Russell Reconstitution 2026: Trade Recap

研报英文原文证据摘录

Russell Reconstitution 2026: Trade Recap

J P M O R G A N Global Markets Strategy

29 June 2026

Russell Reconstitution 2026

Trade Recap

• The Russell index reconstitution became effective after the market close on Global Quantitative and Derivatives

Friday, June 26, 2026. We estimate that net trade value from indexers was Strategy

approximately $246.0 billion—an 88% increase versus last year’s $130.7 Min Moon AC

billion. On a gross notional basis, Russell index funds were expected to trade (1-212 ) 272-8456

about $613 billion, making this the largest index rebalance event on record. min.k.moon@jpmorgan.com

J.P. Morgan Securities LLC

• This year’s turnover will likely be the peak for the Russell reconstitution, as

Russell will introduce a second annual reconstitution beginning in December

2026 (effective December 11). Excess trading volume in reconstitution-related

names exceeded estimated indexer flows across all categories.

• Since April 30, the ranking date, the Russell 1000 addition portfolio moved in

line with the expected indexer flows, outperforming the Russell 1000 index

itself by 4.81% as of June 26th. The Russell 2000 additions outperformed the

deletions by 4.0%, since the ranking date to the announcement. From the

announcement date, May 22nd, to June 26th, the Russell 2000 additions

underperformed the Russell 2000 deletions by 4.29%. The spread between the

R1 to R2 and the R2 to R1 migrations returned +1.13% from the ranking date

to the preliminary announcement date, May 23rd. From the announcement

date, the R1 to R2 underperformed R2 to R1 by 4.51%.

• On the reconstitution day, most of the Russell Reconstitution portfolio moved

“right way” in line with estimated indexer flows around the close. The overall

buy-sell spread for June 26th was +0.34%.