MMAT - Abnormal Returns Of The Russell Index Reconstitution Anomaly: New 2022 Study

• A new 2022/23 study continues the trading studies from 2017 testing abnormal Russell Index reconstitution returns from scholarly literature.
• Since 2017 the best return results from a price momentum test generated +57.90% in the first six months and average gains reached +29.04% in the first three months.
• However, new scholarly studies are validating my findings that the Russell 2000 index underperforms based on price momentum selection.
• This new study focuses on the strongest abnormal returns documented in the research of migrating index stocks to the Russell 1000.
• For 2022 the study will track 21 rising companies to the 1000 index and 39 migrating companies down to the 2000 index.

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