Our study shows that an approach constrained to rebalancing on the day an index undergoes reconstitution may suffer from multiple sources of price pressure.
Key Takeaways:
Key Takeaways:
- Index-tracking funds seek to match an index’s performance. This goal may lead to constraints and implementation costs that hurt returns.
- Our 10-year study identifies significant costs for index-tracking funds from demanding immediacy during index reconstitution events.
- A better investment approach would be a daily process that spreads turnover across all trading days, avoiding the costs of demanding immediacy and allowing for a consistent focus on stocks with higher expected returns.
Complete the form to access this exclusive report.
Feeling inspired? Share these insights on social.
![](https://store.lmknowledgehub.com/storage/pages/images/snnTR1zudDiGtSafdcDQ14ICNHMBesPNdWi6mnta.jpg)
Gain Access
![Dimensional Fund Advisors logo](https://store.lmknowledgehub.com/storage/dimen/WsH6U5zHkK7Zl5f0eX45Jz88Gze4mWdruTuaVBYP.png)