TECH TUESDAY is a weekly content series covering all aspects of capital markets technology. TECH TUESDAY is produced in collaboration with Nasdaq.
This year, 2.55 billion shares representing $61.7 billion were executed in .86 seconds during the Russell Reconstitution on June 23, 2023.
The annual Reconstitution of the entire family of Russell US indexes, when each Russell index is rebalanced to reflect its intended size and style segmentation, is a crucial day for asset managers as they rebalance portfolios to reflect these changes.
Approximately $12T in assets across ETFs, mutual funds, insurance products and passive assets are benchmarked to Russell indexes, equivalent to 26% of all U.S. market cap (as of May 31st, 2023, per FactSet data). As a result, it is also one of the most widely anticipated days for the U.S. equity markets and typically results in the largest trading volumes of the year for the closing auction.
“The annual reconstruction serves as a vital benchmark for investors and market participants,” said Arne Staal, Chief Executive Officer of FTSE Russell. “[It] is essential in assuring our Russell US Indexes maintain accurate market representation on the continuously evolving diverse segments of the US equity markets.”
This year’s Reconstitution was the 20th consecutive year that the Nasdaq Closing Cross was used for this exceptional market event.
Nasdaq’s Closing Cross facilitates robust price discovery, which enables investors to offset imbalances and receive timely and sizable executions at 4:00 p.m. E.T. each trading day. Nasdaq calculates the price to maximize the number of shares matched based on on-close and continuous market orders and executes the cross at the single Nasdaq Official Close Price. The Closing Cross comprised an average of 13.6% of Nasdaq’s total daily traded volume in 2022.
“The FTSE Russell indexes provide insight and intelligence into the global equity markets and serve as a benchmark for a vital ecosystem of financial products. The combination of Nasdaq’s best-in-class Closing Cross and FTSE Russell’s global index franchise greatly benefits the investing public,” said Chuck Mack, Head of Strategy for Nasdaq’s North American Trading business, during closing bell.
On average, the 2023 daily Nasdaq Closing Cross volume through June 21st, 2023, was 206 million shares, or $15.9 billion in value. By comparison, the 2023 Russell Reconstitution was 2.55 billion shares or $61.7 billion in value.
For more on the Nasdaq Closing Cross’ 20th year facilitating the Russell Reconstitution, watch our video.
Creating tomorrow’s markets today. Find out more about Nasdaq’s offerings to drive your business forward here.
