Equal Weight vs Cap Weight: How Narrow Is the Stock Market?
The same S&P 500 companies held two ways: every stock at the same weight (RSP) against every stock by its market value (SPY), with dividends. When the ratio falls, a few of the largest companies are carrying the index while the average member lags. The record runs back to 1926 through the largest CRSP stocks weighted both ways.
Today's reading
As of September 25, 2026, the S&P 500 Equal Weight ETF (RSP) has returned 16.3% less than the cap-weighted SPY over three years, dividends included, a reading lower than all but 1.7% of months since 1929 on the CRSP record of the largest US stocks. On that record the deepest three-year shortfall is −21.9% in January 2026, past the −19.8% of March 1999. After the narrowest tenth of months, the next year was no weaker than usual (a median 16.1% against 13.3%), but over five years the cap-weighted market returned a median 3.1% a year against 11.6%, and equal weight beat cap weight by 4.1 points a year, from 5 non-overlapping periods.
Sources, methodology & freshnessLast updated 2026-09-25 · Open ↓Close ↑
Equal weight's total return relative to cap weight over three years. Below −9.5% is the narrowest tenth of months since 1929.
Equal weight against cap weight since 1990
Equal weight relative to cap weight, indexed to 100 in January 1990. From May 2003 the line is RSP against SPY. Before that it is the largest CRSP stocks weighted both ways, which moved with the ETF pair month to month (correlation 0.94 over 279 months) and recovered less than the S&P 500 Equal Weight Index after 2000. On the daily RSP and SPY record, equal weight is −30% from its high of April 6, 2015.
Three-year change since 1929
How far equal weight gained or lost against cap weight over each trailing three years. The shaded band is the narrowest tenth of months, below −9.5%. The dark line is the CRSP record through August 2026; the blue line is RSP against SPY, today −16.3%.
What followed the narrowest tenth?
Every month since 1929 in the narrowest tenth, against all months: the cap-weighted market's median return a year, and the median gap between equal and cap weight. The months overlap, so the independent count is the number of non-overlapping periods.
| Horizon | Market, narrowest tenth | Market, all months | EW − CW, narrowest tenth | EW won | Independent |
|---|---|---|---|---|---|
| Next year | +16.1% | +13.3% | +0.4% | 51% | 13 |
| Next 3 years | +3.5% | +11.7% | +4.8% | 87% | 6 |
| Next 5 years | +3.1% | +11.6% | +4.1% | 95% | 5 |
Annualized total returns of the largest CRSP stocks, nominal. EW − CW is equal weight's return minus cap weight's; across all months it is close to zero (+0.4% a year over five years). Months counted: 105 at one year, 84 at five.
Every narrowing episode since 1929
Runs of months in the narrowest tenth, joined when less than a year apart. Returns are measured from the first month of each run, so an early start, like 1997, catches the rest of the run. The current run began in November 2023; its deepest reading so far, −21.9%, is below the −19.8% of 1999.
| Episode | Deepest 3-yr change | Market, next yr | Market, next 5 yrs/yr | EW − CW, next 5 yrs/yr |
|---|---|---|---|---|
| July 1929 – August 1929 | −10.9% | −24.8% | −17.0% | +2.1% |
| December 1930 – June 1932 | −17.1% | −43.4% | +3.0% | +4.2% |
| February 1973 – December 1974 | −14.5% | −11.0% | −1.4% | +2.9% |
| February 1997 – November 2000 | −19.8% | +35.4% | +8.5% | −0.3% |
| October 2008 – March 2009 | −14.1% | +10.8% | +15.6% | +4.8% |
| March 2020 – August 2020 | −11.1% | +60.3% | +18.8% | −2.0% |
| November 2023 (open) | −21.9% | +35.2% | — | — |
RSP against SPY since 2003
The investable version, weekly, with dividends reinvested in both funds. It starts at 100 on May 1, 2003. Over the last year equal weight is −3.1% against cap weight, and −19.7% over five years.
Data: RSP and SPY daily closes and dividends; Ken French, Portfolios Formed on Size (CRSP), through August 2026. Download the series: equal_weight.json.
Equal weight's total return relative to cap weight over three years. Below −9.5% is the narrowest tenth of months since 1929.
How Equal Weight vs Cap Weight Works
- 1Compare the same stocks weighted two waysRSP holds every S&P 500 company at the same weight; SPY holds them by market value. Dividing one total-return series by the other isolates the effect of weighting: when the ratio falls, the largest companies are carrying the index while the average member lags.
- 2Extend the record to 1926RSP began in 2003. For the decades before, the page uses Ken French’s size portfolios built from CRSP: the three largest NYSE size deciles, about 500 companies, weighted equally and by value. It includes every company that existed at the time, so it carries no survivorship bias.
- 3Measure the three-year changeThe headline is the change in the ratio over three years. That window is long enough to ignore a single month’s rotation and short enough to date an episode. Readings below the tenth percentile of the history mark an extreme narrowing.
- 4Test what came nextFor every month in the narrowest tenth since 1929, the study measures the cap-weighted market’s return and the gap between equal and cap weight over the following one, three and five years, against all months, and counts how many non-overlapping periods stand behind each number.