The BankAtlas Equity Indices are a family of rules-based, quarterly-reconstituted total-return equity benchmarks that express BankAtlas's proprietary bank-risk signals — the proprietary AUC composite grade, the Run-Vulnerability Index (RVI), the five category grades, and a set of exposure and geographic baskets — as systematic bank-equity benchmarks.
The family answers a single question in benchmark form: does sorting U.S. banks on our proprietary risk signals separate equity outcomes? Every index is constructed with the same institutional discipline (point-in-time universe, published-vintage reconstitution, turnover control, delisting-return handling) so that 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.
Eighteen indices across four tiers (36 total series — every index publishes two weighting classes: Equal-Weight and Capped Float-Market-Cap).
| Tier | Index | Selection rule |
|---|---|---|
| Flagship | Grade (A/B) · Prime Grade (A) · Resilience · Fragility · Distressed Grade (D/E) · Vulnerability | Grade band (A/B; A only; D/E) or RVI quintile (lowest = Resilience, highest = Vulnerability); Fragility = highest-quintile troubled-loans + AFS/HTM MTM losses / assets |
| Category grade | Asset Quality · Earnings · Capital Strength · Liquidity · Concentration Discipline | Top-tercile category score |
| Exposure | CRE-Exposure · NDFI-Exposure | Highest-quintile CRE/equity or NDFI/loans |
| Geographic | Northeast · Southeast · Midwest · Texas & Southwest · West | HQ-state region membership |
Weak-scoring indices (Fragility, Distressed Grade, Vulnerability) publish index levels and statistics in full; current constituent lists, once prospective tracking begins, will not be displayed publicly for these indices, and constituent data may be made available under institutional license. Exposure and geographic indices are characteristic baskets, not quality grades.
Grades, category grades, RVI, and exposure metrics derive from FFIEC Call Report / UBPR regulatory filings, computed once by the BankAtlas rating engine and consumed by the index engine without discretionary override. Equity total returns (dividend-reinvested total-return index level), market capitalization, free-float %, and average daily value are sourced from a third-party market-data vendor; delisted names are sourced explicitly.
Membership, not tilt. Each index holds a defined set of constituents (grade band or top/bottom quantile); it does not scale every name by a score.
Reporting lag (no look-ahead). Call-report data for quarter Q is not published until ~35–45 days after quarter-end. Each reconstitution uses the most recent 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.
Hysteresis buffer (turnover control). Membership uses a narrower add band and a wider keep band (e.g., Grade A/B adds at ≥ B, keeps at ≥ C; Prime Grade A adds at A, keeps at ≥ B; Resilience adds at ≤ 20th-pct RVI, keeps at ≤ 35th). A minimum of 10 constituents is required to strike an index.
Equal-Weight (EW) — every constituent equally weighted at reconstitution; the purest expression of the selection signal and the headline class. Capped Float-Market-Cap (MCap) — market-cap weighted with an iterative 15% single-name cap; the market-cap-weighted class designed to improve replicability. Weights drift between reconstitutions and reset each quarter.
Quarterly (March / June / September / December). Reconstitution (membership) and reweighting (weight reset) occur together each quarter; prospective administration will set the effective date with advance announcement.
Base 31 December 2016 = 1,000. Total return (dividends reinvested). The index level compounds the monthly weighted return of its constituents; a constituent that stops trading mid-quarter contributes its final (delisting) return and then drops, renormalizing over survivors.
Rules-based constituent selection — all membership and weighting follow the published rules, with no discretionary override of individual constituents. The methodology is versioned; material changes increment the version and are logged with an effective date. The methodology is frozen at v1.0 in advance of the date on which prospective tracking is scheduled to begin, 30 September 2026. From that date, the Indices will be tracked prospectively; all history prior to that date will remain labeled backtested (simulated), visually and textually distinguishable. The index is regenerated deterministically — the same inputs reproduce the same series.
The limitations below should be considered when interpreting historical index performance and comparing the Indices with live commercial benchmarks.