A Moving Yardstick: Dynamic Risk Profiles of the Indexes (October 2026)

Style indexes can materially change an investor’s risk exposure even when the investor’s objectives and risk tolerance remain unchanged.

• Before the June 2025 reconstitution, the Russell 1000 Value Index’s top 10 holdings had an average P/E of 20x and a 2.4% yield; afterward, those figures were 34x and 1.1%.
• The top 10 holdings rose from 18.4% of the index before June 2025 to 22.4% afterward, while the top three increased from 8.5% to 10.2%.
• Before the June 2026 reconstitution, Amazon, Apple, and Microsoft represented 15.2% of the index’s top-three holdings, and the top 10 had a 35x average P/E and a 1.2% yield.
• After June 2026, the top three fell to 8.5%, the top 10 to 17.3%, the average P/E to 20x, and the yield rose to 2.4%, illustrating how quickly the benchmark can reverse its concentration and valuation profile.
• Micron was the Value index’s best-contributing stock in the first half of 2026, but after moving into the Growth index in June it underperformed, creating different relative-performance consequences for value and growth managers that avoided it.

Takeaway: Benchmark-driven managers may need frequent trading and momentum exposure to track a shifting index, whereas investors should evaluate whether the manager’s actual risk profile remains aligned with their objectives rather than assuming that the value label is stable.