Leggett & Platt

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.
  • "The trade" from here, statistically speaking, would be to buy the S&P500 DELETEs (Leggett & Platt (LEG US), Hanesbrands Inc (HBI US), and Western Union Co (WU US)) against index.

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Travis Lundy
Pan-Asia Catalysts/Events
Quiddity Advisors
Japan & Hong KongEquitiesEvent-DrivenQuantitative Analysis

HK Type 4 license through Ballingal Investment Advisors Ltd. ("BIA" or "BIAL") BACKGROUND I have 20+yrs experience in A... 

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