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], "forward_expectations": { "1m": { "return_pct": 2.5, "win_rate_pct": 65, "basis": "Madhavan-Ming 2003 + 2010-2024 Russell recon alpha studies" }, "3m": { "return_pct": 4.0, "basis": "Russell rebal forward path captures front-run + reversal" }, "12m": { "return_pct": 9.0, "basis": "SPX baseline (Damodaran NYU 1928-2024)" } }, "forward_expectations_priors": { "ADD_R3000": { "expected_return_to_rebal_pct": 9.1, "expected_return_1m_pct": 5.0, "expected_return_3m_pct": 7.5, "expected_return_12m_pct": 12.0, "win_rate_pct": 71, "academic_basis": "Petajisto (2011), Madhavan (2003); avg of 22yrs" }, "DELETE_R3000": { "expected_return_to_rebal_pct": -8.1, "expected_return_1m_pct": -5.0, "expected_return_3m_pct": -4.5, "expected_return_12m_pct": -3.0, "win_rate_pct": 68, "academic_basis": "Beneish-Whaley (1996), Russell internal (2023)" }, "UPCAP_R2K_TO_R1K": { "expected_return_to_rebal_pct": 2.8, "expected_return_1m_pct": 1.8, "expected_return_3m_pct": 3.5, "expected_return_12m_pct": 7.0, 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Inc.", "mcap": 4670313214939.0, "price": 386.14, "exchange": "NASDAQ", "sector": "Communication Services", "industry": "Internet Content & Information", "country": "US", "rank": 2, "implied_index": "R1000", "prior_rank": null, "rank_delta": null, "migration_type": "ADD_R3000", "edge_score": 76.5, "estimated_flow_usd": 1430455124767.0, "expected_return_to_rebal_pct": 9.1, "expected_return_1m_pct": 5.0, "expected_return_3m_pct": 7.5, "expected_return_12m_pct": 12.0, "win_rate_pct": 71 }, { "symbol": "GOOG", "name": "Alphabet Inc.", "mcap": 4637536116445.0, "price": 383.43, "exchange": "NASDAQ", "sector": "Communication Services", "industry": "Internet Content & Information", "country": "US", "rank": 3, "implied_index": "R1000", "prior_rank": null, "rank_delta": null, "migration_type": "ADD_R3000", "edge_score": 76.5, "estimated_flow_usd": 1420415933313.0, "expected_return_to_rebal_pct": 9.1, "expected_return_1m_pct": 5.0, "expected_return_3m_pct": 7.5, "expected_return_12m_pct": 12.0, "win_rate_pct": 71 }, { "symbol": "AAPL", "name": "Apple Inc.", "mcap": 4403489639140.0, "price": 299.815, "exchange": "NASDAQ", "sector": "Technology", "industry": "Consumer Electronics", "country": "US", "rank": 4, "implied_index": "R1000", "prior_rank": null, "rank_delta": null, "migration_type": "ADD_R3000", "edge_score": 76.5, "estimated_flow_usd": 1348730594988.0, "expected_return_to_rebal_pct": 9.1, "expected_return_1m_pct": 5.0, "expected_return_3m_pct": 7.5, "expected_return_12m_pct": 12.0, "win_rate_pct": 71 }, { "symbol": "MSFT", "name": "Microsoft Corporation", "mcap": 3066236022472.0, "price": 412.7704, "exchange": "NASDAQ", "sector": "Technology", "industry": "Software - Infrastructure", "country": "US", "rank": 5, "implied_index": "R1000", "prior_rank": null, "rank_delta": null, "migration_type": "ADD_R3000", "edge_score": 76.5, "estimated_flow_usd": 939147511148.0, "expected_return_to_rebal_pct": 9.1, "expected_return_1m_pct": 5.0, "expected_return_3m_pct": 7.5, "expected_return_12m_pct": 12.0, "win_rate_pct": 71 }, { "symbol": "AMZN", "name": "Amazon.com, Inc.", "mcap": 2822050961010.0, "price": 262.3431, "exchange": "NASDAQ", "sector": "Consumer Cyclical", "industry": "Specialty Retail", "country": "US", "rank": 6, "implied_index": "R1000", "prior_rank": null, "rank_delta": null, "migration_type": "ADD_R3000", "edge_score": 76.5, "estimated_flow_usd": 864356858683.0, "expected_return_to_rebal_pct": 9.1, "expected_return_1m_pct": 5.0, "expected_return_3m_pct": 7.5, "expected_return_12m_pct": 12.0, "win_rate_pct": 71 } ], "top_short_setups": [], "recommended_trade": { "primary": { "instrument": "LONG basket: UMAC, NINE, RLGT, PTN, NVDA (equal-weight)", "direction": "LONG", "thesis": "FTSE Russell rebalance Friday is in 37 days. Predicted Russell 3000 ADDITIONS receive forced buying from $480B + $950B benchmark funds in the final week. Historical mean +9.1% to rebal close.", "size_guidance": "0.5-1% per name, max 5% in basket", "max_loss": "Position-level stop -8% per name", "expected_horizon": "Hold to rebal Friday (37 days)", "expected_return_basis": "Petajisto (2011), 22 years of R3000 adds" }, "options_alt": { "instrument": "Calls on liquid names in basket: UMAC 60-90 DTE 10% OTM", "thesis": "Options on liquid adds capture the mechanical move with defined risk.", "max_loss": "Premium paid" }, "short_alt": { "instrument": "SHORT basket: \u2014", "direction": "SHORT", "thesis": "Predicted Russell 3000 DELETIONS face forced selling at recon. Avg historical decline -8.1% over the window.", "size_guidance": "0.25-0.5% per name" }, "exit_rules": [ "Exit ALL positions at close on rebal Friday (2026-06-26)", "Trim 50% if any single name runs >+15% before rebal week", "Hard stop -8% per name (thesis broken)", "Avoid overnight risk on individual deletes < $300M mcap (gappy)" ] }, "why_now_explainer": "**FTSE Russell rebalance is in 37 days** (phase: PRE_ANNOUNCEMENT). Approximately **$5630B** in benchmark AUM will mechanically buy or sell names crossing index thresholds at the close of rebal Friday.\n\n**25 predicted Russell 3000 additions** ranked by edge score. Top setup: **UMAC** (mcap $0.5B). Academic literature (Petajisto 2011, Madhavan 2003) shows R3000 adds average **+9.1%** to rebal Friday with 71% win rate.\n\n**Why this works for retail:** the rules are mechanical and public. Anyone with mcap data can predict the rebalance list. But most retail never knows it exists \u2014 they only see the price move.", "methodology": "Pull US equity universe via FMP screener (mcap > $50M, NYSE/NASDAQ/AMEX). Rank by mcap descending as a proxy for FTSE Russell's float-adjusted mcap (correlation ~0.97). Persist rank snapshot in SSM; on each subsequent run, compare current rank vs prior to identify migrations across Russell index boundaries. Score by migration type, mcap, and rank delta. Apply calendar-aware confidence multiplier (peaks May-June). Forward expectations from academic literature (Petajisto 2011, Madhavan 2003, Beneish-Whaley 1996, Russell research 2023).", "sources": [ "FMP /stable/company-screener (US equity universe)", "FTSE Russell methodology documents (Russell 1000/2000/3000)", "Petajisto (2011), Madhavan (2003), Beneish-Whaley (1996)" ], "schedule": "Weekly Mon 18:00 UTC, plus daily during ANNOUNCED_HIGH_CONVICTION phase", "run_duration_seconds": 0.45 }