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Brett Cenkus
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Trump Won't Kill America, Bitcoin Will

In this shared piece, author Brett Cenkus argues that nation-states will cease to exist not because of a who, but a what - and it's already here.

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June 20, 2005

Managing the Russell Recon: A Decade of Change for Traders

By Nina Mehta

Sellside program trading desks usually offer indexers guaranteed price deals for the reconstitution. Depending on where the risks lie with each rebalance, some guarantee prices better than the closing print or offer "profit-sharing" program trades. How aggressive the sellside is depends on factors that change every year. Most reconstitution-related trading among index funds occurs on the reconstitution day and in the weeks leading up to the event. The largest indexers can execute 25,000-40,000 trades on reconstitution day. A recent development that has improved the small-cap portion of the Russell rebalance is Nasdaq's closing cross, an electronic auction launched in April 2004. On last year's reconstitution day, the Nasdaq cross - which had been in full force for less than two months - executed 333 million shares, totaling $5.3 billion. The closing cross did away with the uncertainty that plagued institutional investors trying to get the closing print. The new closing cross is a sign of how far Russell has come since 2001. On June 29 of that year, the day of the annual Russell reconstitution, a Worldcom employee ran what he thought was a test on Nasdaq's automated quote system, which Worldcom managed. The mistake brought down the Nasdaq market in mid-afternoon, halting all trading. Nasdaq was forced to reopen from 4 p.m. to 5 p.m. for an unprecedented after-hours session. "We've gained the attention of more market players over the years," says Kelly Haughton, strategic director of the Russell indexes. "Nasdaq has put into place effective safeguards against this happening again."