Index Deletion Reversal Long
In plain terms
When a stock is removed from a major index, the forced selling temporarily pushes the price too low. Wait 5 days for the press to finish, then go long for 2-6 months as the price partially recovers.
How it works
Stocks removed from major indices experience mechanical selling pressure from index funds plus signaling-driven selling from discretionary investors, depressing the price below fundamental value temporarily. The deletion drop partially reverts over 60-180 days post effective date, with average +3-6% LONG-side abnormal return.
Data dependencies
- Daily prices
Adjusted-close OHLCV for every US-listed ticker; primary price feed.
- Index rebalance events
A data feed this strategy reads, refreshed on its normal schedule.
Expected edge
- Reported return
- +3-6% over 60-180d
- Tested over
- T+6 to T+180d
+3-6% on the 60-180d reversion long (CNS 2004).
Example tickers where this is likely to fire
Illustrative only, the signal fires based on the live data, not a fixed list.
Related families
When a stock is newly added to the S&P 500, it tends to keep drifting up for a month or two after the official inclusion date — index-tilted funds keep buying, and analyst coverage expands. Go long for 30-60 days post-inclusion.
When a stock is added to the S&P 500, index funds must buy it on the effective date — front-runners earn +8% by then. Symmetric -4% on deletions.
Analyst target revisions drift for ~30 days then stop.
Explore Index Deletion Reversal Long on alphactor.ai
See which tickers this family is currently firing on, with live signals and rankings.