11/30/03 = 500

11/30/03

Russell Top 50® Mega Cap

12/31/01 = 1000.00

3/21/05915.03

3/18/05

Russell Microcap® Index

6/24/05 = 1000.00

6/30/00

9/25/05 = 300

9/25/05

Russell Microcap Growth

6/30/06 = 1000.00

6/30/00

NA

Russell Microcap® Value

6/30/06 = 1000.00

6/30/00

NA

Russell 3000E Index

6/24/05 = 1000.00

6/24/05NA®

12/31/86*Prior to 13 January, 2014, some Russell US real-time indexes were calculated by Refinitiv.

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Appendix B

Country assignment methodology
details

Home country indicators (HCIs)– Country of incorporation– Country of headquarters– Country of most liquid exchange as defined by the two-year average daily Dollar trading volume (ADDTV)
Headquarters: FTSE Russell defines headquarters as the address of principal executive offices. For those companies
reporting in the US, FTSE Russell uses the SEC filings to determine the location of headquarters. For those companies
reporting outside of US reporting requirements, multiple vendor sources and independent Russell research are used. Ina case where multiple headquarters are listed on the SEC filings and a home country indicator (HCI) needs to be
determined, FTSE Russell assigns the HCI for headquarters to the location with the highest average daily trading
volume. If the HCI for headquarters cannot be determined (for example, if there is no trading in any headquarters
location), the two remaining HCIs are used.
Asset/revenue data sources and requirements defined: assets and revenues data are retrieved from thecompany’s annual reports (10-Ks, 20Fs, 40Fs, or prospectuses in the case of IPOs) as of the rank day. Any filings
published after that date are not used. FTSE Russell will use an average of two years of assets or revenues data to
reduce potential turnover. However, if only one year of data is available (a company either starts or stops reporting by
location) one year of data will be used. The two-year average will be calculated using the percentage by county/region
in the previous year and the percentage by country/region in the current year.
Assets and revenue reporting
Assets and/or revenue found in the text or table of the geographical segment section of the filing is given preference
over other information in the filing. Assets and/or revenue must be reported as numbers or percentages, which allow
us to confirm substantial tolerance is met or stating ALL assets/revenue come from a specific country will be used todesignate primary country of risk. Footer notes within the geographical segment section which include numbers and/or
percentages which evidence that the required tolerance is met will be accepted to confirm location of assets and/or
revenues. Asset and revenue data must be reported as positive values only. Any case where negative asset orrevenue data is reported for the most recent financial year, FTSE Russell will conclude that the asset or revenue test
for the company is inconclusive and proceed to the next steps within the nationality determination. If the most recent
yearly values are positive but year prior data includes negative values, one year data will be used for nationality
determination. In addition, “substantially all” or “majority of” assets and/or revenue will be considered as acceptableconfirmatory statements.
FTSE Russell gives preference to long-lived/long-term assets over total assets if both are listed. However, either typewill be used prior to reviewing revenue.
If intangible assets are reported separately as part of a total assets table, FTSE Russell removes intangibles fromconsideration. In other words, preference is given to tangible assets.
Total and net revenue are both considered. If both exist in table form, total takes precedent.

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Country versus regional reporting– If both country and regional are reported, regional reporting will be considered inconclusive.
– If a company changes their detailed level of reporting (country to regional or regional to country), FTSE Russell firstutilises the more detailed level of reporting, but also reviews the less detailed reporting to ensure accuracy andmonitor current trends.
– The majority of assets/revenue is determined by the absolute difference between those percentages. For example,
a 20% difference WOULD be achieved if assets were 44% in one country and 20% in another. A 20% difference
WOULD NOT be recognised if one country was reported as 30% and another country was reported as 20% higher
at 36%. The same principle applies when comparing regions or a combination of single country and region (i.e.
assets/revenues for country must be an absolute 20% greater than single region).
Company reports by

Requirements to be determined majority*

Country:

Total assets and/or revenues for HCI country is 20 percentage points greater than thatof any other reported country.

(used when more than one country is reported)
Region:(used when more than one region is reported)

Total assets and/or revenues for region containing only one HCI country is greaterthan 20 percentage points of any other reported region.

Combination of single country and region:

Total assets/revenues for HCI country is greater than 20 percentage points of any
reported region.

Combination of single country or single region andrest of the world:

Total assets/revenue for (country or region) HCI is 40 or more percentage points of thetotal assets/revenues.

No, or insufficient, data available:

Defaults to headquarters or most liquid exchange if BDI country.

* 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 recognised if country one was 30% and country two was 20% higher at 36%.

