Ann: S&P DJI Announces September 2021 Quarterly Rebalance, page-46

They do tend to underperform, not as consistently as the incoming stocks outperform though - and often a lot of the underperformance has already happened prior to the announcement. From memory average is about -3 to -4%, over a few months pre-rebalance, but once the announcement is out it flattens out. So I wouldn't be selling on the basis of the announcement (however the fact that it's getting kicked out of the index obviously suggests there could be some other issues with these companies!). That said, I'm still holding my IRI