BRBS - Finding Abnormal Returns With The Russell Index Rebalancing Every June

• Studies suggest that index rebalancing anomalies generate excess risk-adjusted returns caused by stock index funds and institutional investors that benchmark the indexes.
• Four years of research including the most robust 2021 study come to a close on the annual June rebalancing and some profitable strategies emerged.
• Since 2017 the best standardized 1-year results generated +57.90% in the first six months and avg gains were highest at +29.04% in the first three months.
• My tests support the likelihood of high profitability from known changes in the index that "lead to a 'dramatic increase' in trading volume ratio in the month of June" (Chang et al., 2013).
• The Russell Index reconstitution starts again June 3rd, and the final index results go live on June 24th for 2022.

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