Benefit-driven incorporation countries, no domestic exchange countries and US Territories
No domestic exchange (NDEs) countries

Benefit driven incorporation (BDIs) countries

Falkland Islands

Anguilla

Faroe Islands

Liechtenstein

Antigua and Barbuda

Gibraltar

MonacoAruba

Guernsey

Suriname

BahamasIsle of Man

Barbados

JerseyBelizeLiberia

BermudaMarshall Islands

BonairePanamaBritish Virgin Islands

Saba

Cayman Islands

Sint Eustatius

Channel Islands

Sint Maarten

Cook Islands

Turks and Caicos Islands

Curacao

US territories
A US HCI is assigned for any company incorporated or headquartered in a US territory. This includes countries such
as: Puerto Rico, Guam and US Virgin islands.

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Example by country
Home country indicators: incorporated in US, headquartered in China, most liquid exchange US.
Year one assets/revenues($USD in millions)Year one calculated
percentageUS630.00%

China

3

15.00%Country 3

3

15.00%Country 4

315.00%Country 5

315.00%Country 62

10.00%$20M

100.00%Country

Total

Results: total assets/revenues from the US is NOT 20 percentage points greater than that from any other individual
country. Assuming assets and revenues are equal this example defaults to headquarters.
Example by region
Home country indicators: incorporated in the US, headquartered in UK, most liquid exchange is the US.
Year one assets/revenues($USD in millions)Year one calculated
percentage

North America

637.50%

Europe212.50%

Asia

2

12.50%

Middle East2

12.50%

Africa2

12.50%South America

212.50%$16M

100.00%RegionTotal

Results: total assets/revenues for North America is 20 percentage points greater than that from any other region. Also,
the HCI countries are in different regions. Country assignment is the US.
Example by single country and rest of the world combination:
Home country indicators: incorporated in UK, headquartered in the US, most liquid exchange is the US.
Year one assets/revenues($USD in millions)Year one calculated
percentage

US

10M

77.00%All other countries

3M

23.00%$13M

100.00%

ReportingTotal

Results: total US assets/revenues comprise more than 40% of the total assets/revenues. Country assignment is
the US.
China N share designation
A US-listed company is not eligible for inclusion within the Russell US Indexes if it has been classified by FTSE Russell
as a China N share on the rank date of the index reconstitution. For a description of Chinese share classes, please see
the “Guide to Chinese Share Classes” document, which can be accessed using the following link:
Guide_to_Chinese_Share_Classes.pdf
The definitions these share classes are reviewed annually in March.

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Appendix C

Sample client notification

Timely communication regarding the impact of corporate events on the Russell US indexes is vital for passive
managers tracking the indexes. For this reason, FTSE Russell provides a calendar of predictive corporate action
events and provides a daily schedule of e-mail notifications to Premier subscribers. The calendar provides a forecast ofactions expected to complete in the next two weeks and their anticipated effective dates. In addition, throughout theday, e-mail notifications are sent to clients regarding actions that are completing on the current and following market
days. The status flag will indicate the likelihood that an action will be effective for the day. A final flag indicates that theaction is confirmed as final. Notifications follow the schedule below. However, any information that becomes available
between the scheduled times will be sent immediately. See Appendix D for a description regarding predictive
index data.
Schedule of notifications*Time of notification (Eastern Time)

Content of notification

10:00 a.m.

Actions effective after the close of the current day and the following day, both preliminary and final,
are included.

2:00 p.m.

Final actions effective after the close of the current day and anticipated actions and final actions forthe following day. Note: a notification is sent regardless of whether a change has occurred sincethe 10:00 a.m. notice.

6:30 p.m.

Actions anticipated to take effect after the close of the following day.

* 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 tomarket close.

Sample report

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How to read e-mail notifications
Status:P = preliminary; estimation based on available information.
F = final; effective date has been confirmed.

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:Add = addition of a name and shares to the applicable index.
Delete = deletion of name and corresponding shares in applicable index.
Share change = Increase or decrease in shares only. Name remains.

