[tempestn]

From what I can see, this article is on point, but is missing an important factor: the risk these "front runners" take. As soon as the announcement is made that a company is joining the index, it's public knowledge. In theory, the expected increase, minus a risk premium, should be priced in immediately. There will likely still be money to be made over the following days until the addition is complete, but it's far from guaranteed, and comes at the expense of reduced diversification. (Which I suppose is another way to say that you're getting paid for providing liquidity, as the article says.) Just because AA went up X% over the 4 days, or whatever, before it joined the index, doesn't mean the next stock will. Perhaps its jump will be overestimated by the HFTs, and retail investors trying to get in in the days following the announcement will end up losing money. Probably not, but it's certainly a significant possibility. So if a person wanted to pursue this active strategy, they would need to manage their risk appropriately. It's not necessarily a bad idea if you enjoy spending your time on that kind of thing, although personally I'd rather index (with a moderate small/value tilt).

[anonu]

most of the juice is in predicting the move before the public announcement

[tempestn]

Likely true. Also not without risk of course, since the chance of a stock getting added should also be priced in. If you're better than the "market" at predicting these things, you'll likely do well. I don't expect I am.