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TheAlgorithm
PR3000 definition?

Can someone clarify the definition for PR3000 universe?

I noticed there's stocks with market caps as low as $3m in the PR3000 universe which conflicts with my assumption that PR3000 is similar to the Russell 3000. The minimum market cap on the Russell 3000 is around $150m so something seems off.

Mar 19, 2019 3:39:27 PM       
marco
Re: PR3000 definition?

We do not license Russell indexes, we create our own versions, hence the "P" in front.

This is what we do: we reconstitute once a year , just like Russell, with rules as close as possible to the ones Russell publishes. We cannot faithfully re-create all their criteria, some of which we believe is by hand, so we usually match at around 98-99%. The PR3K starts off at 3,000 companies at the end of March and is around 2873 stocks now. So ~120 stocks were lost due to either M&As or BKs. A reconstitution is due very soon I believe.

The small stock in PR3K like SGYPQ , currently at $3M, was around $500M last year. It's probably not currently in the Russell 3000 because maybe they manually prune during the year. We do not, we only reconstitute once a year.

Does this help?

Portfolio123 Staff.

Mar 19, 2019 4:38:49 PM       
TheAlgorithm
Re: PR3000 definition?

Yes. Thank you.

Mar 19, 2019 10:36:38 PM