Reasons:

Acquisition/merger
DelistedSpin-off
IPO

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Appendix D

Predictive index data

Any security level detail contained within the report that has not yet reached its effective date for processing across theindex represents the most recent and best available information. Events that have not yet reached their effective dateare subject to change as regulatory agencies, parties involved in the action and market terms may be updated prior to
final effective date and should be considered predictive data (“predictive index data”). The information should beconsidered preliminary until the effective date has been reached. FTSE Russell reserves the right to update or changedetails of the action or update to effective date.
The predictive index data is being provided for informational purposes only and may be used solely for evaluation
purposes. FTSE Russell and its third-party licensors do not warrant or make any representations regarding the use, or
the results of use, of the predictive index data, or any data included therein or any security (or combination thereof)
comprising the predictive index data. The recipient, and not FTSE Russell or its third-party licensors, assumes theentire risk as to such use, results of use and the performance of the predictive index data and any such data or
securities and will be fully responsible for any uses, and consequences thereof, of the predictive index data by you oranyone obtaining access thereto from or through you.
FTSE RUSSELL’S DISTRIBUTION OF THE PREDICTIVE INDEX DATA IN NO WAY SUGGESTS OR IMPLIES AN
OPINION BY FTSE RUSSELL OR ITS THIRD-PARTY LICENSORS AS TO THE ATTRACTIVENESS OFINVESTMENT IN ANY OR ALL OF THE SECURITIES TO WHICH THE PREDICTIVE INDEX DATA RELATES.

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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 tocapture 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 ofthe 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 theRussell 2000, although the action has been finalised and technically company B no longer trades. At the close of thatday, company B’s price is adjusted to mimic the terms of the deal and capture the performance of company A. After theclose, company B is removed from the Russell 2000 and company A’s shares are increased in the correct proportion
according to the merger terms.
Date

Company A (R1)

Company B (R2) –1,200 shares

Closing price (effective date)$10.00$2.00

Closing price (effective date+1)$12.00No longer trading

NA

$2.40

Adjusted closing price (effective date+1)

Stock + cash example: in the same example as above, assume that the merger terms were stock plus cash, 1:5 plus
$2 per share.
Company A (R1)

Company B (R2) –1,200 shares

Closing price (effective date)$10.00$4.00

Closing price (effective date+1)$12.00No longer trading

NA

$4.40

Date

Adjusted closing price (effective date+1)

Cash-only actions or actions involving non-members. If a company is acquired for cash, the acquired company willremain in the index for an additional trading day at a stale price and will be removed at the cash price after the close of
the following day.
Cash example: Company Z, a member of the Russell 2000 Index, is acquired for $5.02 per share in cash. Based on
the timing of final notification from the exchange, FTSE Russell considers this a “delayed action” and delays deletionfor one trading day. Company Z remains in the index the following day at a stale price and removed at the cash price,
mimicking the cash received by investors. After the close, Company Z is removed from the index.

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Date
Closing price (effective date)Closing price (effective date+1)
Adjusted closing price (effective date+1)

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 thelatest 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

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Appendix G

Reconstitution schedule– Implementation of the Russell US index annual reconstitution in June is conducted after the close on the fourth
Friday in June (i.e. the reconstitution changes take effect from the open on the Monday following the fourth Friday).
– The rank day occurs on the last business day of the first month of the quarter (April), with membership eligibility
determined using public information available on the rank day and market capitalisations calculated at market close.
* Note: style attributes are also calculated as of the last business day of April.

– Additions, deletions, indicative shares outstanding and free float data is published on the fifth Friday prior to thereconstitution implementation. The query period opens and FTSE Russell welcomes queries on the publisheddata.
– Preliminary add and delete lists are also posted to the FTSE Russell website on the fifth Friday prior to thereconstitution implementation (after market close).
– Russell US series will observe a two-week query period immediately following our official preliminary announcement
and a three week lock down prior to implementation.
– At the conclusion of the query period, the Russell US index will be in a three-week lock down until implementation.
During lock down, the Russell US index annual reconstitution is considered final and any additional changes are
made in exceptional circumstances only, in accordance with the FTSE Russell Recalculation Policy and Guidelines:
Equity_Index_Recalculation_Policy_and_Guidelines.pdf*For the avoidance of doubt, Russell US will observe a three-week lockdown in June, while FTSE GEIS will
experience a two-week lock down given the difference in implementation dates in June.

FTSE Russell

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Disclaimer© 2023 London Stock Exchange Group plc and its applicable group undertakings (“LSEG”). LSEG includes (1) FTSE International Limited (“FTSE”), (2) Frank Russell Company(“Russell”), (3) FTSE Global Debt Capital Markets Inc. and FTSE Global Debt Capital Markets Limited (together, “FTSE Canada”), (4) FTSE Fixed Income Europe Limited (“FTSE FI
Europe”), (5) FTSE Fixed Income LLC (“FTSE FI”), (6) FTSE (Beijing) Consulting Limited (“WOFE”), (7) Refinitiv Benchmark Services (UK) Limited (“RBSL”), (8) Refinitiv Limited (“RL”)
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The Russell U.S Equity Indexes are calculated by or on behalf of FTSE International Limited or its affiliate, agent or partner. FTSE International Limited is authorised and regulated by
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