S&P 400 Index Addition
We start with summary statistics for stocks that were newly added to the S&P MidCap 400 rather than promoted from another S&P index:
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% price change by next-day close= the % price change from the regular-market close immediately preceding the announcement to the next trading day's 4:00 PM ET close.
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160 qualifying additions. Of these, 156 have usable numeric values for % price change; 4 have missing values.
Summary statistics — Newly added to S&P MidCap 400
Statistic | Result |
|---|---|
Total qualifying additions | 160 |
Valid observations | 156 |
Missing | 4 |
Average return | +4.95% |
Median return | +4.65% |
Standard deviation | 4.25% |
25th percentile | +2.69% |
75th percentile | +6.28% |
10th percentile | +1.22% |
90th percentile | +10.26% |
5th percentile | -0.01% |
95th percentile | +14.00% |
Minimum | -12.40% |
Maximum | +22.01% |
Positive | 145 / 156 = 92.9% |
Negative | 8 / 156 = 5.1% |
Exactly zero | 3 / 156 = 1.9% |
5%-trimmed mean | +4.84% |
Standard error | 0.34 pp |
95% CI for mean | +4.28% to +5.63% |
How frequently did stocks experience large gains?
BG return threshold | Number | % of 156 |
|---|---|---|
>= +1% | 141 | 90.4% |
>= +2% | 131 | 84.0% |
>= +3% | 109 | 69.9% |
>= +5% | 68 | 43.6% |
>= +10% | 17 | 10.9% |
>= +15% | 4 | 2.6% |
<= -3% | 3 | 1.9% |
<= -5% | 1 | 0.6% |
<= -10% | 1 | 0.6% |
The results are unusually strong
The first thing that stands out is the 92.9% positive rate. Of 156 observations with usable data, 145 were positive, only 8 were negative, and 3 were exactly zero.
Even more striking:
90.4% gained at least 1%.
84.0% gained at least 2%.
69.9% gained at least 3%.
43.6% gained at least 5%.
Only 3 of 156 observations (1.9%) declined by 3% or more.
That is a much more asymmetric distribution than what we saw when looking at all MidCap 400 additions together (Section below).
The median is almost as high as the average
This is probably the second-most-important finding:
Mean = +4.95%
Median = +4.65%
5%-trimmed mean = +4.84%
Those three numbers being so close is important.
The +4.95% average is not being produced primarily by a few enormous winners. Even after removing 5% of observations from each tail, the average is still +4.84%.
And the median says that the typical observation gained about 4.65%.
Indeed, the middle 50% of observations falls between:
+2.69% and +6.28%
That is remarkable because even the 25th percentile is strongly positive.
Approximately 75% of the newly added MidCap stocks gained at least 2.69% by the next trading day's close.
Even the 10th percentile is positive
The 10th percentile is:
+1.22%
So approximately 90% of observations returned at least +1.22%.
The 5th percentile is approximately zero (−0.014%), meaning roughly 95% of observations were around zero or better.
That gives a much clearer picture of the distribution than the +4.95% mean alone.
The extremes
1. The largest positive BG observations include:
Company | Ticker | BG return |
|---|---|---|
Amkor Technology | AMKR | +22.01% |
Erie Indemnity | ERIE | +16.99% |
Staar Surgical | STAA | +16.38% |
Enphase Energy | ENPH | +15.56% |
Halozyme Therapeutics | HALO | +14.49% |
Calix | CALX | +14.46% |
2. The largest negative observations include:
Company | Ticker | BG return |
|---|---|---|
Lantheus Holdings | LNTH | -12.40% |
ExlService Holdings | EXLS | -4.69% |
Knife River | KNF | -4.37% |
Aaon | AAON | -2.95% |
DT Midstream | DTM | -2.26% |
Onto Innovation | ONTO | -1.56% |
Notice the asymmetry: there are numerous +10% to +22% observations, while only one observation out of 156 lost more than 5%.
This changes the interpretation of the “All S&P MidCap 400 additions” result
When we looked at all stocks ending up in the S&P MidCap 400, we obtained approximately:
Group | N | Mean % Price Change | Median % Price Change | Positive |
|---|---|---|---|---|
All S&P MidCap 400 additions | 272 | +1.76% | +1.96% | 59.9% |
New MidCap 400 additions () | 156 | +4.95% | +4.65% | 92.9% |
That is an enormous difference.
It strongly suggests that lumping all MidCap 400 additions together obscures the economically important distinction between:
New entrants into the S&P MidCap 400 versus stocks already in another S&P index that are moved/promoted into the MidCap 400.
And we have now seen essentially the same phenomenon at the S&P 500 level.
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Comparison the two types of new entrants
Event | N | Mean BG | Median BG | Positive | >=5% |
|---|---|---|---|---|---|
Newly added to S&P 500 | 56 | +4.56% | +5.18% | 85.7% | 50.0% |
Newly added to S&P MidCap 400 | 156 | +4.95% | +4.65% | 92.9% | 43.6% |
That's fascinating because the two results are remarkably similar.
The average returns are 4.56% and 4.95%. The medians are 5.18% and 4.65%.
This raises the possibility that the strongest announcement effect in our dataset is not specifically an “S&P 500 effect.”
It may instead be much more of a:
“new entry into an S&P index” effect
rather than an:
“S&P 500 promotion” effect.
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That's a potentially much more interesting finding for BestStockInsight because it directly supports monitoring S&P 500, MidCap 400 and SmallCap 600, rather than treating the S&P 500 as the only important index.
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The natural next test is therefore very important: S&P SmallCap 600 with Source Index = mis. If newly added SmallCap 600 stocks also show a ~4–5% median/mean BG reaction and a very high positive rate, we'd have evidence of a remarkably consistent pattern across all three S&P indexes.