FTSE Russell Market Consultation

Russell US Indexes Consultation on
Moving to a Semi-Annual Index
Reconstitution Frequency
October 2023

Russell US Indexes Consultation on Moving to a Semi-Annual Index Reconstitution Frequency

Executive Summary•

Russell Indexes were launched in 1984, with wide adoption of $9.2 trillion in total assets
benchmarked as of December 2022.

•

Since their inception, regular reconstitutions have been a critical part of maintaining theRussell Indexes and accurately representing the ever-changing US equity markets.

•

As assets tracking the Russell Indexes have grown, so has the size of the trade at theannual Russell reconstitution in June.

•

FTSE Russell has received feedback from market participants to investigate moving to asemi-annual reconstitution frequency to potentially reduce the size of the reconstitution tradeand market trading pressure at the June annual reconstitution.

•

This document summarizes the analysis completed by FTSE Russell in order to solicit
market feedback on moving Russell US Indexes to a semi-annual reconstitution frequency
and implementation considerations. here.

FTSE Russell

2Russell US Indexes Consultation on Moving to a Semi-Annual Index Reconstitution Frequency

Contents
Market Consultation .............................................................................................................................................................................. 4
1.

Adding a second Russell reconstitution later in the calendar year ................................................................................................. 7

2.

Widening the band between the Russell 1000 and Russell 2000 Indexes to an asymmetric -5%/+2.5% .................................. 10

3.

Implementation of Russell Style Index Weight Updates ............................................................................................................... 16

4.

Appendix ...................................................................................................................................................................................... 20

Responding to the consultation
The proposals set out in this consultation document are included in order to gather feedback and may or may
not result in changes to our indexes or data solutions.
Index users and other stakeholders are invited to respond by 17 November 2023. The responses will be
reviewed by the FTSE Russell Product Governance Board and an update on FTSE Russell’s proposed
approach will be communicated by via a client notice.
Please submit your response to the questions included in this consultation online athttps://www.surveymonkey.co.uk/r/HMWMQ2W
All responses will be treated as confidential. FTSE Russell may publish a summary of the consultation results,
but no individual responses will be published and no respondents will be named.
If you have any questions about this survey, or if you encounter any technical issues, please contact
committeesecretary@ftserussell.com.

FTSE Russell

3Russell US Indexes Consultation on Moving to a Semi-Annual Index Reconstitution Frequency

Market Consultation
Russell US Indexes

BackgroundIn accordance with the FTSE_Russell_Policy_for_Benchmark_Methodology_Changes.pdf (ftserussell.com), FTSE Russell regularly
evaluates potential methodology enhancements based on client and market feedback. 1
As one of FTSE Russell’s flagship index series launched in 1984, with wide adoption of $9.2 trillion total assets benchmarked as ofDecember 2022,2 market feedback is evaluated regularly for the Russell US Indexes. Nearly 70% of the total Russell US AUM isbenchmarked to a Russell Growth or Value Style Index.3
This consultation should be read in conjunction with the current index ground rules for the Russell US Indexes.

Evolution of US equity markets and increase in dollar amount traded at the close of Russell reconstitution annually in June
Russell Indexes and its modular framework of US equity benchmarks were launched in 1984, initially with the large cap Russell
1000® and small cap Russell 2000® Indexes adding up to the broad market Russell 3000 ® Index. Russell Style Indexes werelaunched in 1987, the first modular US equity benchmarks tracking growth and value styles, developed based on observations ofmanager behavior. Over time, the Russell Indexes continued to expand, adding additional segments such as the SMID cap Russell
2500™ Index, Russell Midcap® and Russell Top 200® Index segments in the 1990s, followed by extension into the Russell
Microcap® Index in 2005.4
In September 2004, Russell Indexes began adding eligible IPOs quarterly in order to reduce the impact at the annual reconstitutionin June. In 2007, Russell Indexes introduced banding to reduce smaller changes between the size indexes (e.g., between the
Russell 1000 and Russell 2000 indexes), and in 2011 incorporated banding into the Russell Style Indexes with the enhancement of
the growth metrics from a single long-term growth forecast to a combination of medium-term growth forecast and historical growth
metrics. In 2017, a minimum 5% company voting rights hurdle was also introduced in consideration of investability of the Russell
Indexes.
As of 2023, derived indexes available based on the Russell Indexes have diversified to include a broad range of sector, capped,
equally-weighted, dividend-screened, sustainable, and thematic indexes.
Since their inception, regular reconstitutions have been a critical part of maintaining the Russell Indexes and accurately representing
the ever-changing US equity markets. At launch, the Russell Indexes were reconstituted quarterly, then semi-annually from 1987,
and then annually in June from 1989 onwards. Balancing representation and turnover have always been key considerations indetermining the appropriate frequency of Russell Indexes reconstitution.
As adoption of the Russell Indexes has spread, especially among institutional investors, and as assets tracking passive index-based
funds have grown, the size of the trade at the annual Russell reconstitution has also increased. In June 2019, the dollar tradedamount across Nasdaq and NYSE exchanges at the close of US equity markets on Russell US Indexes annual reconstitution
effective day exceeded $100 billion for the first time, and over subsequent reconstitution dates, the dollar traded amount at the closeof the June annual Russell reconstitution has remained above $100 billion.

1

Recent public minutes from the external advisory committees as well as a history of Ground Rule Updates to the Russell US Indexes can be found on ftserussell.com.
Data as of December 31, 2022 as reported on April 1, 2023 by eVestment for active institutional funds, Morningstar for active retail mutual funds, insurance products, and ETFs, andpassive assets directly collected by FTSE Russell. AUM includes blended benchmarks and excludes futures and options. AUM data does not include active and passive assets notreported to a 3rd party source or FTSE Russell. For funds where the AUM was not reported as of December 31, 2022, the previous period AUM was used as an estimate. No
assurances are given by FTSE Russell as to the accuracy of the data.
3
All references to “style indexes” throughout this consultation refer to the Russell Style Indexes.
4
Four decades of Russell Indexes Reconstitution | FTSE Russell
2

FTSE Russell

4Russell US Indexes Consultation on Moving to a Semi-Annual Index Reconstitution Frequency

Table 1. US market trading at the close of Russell reconstitution effective day in June
US$ billions

2017

2018

2019

2020

2021

2022

$ traded across Nasdaq and
NYSE

76.0

97.7

107.5

126.6

186.0

143.1

Source: FTSE Russell, NYSE, and Nasdaq, as of June 24, 2022.

FTSE Russell has received feedback from market participants to investigate the feasibility of reducing the trade size on the Juneannual reconstitution effective day, to reduce potential market trading pressure.
FTSE Russell has identified three possible ways to reduce the June trade size, by targeting three potential contributors to index
turnover: 1) reconstitution changes are currently implemented on a single date once a year, 2) size of the band between the Russell
1000 and Russell 2000 at reconstitution, and 3) size of the Russell Style Index reconstitution weight changes.

