UUUU - Finding Abnormal Returns With The Russell Index Rebalancing Every June
Introduction
Every year the Russell Indexes are rebalanced to bring in new stocks and remove underperforming stocks. The FTSE Russell calls this event the annual reconstitution process, and it begins with evaluations in May and moves to the selection process on June 7th with the newly reconstituted indexes taking effect this year on June 28th.
(Source: FTSE Russell)
This article addresses the key findings from my two-year forwarded tested analysis of reported abnormal effects from the Russell 3000 annual reconstitution from June 2017 through June 2019. My tests looked at whether the top-performing new additions