russell_rebalance
Madhavan (2003) FAJ — Russell index reconstitution: +5-7% abnormal return for additions in anticipation period
Rolling Sharpe
—
90-day rolling window
Drawdown
—
peak-to-trough
Win Rate
—
0 fires · weight 0.00×
Current Status
State
Ensemble Weight—
Fires (90d)0
Last fired—
Methodology
Madhavan (2003) FAJ — Russell index reconstitution: +5-7% abnormal return for additions in anticipation period
Supported Markets
US Stock
State Transition History
No state changes recorded yet