What is not in scope of this consultation
The current reconstitution date of 4th Friday of June will continue, and therefore is not the subject of this consultation. In recognitionof the broad market adoption, market participants, clients and distributors are anchored to the June annual reconstitution date andhave provided feedback that proposed methodology enhancements should focus on other options.
Market participants continue to support a June reconstitution citing two primary reasons: 1) a large portion of US companies fileannual reports ahead of the Q2 cut-off, therefore maintaining a June reconstitution allows critical information to be considered forinclusion 2) calendar and resource management around the June reconstitution have long been established across the market.
Moving away from a June reconstitution would be disruptive to the market. In recognition of the broad market adoption, market
participants, clients and distributors are anchored to the June annual reconstitution date and have provided feedback that proposed
methodology enhancements should focus on other options.
Additionally, impact to rebalance schedules of indexes derived from the core Russell US Indexes will be evaluated by FTSE Russelland communicated following the results of this consultation.
FTSE Russell will also consult the market separately regarding potential impact to the December quarterly review implementation for
FTSE Equity Indices based on the results of this consultation, including impact to FTSE GEIS and the FTSE UK Index Series.
FTSE Russell is separately evaluating the addition of a -/+5 bps band at the bottom of the Russell 3000 Index (currently none).
Evaluation of banding at the bottom of the Russell 3000 Index is taking place independent of this consultation, and any decision
regarding this enhancement will be announced separately.

FTSE Russell

5Russell US Indexes Consultation on Moving to a Semi-Annual Index Reconstitution Frequency

Consultation Purpose
FTSE Russell is seeking the market’s views on the following potential methodology enhancements to reduce the current trade sizeon the Russell reconstitution effective day:

1.

Whether FTSE Russell should add a second Russell reconstitution on the 3 rd Friday of November of each year, in addition
to the current 4th Friday in June.5 [See section 1.2 for questions.]

2.

Whether to widen the band between the Russell 1000 and Russell 2000 Indexes, from the current -/+2.5% (5% total) basedon cumulative percentile ranking to asymmetric -5%/+2.5% (7.5% total), retaining more of the larger companies in the
Russell 2000 at each reconstitution, with the trade-off of the Russell 1000 membership count declining toward 900
companies at reconstitution, post-banding (breakpoint will still be based on the 1000th ranked stock). [See section 2.6 forquestions.]

3.

FTSE Russell is of the view that running two full reconstitutions of the Russell Style Indexes generates unpalatable
turnover. In recognition of this, FTSE Russell is proposing two alternative approaches to implement Russell Style changes
at the semi-annual reconstitution [See section 3.4 for questions.]:A.

The full reconstitution of the Russell Style Indexes occurs in June, and at the next semi-annual reconstitution only
additions to the indices incorporate updated value and growth weights (i.e., no Russell Style changes to existing
index constituents).

B.

Tranche the implementation of June Russell Style Indexes weight changes across June and November
reconstitution periods.

Key to abbreviations used throughout this consultation:•
AR = Annual reconstitution (4th Friday in June)•
SAR = Semi-annual reconstitutiono SAR1 = 1st semi-annual reconstitution (4th Friday in June)o SAR2 = 2nd semi-annual reconstitution (proposed 3rd Friday in
November, however simulated SAR2 reconstitution test
scenarios are based on live December quarterly index review
data; see Appendix for more information on the research process
and assumptions)5

Due to liquidity concerns in December, the 3rd Friday in November (the Friday prior to the US Thanksgiving holiday on the 4th Thursday of November) has been selected as apotential candidate for a second reconstitution date, approximately half a year after the June reconstitution.

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6Russell US Indexes Consultation on Moving to a Semi-Annual Index Reconstitution Frequency

1.

Adding a second Russell reconstitution later in the calendar year, i.e., moving
to a semi-annual reconstitution from the current annual reconstitution

Market participants have provided feedback that adding a second reconstitution may reduce the trade size at the June
reconstitution.
Due to liquidity concerns in December, the 3rd Friday in November (the Friday prior to the US Thanksgiving holiday on the 4th
Thursday of November) has been selected as a potential candidate for a second reconstitution date, approximately half a year after
the June reconstitution.

1.1. Simulation Results – Additions/Deletions/Percentage Turnover
Russell 1000 and Russell 2000 simulations were run from the period of 2016 to 2022. The results below show additions, deletions
and percentage two-way turnover of the current -/+2.5% band methodology (“AR 2.5% band”), and changes of additions, deletions
and two-way turnover of a semi-annual reconstitution with a -/+2.5% band (“SAR 2.5% band”).
In the semi-annual reconstitution scenario, total annual reconstitution additions, deletions and percentage turnover were mixed for
the Russell 1000, but for the Russell 2000 they would generally increase, particularly the percentage turnover in 2020 and 2022
where they increase by over 25% relative to the existing annual reconstitution (e.g., Russell 2000 two-way turnover in 2020 would
increase from 32.74% to 41.73%; see Table 3). However, the addition of a second reconstitution may lower turnover an average of
4.14%, due to almost 20% reduction in turnover at each June SAR1 period compared to the AR scenario (see Appendix Table 5).
For the Russell 1000 Index, the addition of a second reconstitution may lower turnover an average of 0.4%, due to nearly 11%
reduction in turnover at each June SAR1 period relative to the AR scenario (see Appendix Table 4).

Table 2: Annual Reconstitution Additions/Deletions/Turnover (%) of Russell 1000
Russell 1000

2017
2018
2019
2020
2021
2022

AR 2.5% band
Adds
62
71
53
92
93
48

Deletes
36
29
31
38
50
43

SAR 2.5% band
Turnover (%)
5.54
5.47
5.58
6.07
6.61
5.47

+/- Adds
relative to
AR
3
5
18
-7
9

+/- Deletes
relative to AR
-1
1
10
7
5

+/- Turnover (%)
relative to AR6
-0.19
-0.21
-0.02
0.66
-0.41
0.03

Table 3: Annual Reconstitution Additions/Deletions/Turnover (%) of Russell 2000
Russell 2000

2017
2018
2019
2020
2021
2022

AR 2.5% band
Adds
290
305
269
304
405
320

Deletes
148
166
167
177
331
328

Turnover
(%)
24.00
29.21
21.33
32.74
33.90
24.12

+/- Adds
relative to
AR
22
19
44
19
59
109

SAR 2.5% band+/- Deletes+/- Turnover
relative to(%) relative to
AR
AR
19
1.76
53
0.06
38
3.11
101
8.99
35
1.84
-21
6.35

Throughout this paper, adding values in the “Turnover (%)” column with values in “+/- Turnover (%) relative to …” will provide total turnover for each scenario. For example, total
turnover for the “SAR 2.5% band” scenario in 2022 was 5.5 (5.47+0.03).
6

FTSE Russell

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Russell US Indexes Consultation on Moving to a Semi-Annual Index Reconstitution Frequency

1.2.

