Measuring the Costs of Index Reconstitution: Evidence Outside the US

By Kaitlin Hendrix, CFA, Asset Allocation Research Director and Vice President   |   Jerry Liu, PhD, Trading Research Director and Vice President   |   Trey Roberts, Senior Associate, Research

Measuring the Costs of Index Reconstitution: Evidence Outside the US
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Dec 31, 2024

Topic

Equity Investing

Measuring the Costs of Index Reconstitution: Evidence Outside the US

Our study shows that, globally, an investment approach forced to rebalance on an index’s reconstitution day may suffer from multiple sources of price pressure.

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