Russell 2000 vs Russell 2000 TR
Two thousand American small caps, with and without their dividends. The Russell 2000 differs from the other indices on this site in one structural way: its membership is torn up and rebuilt once a year, and a company that succeeds is shown the door.
Over the period both series share, Russell 2000 Total Return comes out ahead at +9.1% a year.
| Asset | Total return | Annualised | Volatility | Largest drawdown |
|---|---|---|---|---|
| Russell 2000 | ×10.2 | +7.7% a year | 21.5% | −56.9% (March 2009) |
| Russell 2000 Total Return | ×15.6 | +9.1% a year | 21.5% | −55.8% (March 2009) |
Figures calculated on 26/10/2026 from monthly closing prices. Past performance is no guide to future performance.
A universe that renews itself by construction
The Russell 2000 holds the two thousand smallest companies in the Russell 3000 — the three thousand largest American listings, less the thousand biggest. It does not select businesses, then: it occupies a band of size, and whatever falls inside belongs to it.
The list is reconstituted every June. A company that has grown well moves up into the large-cap index and leaves this one; a large cap in trouble drops in. The index therefore never keeps its own greatest successes, which is a difference in kind from an S&P 500 where a holding can stay for thirty years.
What dividends are worth in this segment
Small caps distribute less on average than large ones: they are younger, carry more debt, and retain more to fund growth. The gap between the two curves is real all the same, the index holding plenty of mature businesses that are small in nothing but size.
One thing the comparison does not show: this index contains a notable proportion of loss-making companies, which large-cap indices do not carry. What is measured here is the performance of an entire segment, not of a selection.
Frequently asked questions
Why two thousand companies?
By construction rather than by choice: the three thousand largest American listings minus the thousand biggest. The actual count varies slightly from one reconstitution to the next.
What happens in June?
The annual reconstitution. Additions and deletions are known in advance, and index funds must adjust their holdings on the same day, which makes it one of the heaviest trading sessions of the year in this segment.
Why does the comparison start in 1995?
That is where the total-return series available to us begins. The price index is older, but a comparison cannot start before both curves exist.