Russell Reconstitution 2026 Intraday Performance Recap

Research evidence excerpt

Russell Reconstitution 2026 Intraday Performance Recap

J P M O R G A N Global Markets Strategy

26 June 2026

Russell Reconstitution 2026

Intraday Performance Recap

• For the effective date of the 2026 Russell Reconstitution, most of the Russell Global Quantitative and Derivatives

Reconstitution portfolio moved “right way” in line with estimated indexer Strategy

flows around the close. The overall buy-sell spread for June 26th was +0.34%. Min Moon AC

The buy portfolio (stocks with expected net demand from the Russell funds) (1-212 ) 272-8456

was up, returning -0.05%, while the stocks with selling pressure returned -- min.k.moon@jpmorgan.com

0.39%. J.P. Morgan Securities LLC

• With the overall market moving -0.05%, the additions to the Russell 1000 were

down 0.17%. Since April 30, the ranking date, new additions to the Russell

1000 returned -8.8%, underperforming the index by 11.1%.

• For the Russell 2000, the additions outperformed the index by 4.8%, and they

outperformed the deletions by 5.3% for the day. The spread between the

additions and the deletions was positive throughout the rebalance day. After 2

PM, the R2 additions outperformed the small cap index by 4%

• Among sectors with large weights in the R2 addition baskets, the three largest

movers were Health Care, Info Technology, and Industrials. Health Care

additions to the Russell 2000, up 2.91% on June 26, contributed to the

performance of the addition portfolio. The R2 additions from Info Technology

returned +2.2%. Deletions from Health Care, the biggest sector by trade

notional, returned +4.88% on the reconstitution day.

• Migrations traded “right way” of the anticipated indexer trading. The R1 to R2

migrations, which were expected to see net buying pressure from the Russell