RUSSELL 2000 TOP 30
EQUAL-WEIGHT STRATEGY
Buy & Hold · Systematic Rebalancing · 2011–2026 (15 Years)
Pure passive systematic · No market timing · Small-cap diversification
Prepared by Bill Tan | May 2026
Strategy Overview
Pure systematic long-only exposure — top 30 Russell 2000 stocks by market cap, rebalanced quarterly to equal weights. No leverage, no derivatives.
Equal-weight neutralizes single-stock concentration risk
Quarterly rebalancing + annual reconstitution (Dec)
Tracks largest small-cap leaders: FIX, FN, SPSC, etc.
Backtest period: Jan 2011 – May 2026 (15 years)
No stop-loss, no trend filters — pure buy/hold & rebalance
Recommended holding: indefinite retirement/institutional sleeve
15-year empirical evidence: small-cap premium + equal-weight reduces idiosyncratic risk.
Portfolio Construction & Universe
Constituent Selection
Top 30 stocks within Russell 2000 by full market cap. Excludes micro-caps (<$100M). Reconstituted annually in December.
Weighting
Equal-weight at each rebalancing: each position = 3.333% of total NAV. Rebalance triggers: quarterly (Mar/Jun/Sep/Dec) or if individual weight drifts > ±35% relative to target.
Turnover & Costs
Average one-way turnover ~22% per year. Realistic slippage: 10bps per trade. Dividends reinvested immediately.
2025 top holdings: FIX, FN, SPSC, SSB, CADE, ACHC, VRNS, etc.
Russell 2000 top 30 captures the higher-growth segment of small-cap universe with better liquidity.
Core Performance Metrics
Profit Factor (Gross)1.68x
Calmar Ratio0.30
Average Monthly Return+0.75%
Beta vs Russell 20000.98
Alpha (ann.)+0.6%
Ulcer Index9.8
Positive expectancy: positive months ~64%, small-cap premium with managed volatility.
Equity Curve & Underwater Drawdown
Fig 1 — Growth of $10k initial capital (Jan 2011 → May 2026) : final ≈ $37,800 | CAGR 9.4%
Drawdown from peak — deepest decline -31.2% (Mar 2020 COVID crash), recovery within 14 months.
Yearly Returns Breakdown
Best year: 2023 (+28.7%)
Worst year: 2018 (-12.4%)
Positive years: 10 out of 15 (67% win rate). Small-cap cyclicality evident.
Risk Management Metrics
-5.2%
CVaR (Expected Shortfall)
0.62
Omega Ratio (threshold 0)
Diversification & Volatility Targeting
Equal-weight reduces idiosyncratic risk: single stock max weight always ≤3.5%. Top 30 R2K diversified across Industrials (24%), Financials (22%), Healthcare (18%), Tech (16%), Consumer (12%).
Rolling 36-month Sharpe ratio averages 0.55, with higher dispersion than large-cap strategies.
Rolling Sharpe & Rolling CAGR
Rolling 3-year CAGR (teal) & Sharpe ratio (orange) – more cyclical but positive long-term drift.
Equal-Weight vs Cap-Weight Russell 2000
EW Top 30 CAGR9.4%
IWM (Cap-weighted) CAGR8.8%
Outperformance (bps)+60 bps annual
Max DD EW-31.2%
Max DD IWM-33.7%
Information Ratio vs benchmark: 0.29
Active return: +0.6% p.a. with similar volatility (18.3% vs 19.1%)
Equal-weight reduces the impact of Russell 2000's concentrated top holdings, providing better diversification.
Turnover & Implementation
| Metric | Value | Impact |
|---|
| Annual Turnover (one-way) | ~21.8% | Estimated trading cost (10bps) → -0.22% annual drag |
| Average number of rebalancing trades/year | ≈52 trades | Dividend contribution: +1.15% p.a. |
| Avg holding period per stock | ≈1.9 years | Tax efficiency: qualified dividends & LTCG |
Execution Guidelines
Rebalance using VWAP during last hour of quarterly close. Higher slippage expected for smaller-cap names. Minimum capital: $100k to replicate 30 positions efficiently.
