NEWS RELEASE
What to Expect When the Russell Indexes
Rebalance
New
Analysis by IntelliBusiness Highlights What Investors Can Anticipate Prior to
and Following the Russell Rebalancing on June 25 - One of the Heaviest Trading
Days of the Year
Princeton, NJ,
June 23, 2010 - IntelliBusiness, Inc.,
an innovative provider of web-based event-driven analytics, announced the
availability of a study that provides insight into what investors are likely to
encounter on June 25, 2010 - the day when the Russell indices are rebalanced
in what is typically considered one of the busiest trading days in any given
year. The Russell indices are an
important barometer for both active and passive investors - there is
approximately $4.3 trillion tracking the over two dozen indices compiled by Russell
Investments. In addition
to significant trading volume, this year’s rebalancing will be marked by lower
market capitalization thresholds and movement between investment styles (ie
growth and value) and among market sectors.
eventVestor,
the web-based research platform from IntelliBusiness
for event analysis, event screening, and benchmarking stock price
reaction to key events, analyzed the past three years of trading information in
the weeks prior to and following the Russell rebalancing.
Anju
Marempudi, founder and CEO of IntelliBusiness, stated, "This year, the Russell
rebalancing will once again be a day marked by big trading volume as its various
indices are reconstituted. The
impact of rebalancing can be seen in the stock price performance of the various
Russell index constituents once the preliminary lists are determined in
mid-June. Just as important, there
is often a lingering effect from movements into and out of various Russell
indices that investors should appreciate. With
the ability to include and exclude over 100 different event types in addition to
the Russell rebalancing, eventVestor is the perfect platform to help investors
gain greater insight into how they can improve returns and minimize risk in the
weeks leading up to and following this annual event."
eventVestor's analysis of the past three annual rebalancings
revealed the following highlights:
-
Stocks added to
Russell 1000 index (and new to Russell 3000) gained about 4.6% during the 6-week
period prior to the rebalance day.
-
Stocks to be
deleted from Russell indexes in 2010 have lost nearly 12.6%
on average relative to Russell 2000 index since May 14, 2010 (2-weeks
prior to the ranking of stocks by Russell) while stocks to be added to Russell
3000 have gained 2.7% during the same period.
Performance Trends:
|
Russell Rebalance Change |
Overall |
6 weeks prior |
2 weeks prior |
Rebalancing Day |
2 weeks following |
4 weeks following |
|
Added
to the Russell 1000 (New to R3000) |
2.3% |
4.6% |
0.5% |
0.2% |
-0.4% |
-2.3% |
|
Moved
from Russell 2000 to Russell 1000 |
5.4% |
7.8% |
3.6% |
-0.6% |
-0.7% |
-2.4% |
|
Moved
from Russell 1000 to Russell 2000 |
-7.5% |
-14.2% |
-9.9% |
2.8% |
-4.9% |
6.7% |
|
Added
to the Russell 2000 (New to R3000) |
5.0% |
4.3% |
0.4% |
1.6% |
0.9% |
0.7% |
|
Deleted
from Russell 2000 |
-16.6% |
-5.9% |
-2.2% |
-6.7% |
-14.0% |
-10.6% |
Volume
Trends:
The
day that the Russell Indices are rebalanced is marked by substantially higher
trading volume for all affected stocks.
Among the key highlights are the following:
|
Type |
Overall Impact (on rebalance day) |
|
Added
to the Russell 1000 (New to R3000) |
1.5
times average daily trading volume |
|
Moved
from Russell 2000 to Russell 1000 |
4.6
times average daily trading volume |
|
Added
to the Russell 2000 (New to R3000) |
9.4
times average daily trading volume |
|
Moved
from Russell 1000 to Russell 2000 |
4.0
times average daily trading volume |
|
Deleted
from the Russell 3000 |
6.9
times average daily trading volume |
About
IntelliBusiness
IntelliBusiness is a leading, innovative provider of
financial and business data, research, analytics, and dynamic data visualization
platform and services for better investment analysis and business
decision-making. The Company's eventVestor
research platform uniquely combines company and market key developments data
with sophisticated tools for event analysis, event screening, and benchmarking
stock price reaction to key events. Providing
a unique combination of events data, analytics, and state-of-the-art web-based tools,
eventVestor is designed to help clients minimize the time and effort required to
analyze the financial impact of corporate and peer group key development events
for better business decisions and investment ideas.
Websites: www.intellibusiness.com;
www.eventVestor.com. Russell
is a trademark of the Russell Investment Group.
Contact:
Anju Marempudi
Founder and CEO
IntelliBusiness/eventVestor
609.945.4973
The content in this report is provided for informational purposes only, is not to be construed as a recommendation or offer to buy or sell or the solicitation of an offer to buy or sell any security, financial product or instrument; or to participate in any particular trading strategy. The information contained herein has been taken from sources we deem reliable but we do not represent that such information is accurate or complete and it should not be relied upon as such. No guarantee or warranty is made as to the reasonableness of the assumptions or the accuracy of the models or market data used by IntelliBusiness and eventVestor or the actual results that may be achieved. These materials do not provide any form of investment, tax or legal advice . IntelliBusiness, Inc. is not a registered investment adviser and does not provide investment advice or recommendations to buy or sell securities, to hire any investment adviser or to pursue any investment or trading strategy. All functionality and information described herein is subject to change without notice. The Russell Investment Group is not affiliated with IntelliBusiness, Inc. Russell™ is a trademark of the Russell Investment Group. The Russell 1000®, Russell 2000®, and Russell 3000® indices are trademarks of the Russell Investment Group.
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