S&P500 Rebalance Recap - Strange Path Ends As Expected.
Event-Driven
357 Views, 20 Dec 2021 15:24
EXECUTIVE SUMMARY
The S&P500 rebalance traded with appropriate-to-expectations volumes, but the path from announcement to actual event was somewhat surprising.
Historically, DELETEs underperform peers and index from announcement to event date, including an initial jump weaker. This time they saw initial strength, but fell hard on the last day.