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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