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Not All Indexes Are The Same

September 14, 2023

When you invest in a small company index, your expectation is that it is small in terms of company size. It is unlikely you will know most of the names in the index.

However, one shouldn’t assume.

Index Construction*S&P Small Cap 600 IndexRussell 2000 IndexCRSP US Small Cap Index
Number of companies6002,0001,471
Representation of market3% of US market7% of US market13% of US Market
Market Capitalizationat least $750M and below $4.6Bat least $30M and closing price of at least $1/shareAt least $15M
*Source: State Street

Further differences include:

S&P divides by dollar range for market cap but CRSP uses the entire stock universe sorting large to small. Then once they get to 70% of the universe, categorize mega cap and so on. By the time they reach small cap, it is 85 – 98% of the stock universe.

Russell does it differently as well. They break the stock by bottom 2,000 and top 1,000 but have overlap in the mid-cap range.

If you buy a Vanguard index fund, it likely uses indexes based on CRSP. Obviously, S&P uses their own index. State Street uses Russell.

According to the Wall Street Journal, such companies as American Airlines, Molson Coors, Whirlpool and Caesars Entertainment all show up in Vanguard’s Small Cap Index. Why – the way the CRSP Index is calculated these companies show up in the small cap index!

Something else to think about. If you are buying index funds but from different fund families, research which index provider they are using so you have consistency between large cap, small cap, etc. and don’t overlap your holdings.


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