Questions

Q1. Are you supportive of adding a second Russell reconstitution in addition to the current annual June
reconstitution?
☐

Yes

☐

No

Please enter your comments here:

Q2. In the simulation data presented in Tables 2 & 3 above the estimated turnover impact for the Russell 1000 would
range from –0.41 to +0.66% and for the Russell 2000 the turnover impact would range from 0.06 to 8.99% increase.
Do you feel this level of turnover is acceptable (and you support a second Russell index reconstitution)?
☐

Yes

☐

No

Please enter your comments here:

FTSE Russell

8Russell US Indexes Consultation on Moving to a Semi-Annual Index Reconstitution Frequency

Q3. Are you supportive of the proposed second, semi-annual Russell reconstitution to be implemented on the 3rd
Friday of November, in addition to the current 4th Friday in June?
☐

Yes

☐

No

Please enter your comments here:

Q4. If FTSE Russell proceeds with the semi-annual Russell reconstitution to be implemented on the 3rd Friday of
November, do you also support moving forward the December quarterly IPO, free float and share changes to 3rd
Friday of November implementation based on a September month-end rank date?

Index Review Effective Date(after market close)

Announce Date

Rank Date

Months since prior
Rank or Effective Date

March – 3rd Friday

February – 3rd Friday

End of January

4 months

June – 4th Friday (SAR1)

May – 3rd Friday

End of April

3 months

September – 3rd Friday

August – 3rd Friday

End of July

3 months

November – 3 Friday (SAR2)

October – 3 Friday

End of September

2 months

rd

☐

Yes

☐

No

rd

Please enter your comments here:

FTSE Russell

9Russell US Indexes Consultation on Moving to a Semi-Annual Index Reconstitution Frequency

Q5. What is the notice period you require prior to the addition of a semi-annual Russell reconstitution in November?
For example, FTSE Russell should announce the addition of the semi-annual reconstitution date 6 months, 9months, 12 months, etc. in advance of the second reconstitution?

Please enter your comments here:

Q6. Do you have any other comments/concerns about the reconstitution frequency or proposed implementation date?
Please enter your comments here:

2.

Widening the band between the Russell 1000 and Russell 2000 Indexes to an
asymmetric -5%/+2.5%

Since 2007, the Russell Indexes have applied a 5% band based on cumulative percentile ranking around the size index breakpoints
to reduce turnover between the index segments at reconstitution (symmetrical -/+2.5% around the breakpoint). Note, because of thesmall size of microcap companies, the band at the top of the Russell Microcap index is only 1%, and currently there is no band at thebottom of the Russell 2000 Index.
Maintaining representative indexes must be weighed against the cons associated with making frequent changes to index
constituents. In other words, an index must balance the precision of representation with practical and acceptable levels of turnover.
If market participants feel that the addition of a second reconstitution creates too much unnecessary turnover, a potential solution is
to also evaluate widening existing bands.
FTSE Russell has evaluated the impact of doubling the band at the top of the Russell 2000 Index to 5%, widening the band to a total
7.5% (asymmetric -5%/+2.5%), from 5% (symmetric -/+2.5%) based on cumulative percentile ranking, resulting in an asymmetricband that reduces movement of companies from the Russell 2000 to the Russell 1000 at reconstitution.

FTSE Russell

10Russell US Indexes Consultation on Moving to a Semi-Annual Index Reconstitution Frequency

2.1 Comparison of current banding methodology to proposed methodology
Exhibit 1: Current banding approach, between the Russell 1000 and Russell 2000 Indexes

Exhibit 2: Proposed update to reconstitution band between the Russell 1000 and Russell 2000 Indexes

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Russell US Indexes Consultation on Moving to a Semi-Annual Index Reconstitution Frequency

Other existing bands would remain intact (5% total and 1% at the top of Russell Microcap).

Exhibit 3: Current Russell Indexes band overview

2.2

Determination of Band Size

The current -/+2.5% band size covers up to 215 (top) and 343 (bottom) companies with market caps ranging from $7.37 billion (top)to $1.75 billion (bottom) in the simulation period, respectively. Changing the top band to 5% would cover up to 363 companies with amaximum band size of $10.1 billion.
Table 4: Number of Companies Covered and Market Cap of Company at Band (in billions)
Russell 1000 (+) / Russell 2000 (-)
-2.5%
2.5%
-5%
6/26/2017
179 (4.41)
246 (2.30)
315 (5.74)
6/25/2018
175 (5.06)
246 (2.64)
313 (6.33)
7/1/2019
190 (4.97)
280 (2.31)
328 (6.78)
6/29/2020
215 (4.56)
343 (1.75)
363 (6.54)
6/28/2021
195 (7.37)
272 (3.70)
335 (10.10)
6/27/2022
210 (6.01)
312 (2.75)
359 (8.26)
While a further increase in the band may reduce annual additions, deletions and turnover, index characteristics will be impacted withregard to the size of companies included in the indexes. Therefore, the maximum increase in band proposed is an additional 2.5%
by doubling the band at the top of the Russell 2000 Index.

2.3 Index Characteristics – Size Integrity
For the Russell 2000, increasing the top band to 5% would increase the number of companies with market caps greater than $5
billion. As a result, the composition of the largest companies in the Russell 2000 may change. In terms of stock weights, increasing
the top band to 5% would also increase the concentration of the largest companies in Russell 2000.
Table 5: Number of Companies with Market Caps > $5 billion in Russell 2000
Russell 2000
AR 2.5% band
SAR 5%/2.5% band
6/26/20177
6/25/2018454
7/1/2019
36
6/29/202025
6/28/2021
89
143
6/27/2022
36
76

FTSE Russell

SAR 2.5% band
4
78
28

12

Russell US Indexes Consultation on Moving to a Semi-Annual Index Reconstitution Frequency

Table 6: Top 10 Stock Weights in Russell 2000
Russell 2000
6/26/2017
6/25/2018
7/1/2019
6/29/2020
6/28/2021
6/27/2022

AR 2.5% band
2.03
1.92
2.11
2.47
2.27
2.30

SAR 5%/2.5% band
2.17
1.95
2.69
2.77
2.47
2.66

SAR 2.5% band
2.01
1.99
2.11
2.50
2.25
2.33

2.4 Index Characteristics – Company Count
Having asymmetric bands tends to reduce the number of companies in the Russell 1000 as the larger Russell 2000 upper band
limits the number of companies entering the index.
Table 7: Number of Companies in Russell 1000
Russell 1000
6/26/2017
6/25/2018
7/1/2019
6/29/2020
6/28/2021
6/27/2022

