PT  - JOURNAL ARTICLE
AU  - Tony Foley
TI  - Optimal Index Reconstitution Strategies
AID  - 10.3905/jot.2009.4.2.065
DP  - 2009 Mar 31
TA  - The Journal of Trading
PG  - 65--71
VI  - 4
IP  - 2
4099  - https://pm-research.com/content/4/2/65.short
4100  - https://pm-research.com/content/4/2/65.full
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