Russell Reconstitution

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Russell Reconstitution

• Webcast www.indexuniverse.com/ www.nybot.com

May 21, 2004
Kelly Haughton Strategic Director, Russell Indexes
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Russell ReconstitutionKeep Indexes in Tune With
Market Reality

• Purpose
• Objectively and completely recalibrate
  capitalization, sector, and style indexes to
  ensure indexes measure intended segments.
• Result
• Truly representative style and capitalization
  indexes.

Why reconstitute annually? Extensive research
demonstrates that the annually reconstituted
Russell Indexes accurately represent the
capitalization segments that they are intended
to represent and minimize the turnover required
to reflect the segments as they change.1
Each month, Russell Indexes are rebalanced to
reflect significant changes in share capital.
1 Examining the Frequency of U.S. Reconstitution
By Grant Gardner, Andra Kondra and Mahesh
Pritamani, Investment Policy Research, Frank
Russell Company July 6, 2001
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Russell Reconstitution2004 Changes

• Last Friday in June (June 25)
• NASDAQ Closing Cross
• Publishing of Provisional Returns

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Russell Reconstitution2004 Market Conditions

• Broker projections Lower turnover
• Higher in Russell index funds
• More Liquid Russell Derivatives

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