S&P 500
S&P 500 Additions: 25 Years of Index Effect Data
We measured the price impact of 537 S&P 500 additions from 2000 to 2025. Additions underperform the market by 0.86% at T+5 (t = -3.63). The classic academic finding has reversed.
S&P 500
survivorship bias
Survivorship Bias: The 2% Error in Every S&P 500 Backtest
We ran the same value screen on the S&P 500 twice: once with today's members, once with historical membership. Survivorship bias inflated CAGR by 2.02% and hid 7.8 percentage points of drawdown over 25 years. The risk distortion is worse than the return distortion.
S&P 500
S&P 500 Removals: 25 Years of Data on What Happens After Stocks Get Kicked Out
We measured cumulative abnormal returns for 196 S&P 500 removals from 2000 to 2025. The overall mean at T+63 is +8.6%, but five extreme events drive the entire result. In the 2020s, removals continue declining. The classic recovery pattern is dead.
equity growth
Compounding Equity Screen US: Why Equity Growth Doesn't Beat the Market in America
We ran the Compounding Equity Screen on all US exchanges from 2000 to 2025. 5.68% CAGR vs 7.85% for the S&P 500. The strategy underperforms by 2.18% annually. In 2023, it returned -4.3% while SPY gained 25.4%. Here is what the data shows and why it happens.