TY - JOUR T1 - Optimal Index Reconstitution Strategies JF - The Journal of Trading SP - 65 LP - 71 DO - 10.3905/jot.2009.4.2.065 VL - 4 IS - 2 AU - Tony Foley Y1 - 2009/03/31 UR - https://pm-research.com/content/4/2/65.abstract N2 - 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 ER -