S＆P 500コンポーネントの変更タイミング - 市場前または市場後？

When S&P 500 has a component change is the change made before market open or after the close. For example on March 3rd announement by S&P that UDR replacing GMCR after close of trading on Friday March 4th:

If I am using a list of changes to the S&P 500, can I assume all changes are made after the close of the trading day ?

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3 答え

Returns on the S&P 500, disseminated by S&P and other statistical firms are computed using closing prices. Institutional investors compare their own close to close returns between two dates to the S&P total return benchmark.

The standard phrase "UDR will replace GMCR after close of trading on Friday March 4th" simply means that in computing returns from March 3 to March 4th the price of GMCR on these two days is used. In computing S&P500 returns from March 4 to the next trading day March 7, 2016 the price of UDR will be used (and the GMCR price will not be used).

If you are a trader who is trying to match the S&P500 performance, what you do is up to you (in terms of buying/selling). S&P is just telling you how they will compute the day-to-day performance that you are trying to match. The list of stocks used will change in the manner described.

So the short answer to your question is yes: the substitution occurs at the close (never in the middle of the day or at the open; S&P does not publish. and no one would be interested in purchasing, total return figures computed at such strange times).

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For the S&P indices (and probably all other indices, but not 100% sure), the changes are made at the close. There are trading strategies people implement around this. My experience with this is some years back, so things may have changed.

Imagine your are the Vanguard S&P500 index tracker fund on the week that FB is getting added to the S&P 500. I don't recall the dollar value of the free floating stock for FB on the day of the add (December 20, 2013), but let's say that it was \\$100B. Weights in the index are based on free floating shares - so Zuck's shares don't count. Given \\$100B of free floating stock - the index tracking funds like Vanguard have about 12% of the SPX. This means that these funds need to hold 12% of the free floating shares of FB on the close on Dec 20, 2013.

ここで最も重要なのは、インデクサーが購入する必要のある金額です。なぜなら、この戦略の動機は、彼らが作ることができる金額に基づいているからです！ 2番目の懸念事項は、平均日次取引量の予想差異とは何か - これも重要ですが、同じ程度ではありません。

だから、インデクサーがやっていたこれらの取引をピギーバックするのが好きだった時代（少なくとも数年前）に時々買い物客を買ってください。通常、そのような取引は、SPXおよび/または同じ業界の別の会社の同等の株式でヘッジされ、マクロリスクが緩和されます。私たちがそれをやっていたとき、これはすばらしい戦略でした - 私はなぜそれがちょうど働いていたのか理解できませんでした。私は、市場の効率性がこれまでに追いついたと想像しなければなりません。ルールが変わって難しくなるかもしれません。

Other things to note - getting added to the S&P500 is much less interesting if the add was an upgrade from the midcap S&P 400 - in that case midcap indexers need to sell their shares - I think they used to hold 7% of the shares, so the net amount to buy was only 5% instead of 12%. This could sometimes set up good shorting opportunities if the stock moved up too much on the announcement of the add.

この戦略の鍵は、実行とそれを正しくヘッジすることでした。

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しかし、それはインデックスの定義で何と言いますか？