Old "PrusselwMLP" universes will be replaced with new ones later today to account for Country of Domicile

Announcements
1

Dear All,

We discovered that we did not take into account the country of domicile when building our “PRussel” universes.

Today we will release new Prussell universes made up of stocks domiciled only in USA, Cayman, Bermuda & Bahamas. These new Prussells will replace the old Russells that still included MLPs: Prussell1000wMLP, Prussell2000wMLP, Prussell3000wMLP. These universes were left behind when we discovered that MLP’s were not being excluded. There are still some systems that use these old MLP Prussells. If these systems are re-run they will show different results.

In summary:

  • The current Prussells will be renamed PrussellOLD
  • The Prussells with MLPs will be replaced with the new ones
  • The new ones will just be called Prussell1000,Prussell2000,Prussell3000
  • If your system has a rule like "Universe(Prussell1000wMLP) it will generate an error
  • If your system has a rule like "Universe(Prussell1000) it will use the new Prussell and generate different results

Below you is a table for the current Prussell3K on 6/1/2013 (a reconstitution date) that shows the # of stocks domiciled in different countries:

count  domicile 
51  CAN  Canada
15  BMU  Bermuda
11  IRL  Ireland
9   CHE  Switzerland
8   NLD  Netherlands
7   GBR  United Kingdom
2   SGP  Singapore
2   ARG  Argentina
1   AUS  Australia
1   BEL  Belgium
1   BRA  Brazil
1   CHN  China
1   CYM  Cayman Islands
1   DEU  Germany
1   SWE  Sweden
1   PAN  Panama
1   PER  Peru
1   HKG  Hong Kong
1   ISR  Israel
2

I have used a model that is built for long-term investing. The universe has been the Prussell3000 and rankings are based on the Prussell3000. When I used the new Prussel3000, the historical returns of the model were destroyed even though my model does not use MLPs. I think it must be some of the larger companies that are now domiciled in Switzerland, Ireland, etc. Many of these are large, great companies. There are more of these companies each year. What happens in the future if I continue to use the Prussell3000 (OLD)? Does this universe get updated?

3

For now we will keep the OLD Prussels around and update them. The biggest difference with the new ones are the exclusion of companies domiciled in Canada.

What happens if you re-run your system with the OLD prussell and add Country(“CAN”)=FALSE ?

4

If the OLD Prussell3000 will stay around and be updated then it works for my simulation. I did not use the Prussell3000 version that included MLPs. P.S. I apologize for posting on the announcements thread - did not notice that prohibition.