S&P500 Rebalance Recap - Strange Path Ends As Expected.

439 Views20 Dec 2021 15:24

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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