@article {Foley65, author = {Tony Foley}, title = {Optimal Index Reconstitution Strategies}, volume = {4}, number = {2}, pages = {65--71}, year = {2009}, doi = {10.3905/jot.2009.4.2.065}, publisher = {Institutional Investor Journals Umbrella}, 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.TOPICS: Equity portfolio management, portfolio construction, performance measurement}, issn = {1559-3967}, URL = {https://jot.pm-research.com/content/4/2/65}, eprint = {https://jot.pm-research.com/content/4/2/65.full.pdf}, journal = {The Journal of Trading (Retired)} }