  We develop a methodology which replicates in great accuracy the FTSE Russell
indexes reconstitutions, including the quarterly rebalancings due to new
initial public offerings (IPOs). While using only data available in the CRSP US
Stock database for our index reconstruction, we demonstrate the accuracy of
this methodology by comparing it to the original Russell US indexes for the
time period between 1989 to 2019. A python package that generates the
replicated indexes is also provided.
  As an application, we use our index reconstruction protocol to compute the
permanent and temporary price impact on the Russell 3000 annual additions and
deletions, and on the quarterly additions of new IPOs . We find that the index
portfolios following the Russell 3000 index and rebalanced on an annual basis
are overall more crowded than those following the index on a quarterly basis.
This phenomenon implies that transaction costs of indexing strategies could be
significantly reduced by buying new IPOs additions in proximity to quarterly
rebalance dates.