AR 2.5% band
985
989
979
986
1017
1003

SAR 5%/2.5% band
951
924
917
920
946
932

SAR 2.5% band
982
988
983
997
1029
1009

For the Russell 2000, having asymmetric bands tends to increase the number of companies in the index as it is harder for the larger
companies in the Russell 2000 to move into the Russell 1000.
Table 8: Number of Companies in Russell 2000
Russell 2000
6/26/2017
6/25/2018
7/1/2019
6/29/2020
6/28/2021
6/27/2022

AR 2.5% band
2015
2011
2021
2014
1983
1997

SAR 5%/2.5% band
2049
2076
2083
2080
2054
2068

SAR 2.5% band
2018
2012
2017
2003
1971
1991

2.5 Simulation Results – Additions/Deletions/Percentage Turnover
Russell 1000 and 2000 simulations were run from the period of 2016 to 2022. The results below show additions, deletions andpercentage two-way turnover of the current -/+2.5% band methodology, and changes of additions, deletions and two-way turnover ofa semi-annual reconstitution with a -5%+/2.5% asymmetric band as well as a -2.5%/+2.5% band.
For example, in Table 9 for the semi-annual reconstitution of the Russell 1000 index using a -5%/+2.5% band, there were 29 fewer
additions and 3 fewer deletions for the index in 2018 compared to the existing annually reconstituted index (Russell 1000 Annual
2.5% band) or a total of 42 and 26, respectively. The annual two-way turnover was 78 basis points less than the existing annuallyreconstituted index or 4.69 percent.
On an annual basis increasing the reconstitution frequency and applying a -5%/+2.5% band would generally decrease thereconstitution additions, deletions and percentage turnover for the Russell 1000, while generally increase the number ofreconstitution additions/deletions for the Russell 2000 and decrease the overall percentage turnover, with the exception of 2020.
For the semi-annual reconstitution with a -2.5%/+2.5% band, annual reconstitution additions, deletions and percentage turnover
were mixed for the Russell 1000 but for the Russell 2000 they would generally increase, particularly the percentage turnover in 2020
and 2022 where they increase by over 25% relative to the existing annual reconstitution.

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Russell US Indexes Consultation on Moving to a Semi-Annual Index Reconstitution Frequency

While a further increase in banding may reduce annual additions, deletions and turnover, index characteristics will be impacted withregard to the size of companies included in the indexes.
Table 9: Annual Reconstitution Additions/Deletions/Turnover (%) of Russell 1000
Russell 1000

2017
2018
2019
2020
2021
2022

AR 2.5% band

SAR 5%/2.5% band

Adds

Deletes

Turnover+/- Adds
relative
to AR+/Deletes
relative to
AR+/Turnover
relative toAR

SAR 2.5% band+/- Adds
relative
to AR+/Deletes
relative to
AR+/Turnover
relative to
AR

62
71
53
92
93
48

36
29
31
38
50
43

5.54
5.47
5.58
6.07
6.61
5.47

-22
-29
-13
-2
-18
-11

-3
-2
5
-8
-5

-0.57
-0.78
-0.18
0.48
-0.63
-0.25

3
5
18
-7
9

-1
1
10
7
5

-0.19
-0.21
-0.02
0.66
-0.41
0.03

Table 10: Annual Reconstitution Additions/Deletions/Turnover (%) of Russell 2000
Russell 2000

2017
2018
2019
2020
2021
2022

AR 2.5% band

SAR 5%/2.5% band

Adds

Deletes

Turnover+/- Adds
relative
to AR

290
305
269
304
405
320

148
166
167
177
331
328

24.00
29.21
21.33
32.74
33.90
24.12

22
17
41
14
44
100

SAR 2.5% band+/Deletes
relative
to AR+/Turnover
relative to
AR+/- Adds
relative
to AR+/Deletes
relative
to AR+/- Turnover relative
to AR

-3
21
20
81
24
-40

-2.55
-6.22
-1.91
0.84
-5.38
-1.97

22
19
44
19
59
109

19
53
38
101
35
-21

1.76
0.06
3.11
8.99
1.84
6.35

2.6 Questions
Q7. Are you supportive of widening the band from 5% to 7.5%, with an asymmetric -5%/+2.5% retaining more companies at
the top of the Russell 2000 Index, instead of the current symmetric -/+2.5%? This means that the constituent count in the
Russell 1000 may drop closer to 900 than 1000 (see Table 7).

☐

Yes

☐

No

Please enter your comments here:

FTSE Russell

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Russell US Indexes Consultation on Moving to a Semi-Annual Index Reconstitution Frequency

Q8. Do you feel that the turnover benefit of the asymmetric band has significant value when considering the impact to size
integrity and membership totals?
Q9. Do you have concerns with the company count consistently remaining below 1000 with the widened band (917 within
the 2019 simulation)?
Q10. Do you have concern with size integrity impact as a result of asymmetric banding simulation? (Russell 2000 upper
threshold drawn at $10.1B within the 2021 simulation or 143 companies >$5B in the Russell 2000 also within the 2021
simulation)?

☐

Yes

☐

No

Please enter your comments here:

Q11. Are you supportive of moving to a semi-annual Russell reconstitution (June and November), plus widening the bandto 7.5% even with the potential decline in constituent counts in the Russell 1000?

☐

Yes

☐

No

Please enter your comments here:

Q12. Do you have any other comments/concerns about widening the band?
Please enter your comments here:

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Russell US Indexes Consultation on Moving to a Semi-Annual Index Reconstitution Frequency

Q13. What additional measures to manage turnover should be considered?
Please enter your comments here:

3.

Implementation of Russell Style Index Weight Updates

3.1. Research approach
The following Russell Style index reconstitution analysis focuses on the semi-annual reconstitution scenario with a 2.5% band
between the Russell 1000 and Russell 2000 Indexes. Analysis for 3 scenarios is as follows:
1.
2.

3.

Scenario 1: Full Russell Style reconstitution in SAR1 and SAR2 – apply a reconstitution of Russell Style to all index
constituents in SAR1 and SAR2 each year.
Scenario 2: Annual reconstitution in SAR1 and the Value and Growth weights updated for new additions only in
SAR2 – rerun the Russell Style reconstitution in SAR2 but only assign updated value and growth weights for new additions
rather than the entire index universe.
Scenario 3: Tranche the Annual reconstitution in SAR1 and SAR2 – apply the same scenario in 2 as of June, but
implement the value and growth reconstitutions in 50% tranches in SAR1 and SAR2 each year.

