The structural flow
When a name enters or leaves a major index, every fund tracking it must transact, in size, near the close on a known date. This is price-insensitive demand — the funds are obliged, not opinionated.
Why it is harder than it sounds
The effect is thoroughly known and substantially front-run. Much of the move now occurs on announcement rather than on execution, and the residual is contested by desks with better flow information than a retail participant has.
What remains accessible
Smaller indices, less-covered rebalances, and the reversal that frequently follows the event as temporary demand unwinds. The reversal is generally more accessible than the event itself, because it is slower and less crowded.