tracking corporate actions for the index constituents. Fin.
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I certainly agree that passive investing should be more supportive of momentum *in theory* when it replaces active, although I haven’t seen a ton of evidence for it (one obvious prediction would be that the momentum factor should be working better now but... it’s not?)
Even index rebalances, which should add easily observable momentum concentrated in a small number of names, is surprisingly hard to make money from because so many people are trying to do it.
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There are dozens if not hundreds of teams trying to model which companies will get added/removed from major indexes and get ahead of the rebalance flows, so the price impact from an index add/delete now happens weeks or months ahead of the *announcement* let alone the ex-date
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I don’t know of one sell-side firm which doesn’t try to forecast index add-dels. Even in a slightly backwater-ish India.
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Is there a way to detect if rebalance has occured in particular stock just by looking at volume, open and close prices?
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