Index Inclusion Drift
In plain terms
When a stock first shows up in a broad index ETF, it tends to drift up 3-5% over the next month as funds rebalance.
How it works
Chen-Noronha-Singal 2004 documents +3-5% drift over 30-45 days after index addition. Effect is asymmetric - additions drift up persistently. We detect inclusion via first-appearance in SPY/IVV/VOO/IWB/ITOT N-PORT panel.
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
- Reported return
- +3-5% over 30-45d (Chen-Noronha-Singal 2004)
- Tested over
- T+1 to T+60d
Chen-Noronha-Singal 2004: +3-5% drift over 30-45d post-announcement.
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
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