FTSE Russell regularly consults the market on changes to the methodology of its indices to ensure that the indices continue to meet investors’ requirements and define and lead global standards in indexing. The proposals set out in the various consultation documents are included in order to gather valuable market feedback and may or may not result in changes to FTSE Russell methodologies.
Live consultations
Russell US Indexes Consultation on Moving to a Semi-Annual Index Reconstitution Frequency
FTSE Russell is seeking the market’s views on the following potential methodology enhancements to reduce the current trade size on the Russell reconstitution effective day:
- Whether FTSE Russell should add a second Russell reconstitution on the 3rd Friday of November of each year, in addition to the current 4th Friday in June.
- Whether to widen the band between the Russell 1000 and Russell 2000 Indexes, from the current -/+2.5% (5% total) based on 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).
- 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:
o 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).
o Tranche the implementation of June Russell Style Indexes weight changes across June and November reconstitution periods.
The consultation closes on 31 December, 2023
Please note that this consultation will be run in line with FTSE Russell’s Policy for Benchmark Methodology Changes.
Should you wish to discuss the consultation with FTSE Russell, please contact committeesecretary@ftserussell.com or info@ftserussell.com.
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.
Changes to the Russell US Indexes reconstitution will be subject to further review by FTSE Russell’s internal governance forums and decided by FTSE Russell’s Index Governance Board. FTSE Russell reserves the right to conduct further consultations as necessary.
FTSE Global Core Infrastructure 50/50 Index Market Consultation
FTSE Russell is seeking the views of index users on the proposal to modify existing capping and investability ground rules.
The FTSE Global Core Infrastructure Index was launched in March 2011. The FTSE Global Core Infrastructure 50/50 Index was launched March 2015 and applies sector weight targets to the uncapped FTSE Global Core Infrastructure Index universe.
Recent market events, particularly the reclassification of Russia from an Emerging Market to Unclassified market, has resulted in an increase in the weights of other emerging countries such as India, China and Mexico. Additionally, sector capping has decreased exposure of developed countries like Canada, Australia, Japan and the UK. Railroads has been notably impacted.
In an effort to address concerns, FTSE Russell is considering enhancements to the index methodology and would like the view of index users on whether they feel the following methodology changes are necessary and appropriate:
- Adjusting the capping methodology with a view to improving index diversification across the opportunity set of infrastructure sectors,
- Addressing any perceived concentration risk between Developed and Emerging Markets
- Improving investability though introduction of minimum liquidity thresholds.
The consultation closes on 31 December, 2023
Please note that this consultation will be run in line with FTSE Russell’s Policy for Benchmark Methodology Changes.
Should you wish to discuss the consultation with FTSE Russell, please contact committeesecretary@ftserussell.com or info@ftserussell.com.