My company LRN conducted an independent statistical analysis of how things actually work at companies, small and large, derived from a lengthy and rigorous empiricalstudy of observations from 36, 000 employees in 18 countries conducted by the Boston Research Group, The Center for Effective Organizations at University of Southern California and Research Data Technology, Inc.
Over the long run, sharp traders getting out in front of these forced portfolio changes have poached at least 0.38 percentage point of annual return away from Russell 2000 index funds, estimates a new study in the Journal of Empirical Finance.