Paras Madho is a Director of the Market Watch & Corporate Actions, Global Corporate Client Group for NYSE Euronext (NYSE: NYX). In this...
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Russell Reconstitution Volume
Friday night's a big night for the Russell, the family of indexes. Once a year in June, a few hundred companies come in or out of these indexes. Any company that qualifies is added and any company that no longer qualifies is deleted, some companies in the Russell 1000 might come out and go into the Russell 2000 or another index or vice versa. At 6pm on June 24, those changes, also known as the reconstitution, become final.
Mutual funds and portfolios that track the Russell indexes are buying and selling these securities and that creates volume in these companies securities. Watch for an increase volume in certain individual companies. Most of the emphasis, will be focused on the close today, particularly the last twenty minutes or so, a surge in volume is expected as traders come in to buy stocks moving into a certain index or drop stocks expected to fall out of an index. This is because the pricing is tied to the closing price in the individual stocks today, so it all triggers off of today’s closing price.
View from the Trading Floor
According to the trading floor, expect to see significant volume, but not as impactful as last year. The anticipation that had been building toward the close of today has subsided somewhat, partly because of the recent volatility in the market. Last year, on the Russell rebalancing, almost 7.5 billion shares were traded on the NYSE alone – compared to 4.8 billion on average day, and the NYSE closing volume alone was over 1.2 billion, compared to an average of 137 million.
The final lists for which companies are in and out of the various Russell indexes is due out on Monday, June 27th. The reconstitution also impacts all of Russell’s other indexes, including the Russell 1000 Index, Russell 2000 Index, etc., although adds and deletes to these indexes are only available to Russell clients.
June 10 -- Preliminary additions and deletions to the Russell Global, Russell 3000, and Russell Microcap, Indexes were published.
June 17 -- Updates to the June 10th lists of additions and deletions will be posted after 6 p.m. today, June 17, 2011.
June 24 -- Reconstitution is final, changes to each index go into effect after the close of US markets
June 27 -- Final Reconstitution list is posted