Post #1971 by JohnIII on the Mechanical Investing board

Investment Strategies / Mechanical Investing ❤

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One study looking at S&P 500 deletions/additions showed at the 6 month and 12 month mark the positions changed,
and then deletions outperformed and additions underperformed.

Well, that's interesting. Again, not what I witnessed. I didn't post this because I didn't collect data, but I have "visually" tracked the progress over the last year in a spreadsheet I set up. Out of the gate the deletions outperformed - my recollection is they were up collectively about 20% vs <10% for the index, this after a few months (sorry, going by memory). Then they tanked, and in the last month or so have actually recovered a bit.

John

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