Seminar 217, Risk Management: Rebalancing: The Achilles’ Heel of Conventional Indexing

Seminar 217, Risk Management: Rebalancing: The Achilles’ Heel of Conventional Indexing

Risk Seminar
Feb 8, 2022, 11:00 AM - 12:30 PM | Zoom | Happening As Scheduled
Vitali Kalesnik, Research Affiliates (Speaker - Featured)

Abstract: Traditional passive indexes systematically buy companies at high average valuations and sell at low valuations, causing a drag to the index performance. Taking the S&P 500 as an example, in a year prior to the announcement of the index rebalancing and subsequently until the actual rebalancing occurs, a typical addition outperforms a typical deletion by about 83%. In the year after the...