RT Journal Article
SR Electronic
T1 Optimal Index Reconstitution Strategies
JF The Journal of Trading
FD Institutional Investor Journals
SP 65
OP 71
DO 10.3905/jot.2009.4.2.065
VO 4
IS 2
A1 Tony Foley
YR 2009
UL https://pm-research.com/content/4/2/65.abstract
AB 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.TOPICS: Equity portfolio management, portfolio construction, performance measurement