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Raising the bar for index reconstitution: a historic day for the Russell 2000 index

Annual Reconstitution (rebalance) of the Russell indexes took place on June 24 this year — the same day the world woke up to a "Yes" result in the UK’s so-called Brexit vote. The unexpected vote by the UK to leave the European Union sent currency and equity markets worldwide into a temporary tailspin. That such a significant geo-political event happened on Reconstitution day was unprecedented. That the market was able to process the additional volume brought on by Brexit and Reconstitution was several decades in the making. Volatility peaked the Monday after Reconstitution, moderating shortly thereafter.
 

Implied Volatility

CBOE Russell 2000 Volatility Index (RVX) April 1-August 15, 2016

Take a deeper look — Small Cap Perspectives 2Q2016

Quarterly Small Cap Perspectives looks at Reconstitution, Brexit, performance and volatility. The comprehensive report and market commentary analyze 2Q market activity through the lens of the Russell 2000® Index. It includes more than 20 data exhibits, providing a 360° view of the US small cap equity market.

Download the report >

 

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