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Optimal Index Reconstitution Strategies

Tony Foley
The Journal of Trading Spring 2009, 4 (2) 65-71; DOI: https://doi.org/10.3905/jot.2009.4.2.065
Tony Foley
is head of quantitative research at D. E. Shaw Investment Management, L.L.C. in New York, NY.
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  • For correspondence: foleya@deshaw.com
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Abstract

Changes in benchmark composition can have considerable impact on tracking error and generally entail significant portfolio turnover if a manager wishes to maintain a given tracking error target. Russell Investments, for example, announces its index reconstitutions approximately one month before they take effect. Under these circumstances, it is possible to calculate optimal single-stock strategies for transitioning stocks into and out of a portfolio that tracks one of the Russell indices.

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The Journal of Trading
Vol. 4, Issue 2
Spring 2009
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Optimal Index Reconstitution Strategies
Tony Foley
The Journal of Trading Mar 2009, 4 (2) 65-71; DOI: 10.3905/jot.2009.4.2.065

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Optimal Index Reconstitution Strategies
Tony Foley
The Journal of Trading Mar 2009, 4 (2) 65-71; DOI: 10.3905/jot.2009.4.2.065
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  • Article
    • Abstract
    • INDEX RECONSTITUTIONS AND MANAGER TRADE-OFFS
    • SOLUTION PROPERTIES
    • PERFORMANCE IMPLICATIONS
    • CONCLUSION
    • APPENDIX
    • ENDNOTES
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