METHODOLOGIES

Thomson Reuters Indices are constructed using Thomson Reuters data sets and sources.  

Thomson Reuters Country & Region Equity Index Methodology
Updated September 2011

Thomson Reuters Business Classification Methodology
Updated November 2009

LIQUIDITY FILTER

Investors want liquidity. Our approach to achieving higher liquidity sets us apart.

• Thomson Reuters uses price as the basis of its liquidity filter.
• Price captures stickiness and idiosyncratic behavior - two of the best known aspects of illiquid stocks
• Other index providers employ volume filters which capture neither aspect of illiquid stocks

Learn more by downloading the following:

The Liquidity Filter Examined
November 2009

Datastream Global Equity Indices Manual
Issue 5

INDEX REVIEW

Thomson Reuters Indices are maintained on a daily basis by a dedicated support team.  This team, with direct collaboration from the Thomson Reuters Data Operations Global Corporate Actions teams, identifies all corporate action events that affect the capital structure of a constituent in the index including stock splits, delistings, and symbol changes and ensure these changes are implemented into the applicable index. The team also monitors divisor movements and performs constituent pricing comparisons between independent constituent price sources to ensure the accuracy of the index return values.

Thomson Reuters Indices are rebalanced on a semi-annual basis beginning in October 1999. This rebalance is the major source of additions and deletions to Thomson Reuters Indices.

October 2011 Rebalance

The latest rebalance of the Thomson Reuters Equity Indices took place on October 3, 2011, encompassing 51 countries and 26 regions. 2257 companies were added to the Thomson Reuters Global Index and 1255 companies were removed. The rebalance has therefore added 1002 stocks to Thomson Reuters Equity Indices.

The October 2011 rebalance has also resulted in 264 new equity indices, and the retirement of 114 existing equity indices. View the list of Added/Retired stocks and indices.  

SECTOR REVIEW

Thomson Reuters Business Classification schema is reviewed every year. Company assignments are reviewed quarterly when earnings are filed.

Since its introduction in 2004 the TRBC steering group, consisting of internal Thomson Reuters and external business stakeholders has met regularly to review the structure of the scheme. The 2008 review produced recommendations to revise the scheme, with revisions effective from August 2009.  The steering group meets on a quarterly basis to review emerging issues and solicit feedback from the investment community.

Every company in the TRBC universe is reviewed at least annually to determine if the assignment remains valid or whether the company has changed business model and/or business segments have changed in importance either organically or through acquisition/divestment. Over 50,000 companies are therefore reviewed every year by our dedicated content operations. Our analysts review the detailed financials of each business segment, update company descriptions and review any corporate activity that may have impacted company operations. We have a sophisticated alerting mechanism for corporate actions using various Thomson Reuters databases to ensure that all activity that could impact industry assignment is considered. Please see our methodology document for more details.