I explicitly avoided mentioning the S&P500. Why did you bring it up? It makes your point nicely but I'm not talking about the S&P500 or the R2k as examples wher

I explicitly avoided mentioning the S&P500. Why did you bring it up? It makes your point nicely but I'm not talking about the S&P500 or the R2k as examples where front running of any significance is happening. The index additions/deletions in the Total Market indices happen at the margins: micro-cap stocks (and IPOs). Hard to argue much happens of any effect with micro-cap stocks. I don't necessarily disagree with you on the S&P500 or R2k, but it's much harder to make the same argument for total market indices. Please justify how you are saying the market returns understate potential market returns. If it is not an index you are using, what is it? > Why would the timing of the reconstitution have anything to do with why this is possible or not? Because they have similar returns and add/remove stocks at different times. If Vanguard's total market fund adds a stock after Fidelity's, then any jump ("front-running") in share price due to Vanguard's purchases would be captured in a higher return for Fidelity since it already owned the shares.