Good evening elitians, I need your help. How are the Midcap SP400 index and the russell 2000 index calculated? Are dividends reinvested? I looked everywhere for their calculation model but I cannot find it. Thank you for your help
I have a few trading models around index constituents so I'm familiar with their methodologies: https://www.spglobal.com/spdji/en/documents/methodologies/methodology-sp-us-indices.pdf https://research.ftserussell.com/products/downloads/Russell-US-indexes.pdf The most widely reported versions of these indices are price return indices. That is, they do not include standard dividends. They are, however, adjusted for special dividends of a certain size. If you want all dividends included, look for the Total Return versions of each. Note that "Total Return" version actually has the dividends coming in on the ex-date which is a little different from receiving them on the paid date of the dividend, but is close enough.
They have their own websites and the index composition, weighting, and pricing derivation calculations are broken out in painstaking detail.