SEEL - Top 2021 Russell Index Rebalancing Stock Selections To Capture Abnormal Returns

• This selection article continues a four-year ad hoc test of published studies that the Russell reconstitution generates excess risk-adjusted returns.
• In my prior three-year study from 2017, abnormal gains were identified from the annual June rebalancing and some profitable strategies emerged.
• Since 2017, the best standardized results generated 57.90% in the first six months and the total average gains across the portfolios were highest at +29.04% in the first three months.
• The mean temporary impact and the mean permanent impact for the Russell 3000 index were 5.4% and 3.3%, respectively (Madhavan, 2003).
• These stocks were selected one day before the final adjustment date in order to give additional advantage to purchase prior to trading on June 28.

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