Index Changes and Losses to Index Fund Investors
研究发现，由于指数调整期间的套利行为，追踪标普500和罗素2000指数的基金投资者每年合计损失10亿至21亿美元，损失源于以追踪误差评估基金经理的意外后果。
Because of arbitrage around the time of index changes, investors in funds linked to the S&P 500 Index and the Russell 2000 Index lose between $1.0 billion and $2.1 billion a year for the two indices combined. The losses can be higher if benchmarked assets are considered, the pre-reconstitution period is lengthened, or involuntary deletions are taken into account. The losses are an unexpected consequence of the evaluation of index fund managers on the basis of tracking error. Minimization of tracking error, coupled with the predictability and/or pre-announcement of index changes, creates the opportunity for a wealth transfer from index fund investors to arbitrageurs.