Earning Alpha by Avoiding the Index Rebalancing Crowd
研究发现传统市值加权指数调仓时，被剔除的股票在一年后平均跑赢新纳入股票22%，通过提前交易或延迟调仓3-12个月可每年获得最多23个基点的超额收益。
Traditional capitalization-weighted indices generally add stocks with high valuation multiples after persistent outperformance and sell stocks at low valuation multiples after persistent underperformance. It is well known that the price impact of these changes can be large once a change is announced. The subsequent reversal is less well known. For example, in the year after a change in the S&P 500 Index, discretionary deletions beat additions by 22%, on average. Simple rules, such as trading ahead of index funds or delaying reconstitution trades by 3 to 12 months, can add up to 23 basis points a year. This benefit roughly doubles when we cap-weight a portfolio selected based on the fundamental size of a company’s business or on its multi-year average market-cap.