Fund managers and brokers (the proactive and progressive ones anyway) track the stocks in the indices very closely - most of the time they have a good idea of what are likely to be included and excluded in the forthcoming reviews. All based around market cap, excluded shareholdings, time on the market etc.
But gone are the days when funds make changes only on the day of the index changes - nowadays they try to take positions well ahead of time.
The fund managers and brokers subscribe as well of course to the index services - costs money. Am sure NZX gets a cut from S&P.