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What You Need To Know Ahead Of Today's Annual Russell Rebalance
Want to try and frontrun an index rebalancing? There’s a formula for that.
The Russell 3000 — to which more than $5 trillion in assets were benchmarked as of 2013 — will be reconstituted next month based on market capitalizations calculated at the end of trading today. Here’s the schedule:

Clearly, correctly anticipating which names will ultimately be added or dropped has the potential to produce outsized gains as portfolio managers will need to rebalance to match the composition of the index. It’s possible to attempt this ahead of time using Russell’s own methodology and indeed, Wall Street employs strategists whose job it is to do just that.
H.C. Wainwright has attempted the exercise, and for those interested, the results are below.
Given the size of the exchanging pie, the attraction of properly anticipating the changes associated with the potential for lucrative trading gains captivates bulge-bracket firms, independent research houses, and money managers alike in postulating on how the cards might fall on that last business day in May when Russell reconstitution market capitalizations are calculated.
The dynamics are not missed by the academic community either, and the index reshuffling process has attracted the attention of various financial scholars in attempt to map the effectiveness of gaming the index changes. With this paper, we attempt to offer a snapshot of the task required and the scope of inherent difficulties in forecasting changes in the Russell universe while offering a stab at the process ourselves. As a backdrop and according to people we talked with, there are in the range of 20 to 30 people in the global FTSE-Russell research and production group that sift through available public information in determining constituent index members. Other firms that have tackled the exercise, such as Deutsche Bank, have certified strategists and statistics experts embedded in highly qualified teams of research people in effort to predict the Russell transformation. Furthermore, there are independent research firms that have made ‘playing with Russell’ a core competency, and New York-based Investment Technology Group serves as an example of a company’s focused quantitative index study in addition to the host of other strategic analytic work that particular firm conducts…
Methodology of the reconstitution itself.
No, we’re not referring to the illustrious document that framed our nation, but instead the process Russell follows to create the backbone of the index. This discussion is interesting from a number of perspectives: (a) gaining an understanding of the general process as outlined by Russell’s Construction and Methodology document (the company’s effort to provide transparency to the construction process); (b) offering a backdrop for the discussion of introduced errors in mimicking Russell’s process; and (c) acquiring an appreciation for the nuances and complexity involved in the process despite the transparency and predictability Russell claims is evident.
Yes, the process is clearly explained in Russell’s documentation, but the execution is not nearly as easily followed as one might first think, in our experience.
Essentially, the investment bank has used market capitalizations from May 20 and the following algorithm in an effort to predict additions and deletions…

Here are the results...
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What you need to know...
BTFD
Agreed. Buy the fucking dip.
https://www.youtube.com/watch?v=0akBdQa55b4
BTFD, BTFATH, BTFFM, just fucking buy......... oh, and add plenty of leverage too.
That was posted March, 2014. Wow. If you had listened to it and borrowed money at -0.1% and bought a zillion shares of AAPL, you'd have enough by now to buy a Clinton!
For but a few cows and a goat and you can have .....
http://www.sugardaily.ng/hide-ya-kids-kenyan-man-offers-obama-50-cows-70...
Being the bearer of civilized news is a terrible job, but somebody's got to fuck with everything
Do you have any idea how much 50 Cows, 70 Sheep, and 30 Goats cost? I'd suspect not a man on the south side of Chicago could afford that.
Good point! That gentleman is more wealthy than 80% of americans most likely. A very worthy suitor for the POTUS' daughter.
Scroll quickly through that list. Some of the pages are a little crooked. Sombody ran actual paper through a copier or scanner to get that list.
Did the Tylers get a bootleg copy of somebody's research here?
shh, mind the black helicopters!
Why? Are they going to rain money down on us?
No. Black helicopters are for black people, silly.
Otherwise it'd be....
holding hands up, coaching the peanut gallery audience
Racist!
Yes, I do believe that there is indeed some silver inside of the missiles that are fired from them.
Unfortunately, it tends to get vaporized with the target.
http://www.eaglepicher.com/ips-2/missiles