Min MktCap and other data in PRussell1000 can be far off from the real Russell1000?

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1

Hi,

Not sure if I am doing something wrong in my custom series.

  1. I was initially looking at what the min $ daily traded is over time for a custom universe in a custom series → is that UnivMin(“1”,“avgdailytot(1)”) + a daily plot?

  2. Then I started checking a few things with the PRussell1000 universe:

  • the Min market cap exhibits quite a bizarre pattern (goes up every year late May / early June)…
  • and also seems really off when compared to the numbers from FTSE Russell

For example: 26 May 2016 → Min mkt cap should be $1978m but is about $50m in the custom series
See the (public) custom series here → https://www.portfolio123.com/app/series/summary/7183?st=0&mt=8

  1. When I look at the min $ daily traded over time for the PRussell 1000 universe, it comes out as about $800k traded everyday (might not be the same stock every day). This feels small (and wrong?)

Is that all explained by the fact that the PRussell1000 is not an exact replicate of the Russell 1000 (and the annual “reset” of the replicate is late May / early June)? Or did I do my custom series wrong?
It seems that the differences are quite large e.g. $50m vs $1978 of Mkt Cap

Thanks,

Jerome

PR1k min MktCap.JPG
PR1k min MktCap.JPG1566×386 48.6 KB

2

P123? Anyone?

3

Russell reconstitutes once a year and so do we.

Their ~2B min cap seems close to ours around the reconstitution dates. The lows you are seeing are due to a handful of stocks that are , probably, going BK. In other words this series is not very useful.

Not sure what Russell does when reporting their cap ranges. Not sure if it’s time weighted. For sure they eliminate these outliers.

4

OK - Thanks.