Benchmark Monitor: The A to Z guide to benchmarks

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Benchmark Monitor: The A to Z guide to benchmarks

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Benchmark Monitor

The A to Z guide to benchmarks

Small Cap

Strange things are afoot 24 July 2026

In this periodic review of benchmarks, we assess the two most widely followed providers Quantitative Strategy

(Russell and Standard & Poors) covering 33 size/style indices. We include performance, United States

risk characteristics and correlations as of June 30, 2026. The key theme for 2026 is “new

records” – in concentration, in style shifts and in trading volume. SavitaEquity &SubramanianQuant Strategist

BofAS

Mega- math: 10 @ $1tn, Russell 1000G now Russell 21G? +1savita.subramanian@bofa.com646 855 3878

Concentration risks are well documented, reinforcing that benchmark returns remain Jill Carey Hall, CFA

highly dependent on a handful of AI-linked mega-caps. The top 10 Russell 1000 Equity & Quant Strategist

companies account for >$24tn, or 35% of the index, with each stock over/near $1tn. The +1 646 855 3327

effective number of stocks in a benchmark based on Herfindahl-Hirschman scores jill.carey@bofa.com

(Exhibit 13) suggests the Russell 1000 Growth benchmark is the least diversified: at just Alex Makedon Equity & Quant Strategist

365 constituents (a record low), its concentration is equivalent to an equal-weighted BofAS

portfolio of just 21 stocks. Broadening of markets, which is likely, in our view, would +1alex.makedon@bofa.com646 855 5982

disproportionately benefit benchmarks with less concentration risk (Value, Mid, Small). Victoria Roloff

Equity & Quant Strategist

Tech at 36%, Materials 2%: History says add to Materials BofAS+1 646 743 6339

After June’s Russell reconstitution, Tech saw the largest Russell 10000 weight increase victoria.roloff@bofa.com