sp500 inclusion drift
What it checks
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.
Mechanism
Newly-included S&P 500 names enjoy persistent positive drift well past the index-fund mechanical buying window. Chen-Noronha-Singal document +1-2% gradual drift over 30-60 days post-effective as discretionary index-tilted funds rebalance and the new constituent earns analyst coverage. Distinct from the existing index_rebalance_drift family which captures the announcement-to-effective short-term front-run + reversal.
Signal rule
index_rebalance_events change_kind='add' AND index_name='SP500' on the ticker -> LONG at effective_date + 1 trading day; hold 30/60 trading days.
Data dependencies
daily_pricesAdjusted-close OHLCV for every US-listed ticker; primary price feed.
index_rebalance_eventsWorker data table — see services/worker schema.
Expected edge
- Paper alpha
- +1-2% over 30-60d
- Paper window
- T+1 to T+60d
+1-2% over 30-60d post-effective (CNS 2004 long-tail drift).
Example tickers where this is likely to fire
Illustrative only — the signal fires based on the live data, not a fixed list.
Related families
index rebalance driftEvent-DrivenWhen 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.
index inclusion driftInsider & FlowChen-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.
index deletion reversal longEvent-DrivenStocks 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.
Explore sp500 inclusion drift on alphactor.ai
See which tickers this family is currently firing on, with live signals and rankings.