The excess returns of stocks removed from the Russell 1000 index outperformed those added to the index over the period spanning the month before the rebalances were announced and the month after they occurred. The median return for those added to the index was 0.87%, while that of those removed from the index was 8.2%.
The distribution of the excess returns of the added companies was more normal than the deletions, which was skewed higher by some outlier returns.
The returns for the two cohorts of the Russell 2000 index were more broadly distributed. The median return over the period of the added stocks was about 1%, while the median return of the removed equities was -4.2%.
Russell reconstitutes its indexes annually at the end of June; the changes are announced a month prior.