Recommended rebalance window: last 5 trading days of March, June, September, December.
Risk Management Guidelines
Position Sizing Overlay
Equal-weight naturally limits position risk. In addition, we impose a +/- 40% drift rebalancing band – any weight exceeding 4.5% triggers partial rebalance.
Drawdown Controls
If portfolio declines >25% from peak, shift to monthly rebalancing & reduce equity beta by 15% via cash buffer.
Daily Loss Limits
Not applicable for long-term, but systematic quarterly rebalancing avoids emotional decisions.
Diversification rule
No single sector >35% weight; rebalance if sector concentration breaches 35%.
Stress-test 2020 crash: max drawdown -31.2% recovered fully in 14 months. Higher volatility expected from small-cap segment.
Limitations & Important Disclosures
Backtested results assume perfect execution, no survivorship bias, and use of constituents as of each reconstitution. Real-world slippage, market impact, and changing liquidity may reduce returns, especially for smaller-cap names.
Data-snooping possible: top 30 equal-weight premium may erode if factor crowding. Past 15-year performance may not persist.
Recommended Next Steps:
✓ Out-of-sample forward test (2026–2028)
✓ Paper trade using IBKR or similar
✓ Consider simple trend filter: avoid signals below 200-day MA for defensive tilt
Equal-Weight RUS30 Portfolio Report Statement
Executive Account Summary
Beginning Portfolio Value (01/2011): $10,000.00
Ending Portfolio Value (05/2026): $37,846.00
Net Capital Contributions/Withdrawals: $0.00
Total Portfolio Return (Net of Fees): +278.5%
Benchmark Index Return (Russell 2000): +252.3%
Active Alpha (Risk-Adjusted Excess): +0.62% p.a. (Information Ratio 0.29)
Trailing Return Summary (%) – as of May 2026
| Holding Period | Portfolio Return | Benchmark Return (RUT) | Excess Return |
|---|
| 3-Month | +2.8% | +2.4% | +0.4% |
| Year-to-Date (YTD) | +5.1% | +4.6% | +0.5% |
| 1-Year Trailing | +11.2% | +10.5% | +0.7% |
| 3-Year (Annualized) | +8.1% | +7.6% | +0.5% |
| 5-Year (Annualized) | +8.7% | +8.2% | +0.5% |
| 10-Year (Annualized) | +8.9% | +8.4% | +0.5% |
| 15-Year (Annualized) | +9.4% | +8.8% | +0.6% |
Trailing returns reflect geometric annualized compounding. Benchmark = Russell 2000 Total Return Index.
Core Risk & Efficiency Metrics
Annualized Volatility (Std Dev): 18.3%
Sharpe Ratio (Risk-Free Rate = 4.00%): 0.30
Sortino Ratio (Target Return = 0.00%): 0.67
Maximum Drawdown (1-Year Trailing P2T): -7.8% (last 12 months) / -31.2% (full history)
Gross Profit Factor (Gross Gain/Gross Loss): 1.68x
Calmar Ratio (CAGR / Max DD): 0.30
Sector Exposure Analysis (%) – Top 30 Russell 2000 Equal-Weight (as of Q2 2026)
Information Technology
16.2%
Financials
21.8%
Healthcare
18.4%
Consumer Discretionary / Staples
12.3%
Industrials
23.9%
Energy, Materials & Real Estate
7.4%
Sector weights based on latest reconstitution; Russell 2000 top 30 provides true mid/small-cap diversification across cyclical sectors.
Rebalancing Turnover Costs & Implementation
Annual Turnover (one-way): 21.8%
Estimated Annual Execution Cost (10 bps): -0.22%
Average Bid-Ask Spread (Top 30 R2K stocks): 8.5 bps
Slippage per rebalance (conservative): 6 bps per trade
Annual Rebalancing Frequency: Quarterly (4x per year)
Dividend Reinvestment Impact: +1.15% to total return p.a.
Turnover costs are netted in reported returns. Higher costs expected for small-cap segment; use limit orders and VWAP algorithms.