Index Inclusion Drift
In plain terms
Guarded historical claim; separately named publication hypothesis is evaluated on its own evidence.
How it works
Historical bibliography is provenance only; this legacy implementation does not support the cited return or its named mechanism under current source and execution checks.
Data dependencies
- Daily prices
Adjusted-close OHLCV for every US-listed ticker; primary price feed.
- ETF holdings
ETF holdings and N-PORT constituent-weight panel.
Expected edge
See the source research for the original effect size; a modern replication on new data may be weaker.
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 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.
When ETFs collectively buy more shares of a stock (creation units), the flow pressure tends to drift the price up over weeks; redemption flows do the opposite.
When many ETFs increase exposure to the same stock, we treat that as flow pressure and go long.
Explore Index Inclusion Drift on alphactor.ai
See which tickers this family is currently firing on, with live signals and rankings.