September 17, 2007
The Russell Investment Group produces a range of Global and U.S. equity indexes.
At their http://www.russell.com/Indexes/ site they have the following to say about their American indexes:
"Russell produces a family of U.S. equity indexes. The indexes are market cap-weighted and include only common stocks incorporated in the United States and its territories. All U.S. indexes are subsets of the Russell 3000E Index, which represents approximately 99% of the U.S. equity market…..Excluding stocks trading below $1.00, pink sheet and bulletin board stocks, closed-end mutual funds, limited partnerships, royalty trusts, etc, non-U.S. incorporated stocks, foreign stocks, American Depositary Receipts (ADRs)".
For additional information on the Russell Indexes refer to: http://en.wikipedia.org/wiki/Russell_Indexes
Detailed information, including methodologies and membership lists, is available from the above link or the Russell home site: http://www.russell.com/us/SiteNav.asp
To obtain membership lists for the US market go to the HomePage >> Indexes >> Index Membership >> Membership Lists or follow the link: http://www.russell.com/Indexes/membership/default.asp
The lists are downloadable in PDF format.
To manually extract AmiBroker compliant component lists from the PDF files:
- 1) Open the PDF and change the View >> Page Layout to Continuous from the Adobe Reader menu bar.
- 2) Pick Select All and then Copy, (also from the Adobe Reader menu bar).
- 3) Paste the copied selection into a blank Excel worksheet and manipulate the data using Excels built-in functions.
An example list can be downloaded by right clicking on the link below and clicking on Save Target As to save the file to a local drive.
Note: The attached file assumes a basic knowledge of Xcel and Xcel functions.
Russell (US) 3000 Index: russell3000.xls
Written using Adobe Reader v7.0 and Xcel 2002