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Stats › Cotations, IPO et opérations sur titres › Reconstitution Russell

The Russell reconstitution effect is one cell of a table, and the rule it depended on changed in 2007

Bandwidth 50 t = 3.13: 0.110+0.110Bandwidth 50t = 3.13Bandwidth 100 t = 2.65: 0.050+0.050Bandwidth 100t = 2.65Bandwidth 200 t = 1.84: 0.022+0.022Bandwidth 200t = 1.84Bandwidth 300 t = 0.91: 0.009+0.009Bandwidth 300t = 0.91

The June addition effect at the Russell 1000 and 2000 boundary, local linear fit, 1996 to 2012. The widely quoted figure is the bandwidth 100 cell. The two wider bandwidths are not statistically significant, and the narrowest is more than double the headline. The quadratic fits move differently again: 0.061 and not significant at bandwidth 50, then 0.110 at 100.

The often quoted five percent reconstitution effect is one cell of a table. The same regression gives eleven percent at a narrow bandwidth and nine tenths of one percent, not significant, at a wide one. Russell's 2007 banding rule then cut index switching by two thirds.

5.0%June boundary discontinuity at bandwidth 100, t = 2.65
11.0% and 0.9%The same estimate at bandwidth 50 and at bandwidth 300
About 10% to about 3%Russell 1000 firms switching down each year, before and after banding
29.8% to 11.6%Russell 2000 reconstitution turnover, 1996 to 2005 against 2006 to 2025

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