’Tis the season to get set ahead of the December quarter rebalance for the S&P/ASX indices.

We now take it as just about gospel that the best way to deal with index rebalancing is to get in ahead of the actual announcement. Analysts, and we typically highlight the work of Macquarie’s John Conomos, note that stocks being added tend to run up ahead of Standard & Poor’s announcement of the rebalance, which is 10 sessions before the actual change. Then, they underperform into the implementation.