3.2 Simulation Results – Turnover
Over the simulation period, a full Russell Style update at each semi-annual reconstitution would increase reconstitution turnover onan annual basis by up to a maximum of 29%. The Russell 1000 Growth index has the largest annual relative increase in turnover of
64% compared to the current methodology, with the Russell 1000 Value index the next largest with 59%, both in 2022.
Were we to only update Russell Style weights for new additions in SAR2 (Scenario 2) would result in a small/negligible impact tocurrent turnover relative to the existing annual reconstitution.
Tranche-ing the Russell Style changes would further distribute the Russell Style weight updates between SAR1 and SAR2 resulting
in a more even distribution across the two rebalances. Some clients have voiced a desire to expedite Russell Style changes over ashorter time period. However, SAR2 has been chosen for the second tranche in this analysis (rather than the next quarterly
reconstitution) as the underlying universe would be applying membership changes and the appropriate time to consider Russell
Style attributes would be to align them with membership change events.7
Table 11 provides the annual reconstitution turnover for the Russell 1000 Growth index where in 2018 the annual reconstituted
Russell 1000 Growth index had a two-way turnover of 25.12%. Increasing the frequency of the reconstitution to semi-annual andapplying a full Russell Style reconstitution “Full Russell Style Recon in SAR2” (Scenario 1) would increase the annual turnover by
11.82% or a total of 36.94%. If we only update Russell Style weights for new additions in SAR2 “Russell Style Weight Change for
New Adds Only in SAR2” (Scenario 2) the annual turnover would remain the same. Tranche-ing Scenario 2 would increase annual
turnover by 0.24% or a total of 25.36%.

7

If a comprehensive quarterly membership reconstitution was applied to the underlying Russell 1000 and 2000 indexes, then we would agree that an expedited Russell Style tranche
could be considered in September.

FTSE Russell

16

Russell US Indexes Consultation on Moving to a Semi-Annual Index Reconstitution Frequency

For the Russell 2000 Growth index in Table 13, turnover for 2020 is higher for all scenarios given the underlying Russell 2000 index
has higher turnover (see Table 3). This was due to the higher market volatility in 2020 following the onset of the COVID-19
pandemic.
Table 11: Annual Reconstitution Turnover (%) of Russell 1000 Growth
AR 2.5%band
Russell 1000 Growth
2017
2018
2019
2020
2021
2022

Turnover
23.97
25.12
28.25
31.02
26.31
28.17

SAR 2.5% band Turnover Increase/Decrease
Full Russell Style Reconin SAR2
1.87
11.82
5.61
9.76
2.96
17.88

Russell Style Weight Change
for New Adds Only in SAR2
-0.15
0.00
-0.08
1.64
0.35
0.12

Tranche
0.24
-0.80
-0.04
0.24
1.00

Table 12: Annual Reconstitution Turnover (%) of Russell 1000 Value
AR 2.5%band
Russell 1000 Value
2017
2018
2019
2020
2021
2022

Turnover
25.53
26.56
30.19
38.26
27.41
28.08

SAR 2.5% band Turnover Increase/Decrease
Full Russell Style Reconin SAR2
2.11
11.42
6.30
7.92
1.48
16.30

Russell Style Weight Change
for New Adds Only in SAR2
-0.12
-0.01
0.10
0.49
-0.03
0.35

Tranche
-0.11
-0.42
0.51
0.38
0.00

Table 13: Annual Reconstitution Turnover (%) of Russell 2000 Growth
AR 2.5%band
Russell 2000 Growth
2017
2018
2019
2020
2021
2022

Turnover
48.68
63.68
52.75
69.47
69.66
63.26

SAR 2.5% band Turnover Increase/Decrease
Full Russell Style
Recon in SAR2
14.11
5.82
12.07
29.41
14.80
21.33

Russell Style Weight Change
for New Adds Only in SAR2
4.88
0.70
3.41
19.60
7.03
8.69

Tranche
0.09
3.55
16.80
5.94
4.08

Table 14: Annual Reconstitution Turnover (%) of Russell 2000 Value
AR 2.5%band
Russell 2000 Value
2017
2018
2019
2020
2021
2022

FTSE Russell

Turnover
44.83
46.21
43.08
53.50
60.41
53.87

SAR 2.5% band Turnover Increase/Decrease
Full Russell Style Reconin SAR2
11.90
8.07
12.06
19.29
11.62
19.22

Russell Style Weight Change
for New Adds Only in SAR2
0.97
2.23
3.15
2.58
-0.46
2.56

Tranche
1.67
1.79
3.08
-2.65
3.03

17

Russell US Indexes Consultation on Moving to a Semi-Annual Index Reconstitution Frequency

3.3 Index Characteristics – Valuations and Growth
To assess Russell Style integrity of each reconstitution scenario, sales-growth and forecast earnings growth for the Russell Growthindexes, and book-to-price for the Russell Value indexes were compared.
Index level book-to-price, sales-growth and forecast earnings growth do not show any significant differences for the periods tested.
3.4 Questions
Q14. FTSE Russell has concluded that a full Russell Style reconstitution at semi-annual reconstitution (Scenario 1)
generates unpalatable Russell Style turnover, and we are thus recommending that only Scenario 2 or 3 be considered
for implementation. Do you agree with this finding?
☐

Yes

☐

No

If no, please explain:

Q15. If you answered yes to Q14, please select only one of the below options for consideration, in the event of a second,
Russell reconstitution, i.e., for a semi-annual reconstitution in November:A.

I am supportive of implementing Russell Style weight changes for New Adds only at the second/semi-annual reconstitution(proposed November)B.

I am supportive of trancheing Russell Style weight changes from June reconstitution with the next reconstitution(November), i.e. implement half of the weight changes in June, and the 2 nd half in November
Please enter your comments here:

FTSE Russell

18

Russell US Indexes Consultation on Moving to a Semi-Annual Index Reconstitution Frequency

Q16. Do you have any other comments/concerns about implementation approaches to updating Russell Style Index weightchanges at reconstitution, with focus on reducing index turnover without sacrificing representativeness?
Please enter your comments here:

FTSE Russell

19

Russell US Indexes Consultation on Moving to a Semi-Annual Index Reconstitution Frequency

4. Appendix
Research approach details
The starting point for the analysis is the Russell 3000 Extended Index (Russell 3000E). The Russell 3000E which is reconstituted
annually in June includes the Russell 3000 and the complete Russell Microcap Index and was used as the reconstitution universe
for the simulated Russell 3000 Index in the hypothetical scenarios.
Six years of analysis with two semi-annual reconstitutions in each year were created, from 2016 to 2022.
To support the analysis and provide a fair comparison, FTSE Russell used simulated Russell 1000 and 2000 indexes with a band of-/+2.5% using the Russell 3000 Extended index at each reconstitution in June (simulated base case).

Appendix Exhibit 1: Reconstitution Overview Using Russell 3000 Extended8

8

FTSE Russell is separately evaluating the addition of a -/+5 bps band at the bottom of the Russell 3000 Index (currently none). Evaluation of banding at the bottom of the Russell
3000 Index is taking place independent of this consultation, and any decision regarding this enhancement will be announced separately.

