Strategy #0000000142 · Event-driven and special situations
Index inclusion and reconstitution effects
Choose add/delete and enter passive demand as float, price sensitivity, reversal, notional and costs.
Benchmark changes require tracking funds to adjust holdings around announcements and effective dates, potentially creating predictable demand. Index-provider selection, anticipation, arbitrage capital, tracking error and market size all shape price effects; some studies find the effect has weakened. This simulation uses manual demand and impact assumptions.
No current constituent list, fund flows, announcement timing or historical event study is loaded.
Three ways in
Understand the story. Then inspect the risk.
Start with a familiar situation, check the payoff, then test how the numbers change.
The idea · in two minutes
What remains from an assumed passive-demand impact after reversal and costs for an add or deletion?
Benchmark changes require tracking funds to adjust holdings around announcements and effective dates, potentially creating predictable demand. Index-provider selection, anticipation, arbitrage capital, tracking error and market size all shape price effects; some studies find the effect has weakened. This simulation uses manual demand and impact assumptions.
Choose add/delete and enter passive demand as float, price sensitivity, reversal, notional and costs.
No current constituent list, fund flows, announcement timing or historical event study is loaded.
- Input assumptionsChoose add/delete and enter passive demand as float, price sensitivity, reversal, notional and costs.
- Model outputNo current constituent list, fund flows, announcement timing or historical event study is loaded.
Illustrative research examples only. They are not live signals or a recommendation.
The mechanics · payoff and exposure
Impact=PassiveDemand\times Sensitivity,\quad R=EventSign\times Impact-Reversal-C
Passive demand as a share of float and price sensitivity are user inputs; additions and deletions use opposite signs.
Greeks: the directional intuition
- 模型
- Measures sensitivity to implied volatility.
- 合約
- Measures sensitivity to implied volatility.
- 執行
- Measures sensitivity to implied volatility.
Impact=PassiveDemand\times Sensitivity,\quad R=EventSign\times Impact-Reversal-C
Practical context · published observations
Index inclusion and reconstitution effects: read the record with its caveats.
The chart uses the published figures or explicitly labelled study inputs below. A historical index or model replay is not the same as an investor’s realised account return.
No current constituent list, fund flows, announcement timing or historical event study is loaded. Source ↗ · Methodology ↗
Change assumptions and inspect the scenario
Inputs illustrate the strategy mechanics; they are not live quotes, forecasts or investment advice.
Variants · same family, different risk levers
Models, contract terms and implementation can change results.
Compare relevant mechanisms and execution assumptions.
| Related strategy | Relationship | What changes | New cost or risk |
|---|---|---|---|
| Base scenario | Manual inputs | Benchmark changes require tracking funds to adjust holdings around announcements and effective dates, potentially creating predictable demand. Index-provider selection, anticipation, arbitrage capital, tracking error and market size all shape price effects; some studies find the effect has weakened. This simulation uses manual demand and impact assumptions. | No current constituent list, fund flows, announcement timing or historical event study is loaded. |
| Conservative version | Higher cost/loss | Stress higher costs, larger losses or lower liquidity. | May lower scenario returns. |
| Validation version | Data review | Test model inputs with consistent contracts and timestamps. | Needs licensed, representative data. |
No current constituent list, fund flows, announcement timing or historical event study is loaded.
Read beyond the summary
References
Primary sources and research used to describe the strategy and its limits.