Tomorrow at 5:15PM ET we get the quarterly update to the constituents of the S&P 500, the Mid Cap 400, and the Small Cap 600 indices. Per usual, this announcement will drive large, non-fundamental flows and distort prices across the board. This post outlines top eligible candidates for moves between each of the lists as well as over a decade of reaction data that shines a light on counter intuitive and therefore potentially profitable trading strategies.
The Candidates