APPS - New 2019 Abnormal Return Portfolio For The Russell Index Rebalancing Anomaly
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 Friday, June 28th.
(Source: FTSE Russell)
This article documents the process and reveals a sample of the 20 new stock selections for a third consecutive year of testing this anomaly with different formation periods. Each of my annual test portfolios look at