sp500_inclusion
Shleifer (1986) JF — S&P 500 inclusion/deletion price effects, +/-5-10% over announcement window
Rolling Sharpe
—
90-day rolling window
Drawdown
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peak-to-trough
Win Rate
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0 fires · weight 0.00×
Current Status
State
Ensemble Weight—
Fires (90d)0
Last fired—
Methodology
Shleifer (1986) JF — S&P 500 inclusion/deletion price effects, +/-5-10% over announcement window
Supported Markets
US Stock
State Transition History
No state changes recorded yet