| Field | Value | Source text | Reading (model) |
|---|---|---|---|
| G1 Scope, precedence and principles · 6 fields | |||
| Construction methodology reference | https://www.lseg.com/en/ftse-russell | Construction and methodology for the Russell US Indexes can be accessed on https://www.lseg.com/en/ftse-russellOpen p.3 ↗ |
Construction and methodology information for the Russell US Indexes is available on the LSEG FTSE Russell website. |
| Covered indices | Russell US Indexes | This document describes FTSE Russell’s general index calculation methodology for the Russell US Indexes.Open p.3 ↗ |
The methodology covers FTSE Russell's general index calculation methodology for the Russell US Indexes. |
| Principles | Index values measure the time-weighted return of constituent share holdings., Share changes from corporate actions or reconstitution are treated as implied cash flows and do not by themselves change the index value., Index value changes result only from price gains or income generated by holdings. | The return that an index value is designed to measure is the time-weighted return of the holdings.Open p.3 ↗ |
The indexes are designed to measure the time-weighted return of holdings, neutralizing share changes as implied cash flows and reflecting only price gains or income. |
| Administrator | FTSE Russell | FTSE Russell is a trading name of FTSE International Limited, Frank Russell Company, FTSE Global Debt Capital Markets LimitedOpen p.3 ↗ |
FTSE Russell, a trading name of FTSE International Limited and related companies, is the index provider named in the methodology. |
| Rulebook version | v1.2 | Russell Index Calculation Methodology, v1.2, September 2026Open p.1 ↗ |
The Russell Index Calculation Methodology is version 1.2. |
| Effective date | 2026-09-01 | Russell Index Calculation Methodology, v1.2, September 2026Open p.1 ↗ |
The methodology is dated September 2026; no specific day of month is stated. |
| G2 Calculation and publication · 13 fields | |||
| Market value basis | Daily beginning and ending market values are calculated from constituent share positions multiplied by closing prices. | Index holdings are valued on a daily basis using closing prices.Open p.4 ↗ |
Index holdings are valued daily using share positions and closing prices to determine beginning and ending market values. |
| Net return special dividend treatment | Special cash dividends are excluded from cash dividends in net return calculations because they are already reflected in adjusted beginning market value. | Special cash dividends are not included in cash dividend calculations as they are already accounted for within the ABMV calculation.Open p.7 ↗ |
Special cash dividends are not included in net-return cash dividends because they are already accounted for in adjusted beginning market value. |
| Currency conversion formula | Foreign-currency daily return equals one plus local return multiplied by the spot-rate ratio, minus one. | Daily Index return in foreign currency: IndexReturn_FC i (n) = (1+ IndexReturn_LOC(n)) * (S(i) (n)/S(i) (n – 1)) – 1Open p.6 ↗ |
Country index returns are converted to foreign currencies using daily local returns and spot exchange-rate ratios. |
| Hedged returns | Hedged returns use forward contracts to offset currency exposure and are calculated for the U.S. index series from a non-U.S. investor viewpoint. | Hedged returns are also calculated for the U.S. index series from a non-US investor’s viewpoint.Open p.8 ↗ |
Hedged returns use forward currency contracts and are calculated for the U.S. index series from a non-U.S. investor perspective. |
| Formula type | Chain linked | The price return of the index for day t is calculated, and the corresponding price return index value IVt at the end of the day is updated by:Open p.4 ↗ |
Daily index values are updated by chain-linking the day's beginning and ending market values to the prior index value. |
| Return variants | PR, GTR, NTR | Indexes are calculated in “local currency” with price, total and net returns.Open p.3 ↗ |
Indexes are calculated with price, total return, and net return variants. |
| Dividend treatment | Regular cash dividends: Added to ending market value on the ex-date; Special cash dividends: Subtracted from beginning market value on the ex-date and excluded from cash dividend additions | For a total return index, dividend amounts are handled on the ex-dates.Open p.4 ↗ |
For total return indexes, regular cash dividends are added to ending market value on the ex-date, while special cash dividends are subtracted from beginning market value. |
| Withholding tax basis | Country-specific withholding tax rate applicable to foreign investors, applied to cash dividends. | Net returns are calculated to provide applicable returns to foreign investors who are subject to a foreign tax withholding on dividends received.Open p.7 ↗ |
Net returns are calculated for foreign investors subject to dividend withholding tax, applying the country tax rate to cash dividends. |
| Divisor adjustment rule | The methodology does not explicitly describe a divisor; share changes after the close are incorporated into next-day beginning market value so that index value changes arise only from prices and income. | Also after the close, the shares of securities are adjusted (for corporate actions or reconstitution, for example).Open p.4 ↗ |
After the close, share positions are adjusted and valued at that day's closing prices to form the next day's beginning market value. |
| Divisor adjustment events | corporate actions, Reconstitution, other changes in number of shares | Also after the close, the shares of securities are adjusted (for corporate actions or reconstitution, for example).Open p.4 ↗ |
Share positions are adjusted after the close for corporate actions, reconstitution, and other changes in share quantity. |
| Calculation frequency | Daily, five days per week from Monday to Friday. | Indexes are calculated five days a week, from Monday to Friday.Open p.3 ↗ |
Indexes are calculated daily, five days a week, Monday through Friday. |
| Calculation times | Beginning market value: Shares for day t are valued at the prior day's closing prices; Ending market value: After the close on day t using that day's closing prices | The share positions to be held on day t, valued at the closing prices from day t–1 (the night before day t), gives the beginning market value BMVt on day t:Open p.4 ↗ |
Beginning market value uses the previous night's closing prices, and ending market value and index values are calculated after the close. |
| Currency | Base calculation: local currency; Converted currencies: AUD, CAD, CHF, EUR, GBP, JPY, SGD, ZAR, USD | Indexes are calculated in “local currency” with price, total and net returns.Open p.3 ↗ |
Russell index values are initially calculated in local currencies and may be converted into AUD, CAD, CHF, EUR, GBP, JPY, SGD, ZAR, and USD. |
Open points · 12Model-written, for reference
- 1No explicit precedence rule stating whether this general calculation methodology or an individual index methodology prevails was found.
- 2No specific calendar effective day was provided; the document only states September 2026.
- 3No real-time calculation interval or intraday publication time was found; the supplied rules describe daily closing-price calculations.
- 4No number of decimal places for published index levels was found.
- 5No publication channels or vendors for index levels were found.
- 6No literal divisor formula was found; the methodology instead uses daily beginning and ending market values and chain-linked index values.
- 7Not coveredG3 Prices and market data: not covered by this edition
- 8Not coveredG4 Corporate events: not covered by this edition
- 9Not coveredG5 Shares, free float and weight factors: not covered by this edition
- 10Not coveredG6 Disruption, emergencies and corrections: not covered by this edition
- 11Not coveredG7 Review and constituent changes: not covered by this edition
- 12Not coveredG8 Governance, changes and termination: not covered by this edition
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