You one smart man!
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S&P Rebalance Friday???
- Thread starter VT96
- Start date
You one smart man!
Quote from Aaron:
Was there a rebalance announcement from S&P yesterday afternoon? I didn't hear anything and there's no news about Google being added in the Yahoo headlines for Google.
Aaron Schindler
Schindler Trading
Read joetrader's post at the bottom of the first page (this thread).
Quote from Joetrader:
Oh yeah Nitro!!! I made my biggest one day take ever on that rebalance (500K) discussed in the first paper. I actually read that paper (used Quantex for a while), but I was there and made the trade and man oh man did those stocks pop after the close. I have done a lot of very cool strategies over the years if you ever want to chat (some of them were discussed in other ITG papers). Goldman wrote a paper in 2002 saying that all of their info showed S&P rebal players net losers since 2001. I managed to eke out a couple extra years, probably because I knew more about S&P rebals than the PhD's writing the papers (it's all good in theory, ha). I still don't think the index funds got there till the end of the game, but it really is a chicken and egg argument because obviously if/when they did get there then it was over anyhow. I think a lot of funds plowed in around the time just before the market crashed and then got their heads handed to them as the watched adds/ deletes drop 50% during the announcement period while the market began it's downward spiral. I think the funds began gaming it earnestly later on, after journalists/paper writers started bashing them for being stupid, ha! The bottom line (and the only thing that matters) is that "it aint what it use to be". This is also the only reason I have discussed this at all. I will gladly discuss anything that is not currently filling my pockets with cash.
Joetrader,
can you give details on how you played that July 19th 2002 SP rebalance? thanks
joetrader, what other quant strategies have stoped working that you have noticed?