FTSE Russell

20

Russell US Indexes Consultation on Moving to a Semi-Annual Index Reconstitution Frequency

Using the Russell 3000 Extended Index as the starting universe for this analysis requires that certain assumptions are made, these
are included in the table below to support the analysis.
Appendix Table 1: Research assumptions and potential implications
Assumptions

Potential Implications

Use Russell 3000E for our analysis tohighlight the turnover implicationsof different frequency of reconstitutions

The universe of companies would be updated more frequently in the official Russell US
reconstitution leading to potentially lower turnover in our analysis although the universeis still sufficient in size to see the implications of different reconstitution frequencies andbanding

Russell 3000E is reconstituted annually inJune (current methodology)

Even though there are shares and IPOs included on a quarterly basis the Russell
3000E composition is reconstituted annually leading to an expected higher turnover inJune compared to other quarters

Use of reconstitution effective date forranking purposes

Price drift between the cut-off date and effective date will potentially change thecomposition of the scenarios compared to the official R1 & R2, although it still follows
the reconstitution ranking process so will provide a sufficient guide to the impact ofdifferent reconstitution cycles

There are no bandings applied to sharesand free float changes in June comparedto other quarters (current methodology)

This would lead to an expected larger turnover of free float/shares changes in June
compared to other quarters

The turnover analysis in this paper iscomparing against a simulated R1 & R2
annual reconstitution with a +/-2.5% band

Comparing to a simulated R1 & R2 reduces calculation biases in the analysis we havecreatedIPOs and share changes are applied to
the Russell 3000E in December rather
than the proposed additional reconstitution
in November

Even though IPOs and share changes are applied in December rather than November
it still provides a good indication of the impact of doing semi-annual reconstitutions on
the Russell 1000 and 2000

Test Scenarios and Summary of Observations
Appendix Table 2: Testing the impact of semi-annual reconstitution and widening the band between the Russell 1000 and
Russell 2000 Indexes
1. Russell
1000/2000

Recon
frequency

R1/R2
Band

PurposeSummary of Observations

1a. AR with /+2.5% band(simulatedbase case)

Annual-/+2.5%Serve asbenchmark to all
simulations for afair comparison

The simulated Russell 1000 and Russell 2000
indexes have comparable turnover numbers to thelive indexes, with average absolute weight
differences of 20bps and 111bps for the June
reconstitution turnovers respectively.

1b. SAR1 andSAR2 with /+2.5% band

SemiAnnual-/+2.5%To test impact ofadding a second
reconstitution withthe existing band

Annual Additions/Deletions increase, and annual
turnover has mixed results given the increase inreconstitution frequency.

1c. SAR1 andSAR2 with 5%/+2.5%(asymmetricband)

SemiAnnual

5%/+2.5%

To test the impactof doubling theband at the top of
the Russell 2000
and adding a

A -5%/+2.5% band reduces turnover with moderatecost of size integrity.
Annual Additions/Deletions and turnover decrease.
The asymmetric band causes the Russell 1000
constituent count to drop below 1000 throughout thetesting period

FTSE Russell

21

Russell US Indexes Consultation on Moving to a Semi-Annual Index Reconstitution Frequency

secondreconstitution
Appendix Table 3: Testing the impact of semi-annual reconstitution on the Russell Style Indexes
2. Russell
1000/2000
Growth/Value

Recon
frequency

R1/R2 Band

PurposeSummary of Observations

2a. AR(simulatedbase case)

Annual-/+2.5%Serve as benchmark
to all simulations for afair comparison

The simulated Russell 1000 Growth andValue, and Russell 2000 Growth andValue indexes have comparable turnover
numbers to the live indexes, with averageabsolute turnover differences at theannual reconstitution of 93bps, 93bps,
209bps and 179bps, respectively.

2b. Full Russell
Style recon ateach SAR1 andSAR2SemiAnnual1)
2)-/+ 2.5%5%/+2.5%

To test impact to
R1/R2 Growth/Valueindices using fullRussell Style
reconstitution SAR1and SAR2

Applying SAR1 and SAR2 reconstitutions
on average increases for the Russell Style
indexes on a relative basis the annual
turnover for the -2.5%/+2.5% and 5%/+2.5% band scenarios up to 30% and29%, respectively. The Russell 1000
Growth index had the largest annual
relative increase in turnover for the two
scenarios in 2022 with 63% and 64%,
respectively.

2c. Full Russell
Style recon in
SAR1 andupdate thelatest styleweights for new
adds only at
SAR2

SemiAnnual

1)2)-/+2.5%5%/+2.5%

To test impact to
R1/R2 Growth/Valueindexes using latest
Russell Style weights
for new adds only at
SAR2-2.5%/+2.5% band: Annual turnoverincreases marginally for the Russell 1000
Growth and Value indexes with anaverage increase difference of 31bps and13bps, respectively. The Russell 2000
Growth and Value indexes have arelatively larger annual turnover increase
with an average increase difference of
7.38% and 1.84%, respectively.
-5%/+2.5% band: Annual turnoverdecreases marginally for the Russell 1000
Growth and Value indexes with anaverage decrease difference of 20bps and26bps, respectively. The Russell 2000
Growth and Value indexes have arelatively larger annual turnover decrease
with an average decrease difference of
3.76% and 1.54%, respectively.

2d. Tranche
Russell Style
implementation
across two
index
reconstitution
periods

FTSE Russell

SemiAnnual

1)2)-/+2.5%5%/+2.5%

To test impact oftranche-ing
reconstitution Russell
Style changes forstocks staying in the
R1 or R2, across
SAR1 and SAR2
reconstitutions (50% of
share changes)
implemented at eachreconstitution).

Annual turnover is similar to 2c, withreconstitution turnover more evenly
spread in SAR1 and SAR2. SAR1
reconstitutions on average decrease by
over 35% and over 40% for all Russell
Style indexes in the two scenarios
respectively.

22

Russell US Indexes Consultation on Moving to a Semi-Annual Index Reconstitution Frequency

Appendix Table 4: Additions/Deletions/Turnover (%) of Russell 1000 at each Index Reconstitution
Reconstitution

Russell 1000 AR 2.5% band

Russell 1000 SAR 5%/2.5% band

Russell 1000 SAR 2.5% band+/Deletes
relative
to AR+/Turnover
relative
to AR+/- Adds
relative
to AR+/Deletes
relative
to AR+/Turnover
relative
to AR

