Company Events & EarningsExtended setInvalidNew

index add/drop drift

Updated eventData needs: mediumlong onlyshort only

2011

Petajisto, A. (2011). The index premium and its hidden cost for index funds. Journal of Empirical Finance, 18(2), 271-288. Chen, H., Noronha, G., Singal, V. (2004). The Price Response to S&P 500 Index Additions and Deletions. Journal of Finance, 59(4).

Read the paper →

In plain terms

When a stock is added to or dropped from a major index, the forced buying or selling overshoots, and the price tends to snap back afterward.

How it works

Index membership changes force mechanical index-fund flow around the effective date. Petajisto documents that additions, having been bid up into inclusion, tend to reverse after the effective date, while drops, having been dumped, tend to rebound. This family trades only the post-effective drift, entering at the effective date + 1 trading day across SP500/NDX/SP400/SP600.

Live results

0 times picked on its own · 1 times inside a blend (1 beat the stock) · updated 2026-07-06

This strategy is a frequent ingredient in blends that combine a few strategies on one stock. It has contributed to 1 such blended picks (1 of which beat simply holding the stock). Picking it on its own is only one of the ways it shows up.

How its picks scored vs. buy & hold

Each pick is graded on a recent year it was never tuned on, against simply owning the same stock

Where its edge concentrates

Share of picks in each company-size group that beat buy & hold

How often it trades

Active vs. patient. Bars on the left mean it waits for rare setups; bars on the right mean it trades often

Return vs. buy & hold

How much each pick beat or trailed simply owning the stock over the test year (extreme microcap moves trimmed)

Loading substrate evidence…

Data dependencies

Daily prices
Adjusted-close OHLCV for every US-listed ticker; primary price feed.
Index constituent events
A data feed this strategy reads, refreshed on its normal schedule.

Expected edge

Post-effective additions reverse and deletions rebound, a mechanical-flow mispricing the index-fund crowd creates.

Related families

Index-Rebalance DriftCompany Events & Earnings

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.

Sp500 Inclusion DriftCompany Events & Earnings

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.

Index Deletion Reversal LongCompany Events & Earnings

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.

Explore index add/drop drift on alphactor.ai

See which tickers this family is currently firing on, with live signals and rankings.

Open universe with this filter →Browse all 573 families