- 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.
For further details see:
Abnormal Returns Of The Russell Index Reconstitution Anomaly: New 2022 Study