Adds

Deletes

Turnover+/- Adds
relative to
AR

11

-

0.35

3

22

0.27

20

22

0.80

54

36

4.20

-28

-15

-0.77

-13

-15

-0.44

SAR2 2017

2

-

0.86

8

15

0.24

15

15

0.29

SAR1 2018

60

28

3.10

-42

-14

-1.02

-13

-13

-0.46

4

1

1.03

13

11

0.24

16

12

0.25

45

30

3.17

-15

-12

-0.30

-9

-10

-0.26

2

1

0.99

2

10

0.12

14

11

0.23

58

37

3.83

-13

-15

-0.25

-9

-14

-0.39

14

1

0.71

11

20

0.74

27

24

1.05

SAR1 2021

63

49

4.48

-21

-24

-0.74

-17

-17

-0.64

SAR2 2021

6

-

0.80

6

16

0.13

13

24

0.24

SAR1 2022

45

43

3.37

-16

-18

-0.37

-8

-9

-0.21

SAR2 2022

2

-

0.84

5

13

0.13

17

14

0.24

SAR2 2016
SAR1 2017

SAR2 2018
SAR1 2019
SAR2 2019
SAR1 2020
SAR2 2020

Appendix Table 5: Additions/Deletions/Turnover (%) of Russell 2000 at each Index Reconstitution
Reconstitution

Russell 2000 AR 2.5% band

Russell 2000 SAR 5%/2.5% band

Russell 2000 SAR 2.5% band

Adds

Deletes

Turnover+/- Adds
relative to
AR+/Deletes
relative
to AR+/Turnover
relative
to AR+/- Adds
relative
to AR+/Deletes
relative
to AR+/Turnover
relative
to AR

SAR2 2016

52

3

2.27

109

43

4.55

109

60

7.78

SAR1 2017

246

130

19.66

-78

-43

-6.4

-78

-28

-4.57

SAR2 2017

22

8

2.14

98

43

3.42

98

50

5.76

SAR1 2018

202

146

22

-68

-50

-10.44

-67

-21

-5.81

SAR2 2018

25

14

2.22

85

72

4.55

86

75

5.78

SAR1 2019

207

141

15.49

-48

-24

-3.69

-46

-18

-2.59

SAR2 2019

29

9

2.22

82

47

2.02

83

59

5.57

SAR1 2020

222

137

23.76

-51

-15

-6.68

-50

-11

-6.16

SAR2 2020

42

-

2.59

64

106

8.11

68

122

15.04

SAR1 2021

268

320

23.61

-46

-98

-7.5

-39

-94

-4.28

SAR2 2021

44

5

3.08

90

122

2.41

98

129

5.57

SAR1 2022

297

272

18.49

-54

-86

-4.73

-46

-79

-1.43

SAR2 2022

9

33

1.77

154

56

3.01

155

68

7.6

FTSE Russell

23

Russell US Indexes Consultation on Moving to a Semi-Annual Index Reconstitution Frequency

Appendix Table 6: Turnover (%) of Russell 1000 Growth at each Index Reconstitution
Russell
1000
GrowthAnnual2.5%
band

Reconstitution
SAR2 2016
SAR1 2017
SAR2 2017
SAR1 2018
SAR2 2018
SAR1 2019
SAR2 2019
SAR1 2020
SAR2 2020
SAR1 2021
SAR2 2021
SAR1 2022
SAR2 2022

Russell 1000 GrowthSemi-Annual
5%/2.5% band
5bps bottom Russell 3000 band

Full Style
Recon in
SAR2
0.46
22.66
0.79
23.02
0.80
26.08
0.90
28.54
0.59
24.00
0.73
26.28
0.80

12.75
-4.67
6.67
-1.44
12.15
-5.40
11.82
-5.18
13.57
-7.45
10.49
1.05
17.11

Style Weight
Change for
New Adds
Only in SAR2
0.45
-0.48
0.21
-0.55
0.40
0.06
0.07
-1.16
1.02
-0.26
0.13
-0.74
0.16

Russell 1000 GrowthSemi-Annual
2.5% band
5bps bottom Russell 3000 band

Tranche9.35-11.6011.41-11.82
11.23-14.87
13.44-10.86
10.73-12.12
12.46

Full Style
Recon in
SAR2
13.43
-3.76
5.71
-0.99
12.82
-5.61
11.25
-3.98
13.67
-7.52
10.49
0.37
17.52

Style Weight
Change for
New Adds
Only in SAR2
0.80
-0.35
0.27
-0.21
0.22
-0.25
0.17
0.17
1.47
0.09
0.26
-0.07
0.19

Tranche9.34-11.24
11.48-11.95
11.17-14.27
14.22-10.38
10.66-11.72
12.72

Appendix Table 7: Turnover (%) of Russell 1000 Value at each Index Reconstitution
Russell
1000
Value
Annual2.5%
band

Reconstitution
SAR2 2016
SAR1 2017
SAR2 2017
SAR1 2018
SAR2 2018
SAR1 2019
SAR2 2019
SAR1 2020
SAR2 2020
SAR1 2021
SAR2 2021
SAR1 2022
SAR2 2022

FTSE Russell

Russell 1000 Value
Semi-Annual
5%/2.5% band
5bps bottom Russell 3000 band

Full Style
Recon in
SAR2
0.36
24.11
0.93
23.96
1.23
27.54
1.08
36.34
0.83
25.26
0.88
25.79
0.87

12.27
-5.43
6.89
-1.05
11.41
-5.96
12.58
-6.73
14.13
-9.45
10.99
-0.93
17.43

Style Weight
Change for
New Adds
Only in SAR2
0.40
-0.84
0.29
-0.58
0.17
0.11
0.19
-0.78
0.51
-0.24
0.18
-0.64
0.11

Russell 1000 Value
Semi-Annual
2.5% band
5bps bottom Russell 3000 band

Tranche9.35-11.2810.62-12.4012.02-16.57
16.39-11.3411.71-12.00
11.20

Full Style
Recon in
SAR2
12.75
-4.08
6.20
-0.80
12.22
-6.03
12.32
-5.89
13.89
-9.55
11.05
-1.43
17.72

Style Weight
Change for
New Adds
Only in SAR2
0.89
-0.44
0.33
-0.31
0.30
-0.22
0.33
-0.27
0.76
-0.28
0.27
0.07
0.29

Tranche9.45-11.07
10.97-12.52
12.08-16.35
16.88-11.22
11.59-11.66
11.68

24

Russell US Indexes Consultation on Moving to a Semi-Annual Index Reconstitution Frequency

Appendix Table 8: Turnover (%) of Russell 2000 Growth at each Index Reconstitution
Russell
2000
GrowthAnnual2.5%
band

Reconstitution
SAR2 2016
SAR1 2017
SAR2 2017
SAR1 2018
SAR2 2018
SAR1 2019
SAR2 2019
SAR1 2020
SAR2 2020
SAR1 2021
SAR2 2021
SAR1 2022
SAR2 2022

Russell 2000 GrowthSemi-Annual
5%/2.5% band
5bps bottom Russell 3000 band

Full Style
Recon in
SAR2
2.41
43.68
2.22
55.48
2.64
45.30
2.86
58.02
3.22
57.25
3.71
57.45
1.81

24.33
-15.1420.14-25.7921.06-12.55
16.71-10.4427.52-13.86
19.62-12.4124.65

Style Weight
Change for
New Adds
Only in SAR2
4.22
-7.48
4.67
-17.69
8.32
-7.25
1.00
-5.91
13.25
-7.10
1.67
-9.62
5.04

