Subject: New screen: stocks predicted to join S&P500
One or more studies show stocks added to the S&P500 have a run-up before any announcement, for months. So I came up with a screen to select the type the S&P500 often add, by taking the S&P1500 universe ex-the S&P500 stocks.

5 stocks
Sp1500a.!=null
Sp500=null
MktCap top 50 product(sprc(1,1),csoq1d.s)
Adv(1,63)>20000000
Roey1.s>20 and <45
Aprc(1)>15
Tr(1,60)>0
Ratio(tr(1,200),tr(1,5)) top 10
Roey1.s top 5

https://gtr1.net/2013/?sp1500.... v. S&P500
screen v. S&P500 19970902 to 20251128

core drivers are:
1️⃣ large companies near S&P500 scale
2️⃣ high profitability

large-cap companies
with extremely high profitability
still outside the S&P500
during growth-stock regimes
recent drawdown over the short term
Profit not so crazy as not to be sustainable.

strategy v. S&P500
Cagr  22.1%   10
Gsd   30      20.9
Sharpe  .81     .5
Ldd   17.88   11.4
Ui    17.9    11.4
Beta   1       1
Ti    19.66    8.7
At     3.8      .5
Mdd  -66.6   -60.3

So same beta as the S&P with similarly large profitable stocks on the bet they are on the way to being added to the S&P500, but twice the S&P500 return.