Russell 2000 Small-Cap Index Annual Returns History
Direct answer: The Russell 2000 tracks approximately 2,000 small-cap U.S. stocks (companies ranked approximately 1,001 to 3,000 by market cap). Small-cap stocks have historically outperformed large-caps over long periods (the "size premium"), but with significantly higher volatility. The Russell 2000 gained +47.2% in 2003 and fell −34.8% in 2008. Average annual return since inception (1978) is approximately 10-11%.
Russell 2000 Annual Returns, 1990-2024
| Year | Annual Return |
|---|---|
| 1990 | -19.5% |
| 1991 | +46.1% |
| 1992 | +18.4% |
| 1993 | +18.9% |
| 1994 | -1.8% |
| 1995 | +28.5% |
| 1996 | +16.5% |
| 1997 | +22.4% |
| 1998 | -2.6% |
| 1999 | +21.3% |
| 2000 | -3.0% |
| 2001 | +2.5% |
| 2002 | -20.5% |
| 2003 | +47.2% |
| 2004 | +18.3% |
| 2005 | +4.6% |
| 2006 | +18.4% |
| 2007 | -1.6% |
| 2008 | -34.8% |
| 2009 | +27.2% |
| 2010 | +26.9% |
| 2011 | -4.2% |
| 2012 | +16.3% |
| 2013 | +38.8% |
| 2014 | +4.9% |
| 2015 | -4.4% |
| 2016 | +21.3% |
| 2017 | +14.6% |
| 2018 | -11.0% |
| 2019 | +25.5% |
| 2020 | +19.9% |
| 2021 | +14.8% |
| 2022 | -21.6% |
| 2023 | +16.9% |
| 2024 est. | +10% |
Source: FTSE Russell: Russell US Indexes. Last verified: September 2026.
Frequently asked questions
Why do small-cap stocks have higher long-term returns?
The "size premium" (small-cap outperformance) has been documented in academic research since Banz (1981) and is a cornerstone of factor investing. Explanations: (1) small companies are riskier (less access to capital, less diversified revenue, more cyclical, higher probability of failure), and investors demand a risk premium; (2) small companies have more room to grow relative to large companies that already dominate their markets; (3) small-cap stocks are less widely analyzed, creating more opportunities for mispricing that active and systematic investors can exploit. The premium has been inconsistent: 2007-2024 saw significant periods of large-cap outperformance, especially post-2017 as mega-cap technology dominated S&P 500 returns.
How does the Russell 2000 composition differ from the S&P 500?
The Russell 2000 contains approximately 2,000 stocks with market caps roughly in the $300M–$2B range. The S&P 500 contains 500 stocks with market caps generally above $10B. Key differences: (1) sector composition -- Russell 2000 has higher weight in financials (small regional banks), healthcare (small biotech), industrials; S&P 500 has higher technology weight; (2) profitability -- many Russell 2000 companies are unprofitable (especially biotech); S&P 500 companies are generally profitable; (3) domestic revenue -- small-caps derive approximately 75-80% of revenue domestically vs. S&P 500's approximately 55-60%, making Russell 2000 more sensitive to the U.S. domestic economy and less to global growth.
Does the size premium still exist?
The small-cap size premium has been contested since the mid-1990s when it was first published. From 2007-2024, the S&P 500 (large-cap) outperformed the Russell 2000 (small-cap) in most years, reversed only in 2016, 2020, and 2024. Academic debate: some researchers argue the original premium was a data-mining artifact; others argue it remains but requires sorting by profitability (profitable small-caps earn the premium; unprofitable ones don't). A "quality small-cap" approach (e.g., XSVM, IWN value tilt) has had better results than broad small-cap. The premium also varies significantly by economic regime: small-caps outperform during early-cycle recovery (2003, 2009, 2016) and underperform during late-cycle tech-dominated bull markets.