This is better than most articles on this subject but still a fairy tale. Passive investing (buying everything in proportion to market cap) by definition creates no relative price impact. Price impact is only created by active trading.https://www.ft.com/content/994bdda8-b704-4e4c-9b19-4e0021f0b309 …
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value and size are also a market-impact/liquidity story. why do very large pools of capital not focus on value and size? because the opportunity set is small relative to aggregate large pools of capital, especially fast money that needs liquidity and limited slippage
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at one point last year (octoberish) the S&P 1000 free float was like 4% of the market cap of the 1500 iirc. large HFs, endowments, etc simply cant overweight these things because of size constraints. they would (and did) move the market when they reacted to any signals
End of conversation
New conversation -
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Passive FUD-ders coming your way soon
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