Company Events & EarningsCore researchlive in production

Index-Rebalance Drift

Updated dailyData needs: mediumlong onlyshort only

In plain terms

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.

How it works

When a stock is added to the S&P 500, index funds must buy it on the effective date. The announcement (typically 3-5 trading days before) triggers a front-running rally averaging +8% by effective date. Deletions show a symmetric -4% drop. Both effects partially reverse in the 20 days after effective date. We trade adds long from (eff_date − 4d) through eff_date and short the reversal for 10-21d after; deletions get a 5d-lagged long for 21-63d on the overdone fade.

Live results

0 times picked on its own · 7 times inside a blend (7 beat the stock) · updated 2026-06-06

This strategy is a frequent ingredient in blends that combine a few strategies on one stock. It has contributed to 7 such blended picks (7 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 rebalance events
A data feed this strategy reads, refreshed on its normal schedule.

Expected edge

Reported return: +8% add-day pop, -4.85% reversal (Chen-Singal FAJ 2023)
Tested over: 1990-2020

Ref: Chen, Singal, *Earning Alpha by Avoiding the Index Rebalancing Crowd*, Financial Analysts Journal 2023 (avg 8.08% add-day pop, 4.85% reversal).

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