METHODOLOGIES

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

Thomson Reuters Country & Region Equity Index Methodology
Updated April 2013

Thomson Reuters Business Classification Methodology
Updated January 2012

Thomson Reuters Corporate Actions Methodology
Updated February 2013

Thomson Reuters IdealRatings Islamic Indices Index Methodology
Updated March 2012

Thomson Reuters Canadian Fixed Income Index Methodology
Updated October 2012

Thomson Reuters/GPR/APREA Index Methodology
Updated January 2013

Thomson Reuters/Global Property Research Real Estate Indices Index Methodology
Updated April 2012

Thomson Reuters Venture Capital Research Index Methodology
Updated October 2012

Thomson Reuters Venture Capital Index Methodology
Updated October 2012

Thomson Reuters/Sabrient Sensible Growth Indices Index Methodology
Updated August 2012

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.

APRIL 2013 REBALANCE

The latest rebalance of the Thomson Reuters Equity Indices took place on April 8, 2012, encompassing 51 countries and 29 regions. 951 companies were added to the Thomson Reuters Global Index and 2814 companies were removed. The rebalance has therefore removed 1863 stocks from Thomson Reuters Equity Indices.

The April 2013 rebalance has also resulted in 170 new equity indices, the reactivation of 20 existing equity indices and the deactivation of 242 existing equity indices. View the list of Rebalance changes.

TREATMENT OF GREECE IN THE EVENT OF A EUROZONE EXIT

Users of Thomson Reuters Global Equity Indices should be aware of the following guidelines which have been issued, in the case of Greece no longer being part of the European single currency:

Treatment of Greece in Thomson Reuters Indices 284KB

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.