Tranche15.27-30.44
21.13-18.61
12.48-20.6826.56-23.6618.67-26.33
20.23

Russell 2000 GrowthSemi-Annual
2.5% band
5bps bottom Russell 3000 band

Full Style
Recon in
SAR2
24.06
-10.2423.79-15.8421.37-10.88
22.76
-9.50
38.75
-14.36
28.31
-8.19
29.29

Style Weight
Change for
New Adds
Only in SAR2
6.48
-4.15
8.40
-7.10
7.53
-3.96
7.15
-6.99
26.23
-2.87
8.70
-2.01
10.67

Tranche18.55-19.3419.19-16.9720.30-21.3437.91-19.3524.02-19.3923.35

Appendix Table 9: Turnover (%) of Russell 2000 Value at each Index Reconstitution
Russell
2000
Value
Annual2.5%
band

Reconstitution
SAR2 2016
SAR1 2017
SAR2 2017
SAR1 2018
SAR2 2018
SAR1 2019
SAR2 2019
SAR1 2020
SAR2 2020
SAR1 2021
SAR2 2021
SAR1 2022
SAR2 2022

FTSE Russell

Russell 2000 Value
Semi-Annual
5%/2.5% band
5bps bottom Russell 3000 band

Full Style
Recon in
SAR2
2.14
41.15
2.04
40.12
1.74
39.06
1.53
47.41
1.82
52.28
2.48
48.43
1.72

20.61
-10.2919.64-11.32
16.94-10.81
18.48-10.1021.98-13.91
22.54
-8.10
23.67

Style Weight
Change for
New Adds
Only in SAR2
4.45
-6.13
4.20
-3.51
2.77
-5.89
3.09
-4.95
5.41
-6.80
4.23
-4.25
3.48

Tranche14.69-16.65
15.82-17.58
14.54-19.9020.34-23.5519.28-21.26
18.16

Russell 2000 Value
Semi-Annual
2.5% band
5bps bottom Russell 3000 band

Full Style
Recon in
SAR2
27.09
-10.06
21.44-11.61
19.83
-8.69
20.68
-7.59
26.78
-13.01
24.39
-6.99
26.10

Style Weight
Change for
New Adds
Only in SAR2
8.65
-4.24
4.74
-1.84
4.18
-1.26
4.36
-3.82
6.52
-3.77
3.25
-2.49
4.75

Tranche15.58-15.6717.39-14.3916.12-18.3821.50-20.9418.26-19.63
22.45

25

ABOUT FTSE RUSSELL
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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
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FTSE Russell® is a trading name of FTSE, Russell, FTSE Canada, FTSE FI, FTSE FI Europe, YB and BR. “FTSE®”, “Russell®”, “FTSE Russell®”, “FTSE4Good®”, “ICB®”, “The Yield
Book®”, “Beyond Ratings®” and all other trademarks and service marks used herein (whether registered or unregistered) are trademarks and/or service marks owned or licensed by
the applicable member of the LSE Group or their respective licensors and are owned, or used under licence, by FTSE, Russell, FTSE Canada, FTSE FI, FTSE FI Europe, YB or BR.
FTSE International Limited is authorised and regulated by the Financial Conduct Authority as a benchmark administrator.
All information is provided for information purposes only. All information and data contained in this publication is obtained by the LSE Group, from sources believed by it to be accurate
and reliable. Because of the possibility of human and mechanical error as well as other factors, however, such information and data is provided “as is” without warranty of any kind. No
member of the LSE Group nor their respective directors, officers, employees, partners or licensors make any claim, prediction, warranty or representation whatsoever, expressly, or
impliedly, either as to the accuracy, timeliness, completeness, merchantability of any information or of results to be obtained from the use of FTSE Russell products, including but notlimited to indexes, data and analytics, or the fitness or suitability of the FTSE Russell products for any particular purpose to which they might be put. Any representation of historical
data accessible through FTSE Russell products is provided for information purposes only and is not a reliable indicator of future performance.
No responsibility or liability can be accepted by any member of the LSE Group nor their respective directors, officers, employees, partners or licensors for (a) any loss or damage inwhole or in part caused by, resulting from, or relating to any error (negligent or otherwise) or other circumstance involved in procuring, collecting, compiling, interpreting, analysing,editing, transcribing, transmitting, communicating, or delivering any such information or data or from use of this document or links to this document or (b) any direct, indirect, special,consequential or incidental damages whatsoever, even if any member of the LSE Group is advised in advance of the possibility of such damages, resulting from the use of, or inability
to use, such information.
No member of the LSE Group nor their respective directors, officers, employees, partners or licensors provide investment advice and nothing in this document should be taken as
constituting financial or investment advice. No member of the LSE Group nor their respective directors, officers, employees, partners or licensors make any representation regarding
the advisability of investing in any asset or whether such investment creates any legal or compliance risks for the investor. A decision to invest in any such asset should not be made inreliance on any information herein. Indexes cannot be invested in directly. Inclusion of an asset in an index is not a recommendation to buy, sell or hold that asset nor confirmation thatany particular investor may lawfully buy, sell or hold the asset or an index containing the asset. The general information contained in this publication should not be acted upon withoutobtaining specific legal, tax, and investment advice from a licensed professional.
The information contained in this report should not be considered “research” as defined in recital 28 of the Commission Delegated Directive (EU) 2017/593 of 7 April 2016supplementing Directive 2014/65/EU of the European Parliament and of the Council (“MiFID II”) and is provided for no fee.
Past performance is no guarantee of future results. Charts and graphs are provided for illustrative purposes only. Index returns shown may not represent the results of the actual
trading of investable assets. Certain returns shown may reflect back-tested performance. All performance presented prior to the index inception date is back-tested performance.
Back-tested performance is not actual performance, but is hypothetical. The back-test calculations are based on the same methodology that was in effect when the index was officiallylaunched. However, back-tested data may reflect the application of the index methodology with the benefit of hindsight, and the historic calculations of an index may change frommonth to month based on revisions to the underlying economic data used in the calculation of the index.
This document may contain forward-looking assessments. These are based upon a number of assumptions concerning future conditions that ultimately may prove to be inaccurate.
Such forward-looking assessments are subject to risks and uncertainties and may be affected by various factors that may cause actual results to differ materially. No member of the
LSE Group nor their licensors assume any duty to and do not undertake to update forward-looking assessments.
No part of this information may be reproduced, stored in a retrieval system or transmitted in any form or by any means, electronic, mechanical, photocopying, recording or otherwise,
without prior written permission of the applicable member of the LSE Group. Use and distribution of the LSE Group data requires a licence from FTSE, Russell, FTSE Canada, FTSE
FI, FTSE FI Europe, YB, BR and/or their respective licensors.