The BankAtlas U.S. Bank Equity Indices are a family of 18 rules-based, point-in-time total-return equity indices, built with survivorship-bias controls, that express BankAtlas's proprietary bank-risk signals — the proprietary composite bank-risk grade and the Run-Vulnerability Index — as systematic bank-equity benchmarks. Every index publishes two weighting classes (Equal-Weight and Capped Float-Market-Cap).
BankAtlas grades U.S. banks on fundamentals that have historically preceded distress, and scores each on run-vulnerability (funding fragility). If those proprietary signals carry information about equity outcomes, then sorting banks on them would be expected to produce differentiated equity outcomes in the historical analysis — the strongest fundamentals and the most resilient funding profiles outperforming the weakest and most fragile.
The index family is the benchmark-form test of exactly that proposition. Each index is constructed with institutional discipline — a point-in-time universe, published-vintage reconstitution with a reporting lag, turnover control, and delisting-return handling — so the resulting series are analytical instruments, not marketing artifacts. The indices are rules-based analytical benchmarks designed to reflect BankAtlas's proprietary risk signals; they are not investment advice, an offer, or a promoted investment strategy.
Across the backtested history, higher-graded cohorts produced higher cumulative returns than lower-graded cohorts, and the run-vulnerability signal also separated outcomes — both while running lower volatility and shallower drawdowns than the regional-bank ETF comparator over the period shown. The following pages detail the flagship results, the full family, and the construction behind the survivorship-bias controls.
Total-return index level, base 31 Dec 2016 = 1,000; equal-weight class. Over the backtested period shown, both BankAtlas series in the exhibit produced higher cumulative returns than the regional-bank ETF comparator (KRE).
| Index | CAGR (EW) | CAGR (MCap) | EW Vol | EW Max DD | EW Sharpe (0% rf) |
|---|
EW = Equal-Weight (headline class; purest signal). MCap = Capped Float-Market-Cap (market-cap-weighted class, 15% single-name cap). Volatility, drawdown and Sharpe shown for the Equal-Weight class. KRE is the SPDR S&P Regional Banking ETF, shown solely as a third-party regional-bank comparator; it is not a BankAtlas index.
Eighteen indices across four tiers; every index publishes an Equal-Weight and a Capped Float-Market-Cap class. Backtested CAGR shown.
| Index | EW CAGR | MCap CAGR | EW Vol | EW Max DD | EW Sharpe (0% rf) |
|---|
Weak-scoring indices (Fragility, Distressed Grade, Vulnerability) publish full levels and statistics; their constituent lists, once prospective tracking begins, will not be displayed publicly, and constituent data may be made available under institutional license. Exposure and geographic indices are characteristic baskets, not quality grades.
Common equity of U.S.-listed banks, thrifts, and their holding companies. The universe is screened for minimum free-float size (≥ $250M) and trading liquidity (average daily value ≥ $1M/day) at each reconstitution.
The universe is reconstructed as of each reconstitution date from the securities listed and filing at that date, including historical names that subsequently failed, were acquired, or were delisted. The historical universe is constructed with survivorship-bias controls, subject to the residual historical-data limitation described in the disclosures.
Selection uses the most recent call-report vintage published as of the reconstitution date — a 3-month lag. No index selects on information that was not public as of the applicable reconstitution date.
Membership by grade band or quantile, with an add/keep hysteresis buffer to prevent churn on marginal signal moves. Backtested turnover ≈ 3–18% per quarterly reconstitution.
Equal-Weight (purest signal) and Capped Float-Market-Cap (market-cap-weighted; 15% single-name cap). Total return, dividends reinvested; base 31 Dec 2016 = 1,000; quarterly reconstitution.
Mergers booked to the deal outcome; failures held through collapse with no survivorship "healing."
The methodology is designed to retain institutions that subsequently fail, are acquired, or are delisted when they were selected under the rules, rather than removing them retrospectively. Signature Bank, for example, remained in the Grade (A/B) index into the quarter of its March-2023 failure, and its approximately −99.8% terminal loss is retained in the historical return series. The 2023 regional-bank failures — Silicon Valley Bank, Signature, First Republic, Silvergate, Republic First — are each retained through collapse in every index whose rules selected them. The historical universe is substantially, but not exhaustively, sourced.
Third-party institutional users may evaluate the index family for potential use — for benchmarking and research, portfolio and factor analysis, model-portfolio research, separately managed strategies, structured and index-linked products, and data and analytical applications.
BankAtlas analytics → proprietary signal → rules-based index → potential institutional licensing. BankAtlas is accepting inquiries regarding potential institutional licensing and data use. BankAtlas does not currently sponsor, manage, offer, or advise any investment product or separately managed account based on the indices, and no investment product currently references them.
Rules-based, quarterly-reconstituted total-return equity indices on a point-in-time universe built with survivorship-bias controls. Selection by grade band or quantile with a hysteresis buffer; a 3-month publication lag (no look-ahead); free-float and liquidity screens; Equal-Weight and Capped Float-Market-Cap classes; total return, base 31 Dec 2016 = 1,000; delisting and merger returns booked by rule. The methodology is published, versioned, and reproducible. The full Index Methodology is publicly available.
All performance shown is backtested (simulated) and does not reflect actual trading; backtested results are subject to methodological assumptions, data-availability, and hindsight limitations, and past performance does not indicate future results. Prospective tracking of the indices is scheduled to begin 30 September 2026; all history prior to that date is backtested and is labeled as such. The indices are rules-based analytical benchmarks designed to reflect BankAtlas's proprietary risk signals — not investment advice, an offer, or a recommendation regarding any security or index-linked product. BankAtlas grades and scores are proprietary analytical measures and are not presented as credit ratings. BankAtlas does not currently sponsor, manage, or advise any investment product or separately managed account based on these indices, and no investment product currently references them. The delisted universe is substantially but not exhaustively sourced (a small tail of sub-$2B historical exits remains). The Capped Float-Market-Cap class is megabank-concentrated; the Equal-Weight class better expresses the signal. Total returns and weighting inputs are sourced from a third-party market-data vendor. KRE refers to the SPDR S&P Regional Banking ETF and is not a BankAtlas index; it is shown on a market-price total-return basis (gross dividends reinvested) and its underlying index represents the regional-bank segment rather than the full U.S. bank universe. The BankAtlas indices and third-party comparators differ in universe, weighting methodology, costs, and implementation characteristics and are not directly investable on identical terms; comparisons are presented solely to provide market context. Sharpe statistics assume a 0% risk-free rate. Third-party trademarks are the property of their respective owners, and BankAtlas is not affiliated with or endorsed by State Street or S&P Dow Jones Indices. BankAtlas does not predict that any particular institution will fail or experience any specific future financial outcome.
Institutional licensing & data inquiries: info@bankatlas.com