Methodology overview
Russell Global Indexes
How Russell Global Indexes are built
Transparent
FTSE Russell’s methodology is constructed using transparent rules,
written to be easily understood by any financial professional. So your index
is predictable.
Unbiased rules
FTSE Russell follows published rules, allowing the market to determine
which companies are included in the indexes, ensuring a true reflection
of stock market performance. We use an unbiased ranking of each
company’s market capitalization relative to the whole global market,
rather than comparing it only to other stocks in its country or region of
origin. This allows investors to measure their own exposure to market cap
segments more accurately across the globe.
Float adjusted
Russell, which pioneered the now industry standard float adjustment
in 1984, adjusts its index membership weights for float shares globally.
Regular index maintenance
The indexes are regularly and proactively maintained to reflect the
impact of global markets. Updates such as daily corporate actions,
quarterly IPO inclusions and share adjustments and annual total
reconstitution ensure that the indexes accurately represent the true
global opportunity set while balancing turnover costs.
ftserussell.com
A global view
The indexes represent the investable
global equity market and its segments
comprehensively and transparently.
Consistent with the design of the Russell
US Index Series, it is constructed using
float-adjusted market capitalization weights
and represents approximately 98% of the
investable global equity market. Our modular
index design supports a broad spectrum of
sub-indexes based on country, region, sector,
size or other customized needs. All subindexes roll up to the top level global index
with no gaps or overlaps.
Global equity securities
• ~70,000+ exchange
traded equity securities
Global investable universe
• Remove ineligible
securities
• Apply size and liquidity
screens
• Rank in descending order
by total market cap
Russell Global Index
• Capture 98%
• Adjust for float
• 46 countries
• ~10,000 securities
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FTSE Russell
Russell Global Indexes
Methodology summary
Modular and easy to use
The Russell Global Indexes are built from a company-level, as opposed
to a country or regional level, perspective. Companies are added as
they gain adequate size and liquidity, rather than being excluded based
on location. This translates into deep and broad coverage, which
reflects the global opportunity set.
A world of possibilities
Purpose
The modular index design supports a
broad spectrum of sub-indexes based
on country, region, sector, size or other
customized needs. All sub-indexes roll up
to the top-level global index with no gaps
or overlaps.
•Act as a performance benchmark for active managers
•Serve as a tool for helping with asset allocation
•Serve as the basis of passively managed investment funds
Global
10,000 stocks
Regional
25 regions
Determining index membership
•Review macroeconomic and market (operational) criteria to classify
countries as developed or emerging markets
•Assign securities to their home countries—each security is included
in one, and only one, country
•Rank eligible global stocks in descending order by total market cap
•Capture the top 98% of global cumulative market cap, and insert the
Russell 3000 Index as the US component
•Derive each security’s weight in the index using float-adjusted
market capitalization
Sector
9 Russell
classifications
Emerging
Country
46 countries
Subsectors
33 Russell
classifications
Developed
Industry
157 Russell
classifications
Capitalization
Large, Mid,
Small, All
Custom
Maintenance
•Stocks deleted between reconstitution dates are not replaced
•Spin-offs are added between reconstitution dates
•IPOs that meet FTSE Russell’s membership rules are added toward
the end of the quarter
•Dividends are reinvested daily on the ex-date
Exclusions
•Securities with inadequate liquidity
•Blank check companies
•Bulletin board and pink sheet stocks (with some global exceptions)
•Closed-end investment companies
•Depositary receipts (some exceptions apply when primary issue fails
liquidity threshold)
•Exchange Traded Funds (ETFs) and mutual funds
•Installment receipts
•Limited-liability companies (with some country exceptions, such as
Netherlands)
•Limited partnerships
•Trust receipts and royalty trusts
•Warrants and rights
Methodology overview
A complete description of index
construction and methodology is available
at: ftserussell.com
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Russell Global Indexes
FTSE Russell
For more information about our indexes, please visit ftserussell.com.
© 2017 London Stock Exchange Group companies.
London Stock Exchange Group companies includes FTSE International Limited (“FTSE”), Frank Russell Company (“Russell”),
MTS Next Limited (“MTS”), and FTSE TMX Global Debt Capital Markets Inc (“FTSE TMX”). All rights reserved.
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its licensors for any errors or for any loss from use of this publication.
Neither the London Stock Exchange Group companies nor any of their licensors make any claim, prediction, warranty or
representation whatsoever, expressly or impliedly, either as to the results to be obtained from the use of the FTSE Russell
Indexes or the fitness or suitability of the Indexes for any particular purpose to which they might be put.
The London Stock Exchange Group companies do not provide investment advice and nothing in this document should be
taken as constituting financial or investment advice. The London Stock Exchange Group companies make no representation
regarding the advisability of investing in any asset. A decision to invest in any such asset should not be made in reliance 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. The general information contained in this publication should not be acted upon without obtaining specific
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No part of this information may be reproduced, stored in a retrieval system or transmitted in any form or by any means,
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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 backtested 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 officially launched. 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 from month to month based
on revisions to the underlying economic data used in the calculation of the index.
Methodology overview
3
FTSE Russell
Russell Global Indexes
About FTSE Russell
FTSE Russell is a leading global index provider creating and managing a wide
range of indexes, data and analytic solutions to meet client needs across
asset classes, style and strategies. Covering 98% of the investable market,
FTSE Russell indexes offer a true picture of global markets, combined with
the specialist knowledge gained from developing local benchmarks around
the world.
FTSE Russell index expertise and products are used extensively by
institutional and retail investors globally. More than $10 trillion is currently
benchmarked to FTSE Russell indexes. For over 30 years, leading asset
owners, asset managers, ETF providers and investment banks have chosen
FTSE Russell indexes to benchmark their investment performance and create
investment funds, ETFs, structured products and index-based derivatives.
FTSE Russell indexes also provide clients with tools for asset allocation,
investment strategy analysis and risk management.
A core set of universal principles guides FTSE Russell index design and
management: a transparent rules-based methodology is informed by
independent committees of leading market participants. FTSE Russell is
focused on index innovation and customer partnership applying the highest
industry standards and embracing the IOSCO Principles. FTSE Russell is
wholly owned by London Stock Exchange Group.
For more information, visit ftserussell.com.
To learn more, visit ftserussell.com; email [email protected]; or call your
regional Client Service Team office:
EMEA
North America
Asia-Pacific
+44 (0) 20 7866 1810
+1 877 503 6437
Hong Kong +852 2164 3333
Tokyo +81 3 3581 2764
Sydney +61 (0) 2 8823 3521
Methodology overview
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