S&P500指数调整套利策略与机制解析

Brooks, this is a pretty straightforward concept. Um, buying likely additions to, say, the S&P 500. We know the index compiler is going to make an announcement this Friday on which companies it's going to add. Are you surprised that no one else has come up with an ETF around this idea? I was genuinely surprised I when I was exploring the the concept for this, I was digging through and looking at ETFs and not only was there not an ETF, there also wasn't even a custom basket.

So this is a return stream that is heavily traded in the industry. It typically is exposed in pod and multi street hedge funds, although it's certainly the case in some bulge bracket banks as well. But yeah this was the the first, uh, widely available return stream. Yeah we we wrote about it. My colleague James Seyfert has a note on via ETF now um, about it. And it gets a lot of readership. People are interested in this.

His headline is 3636 Stocks Vie for Entry into the $27 trillion S&P 500 money machine. So we've got, uh, 13 trillion in indexed assets that a much more active. I mean, basically the whole market revolves around the S&P 500 as if it was the sun. There's 36 stocks that could make it in. You buy all of these or most of them. And then how many make it? So how does the process work for your fund? Sure. Um, my fund holds 40 stocks and it is probabilistically weighted.

I cover names that are eligible to join the S&P five, the S&P for the S&P six, and to a lesser degree, Nasdaq. The over the years, I've seen research pieces come out from from banks, from research shops. And they they typically put out lists of companies and they're either sorted alphabetically or by market cap. One of the things that I managed to get pretty good at and have deployed in this fund is generating a probabilistic list, and coming up with the list is a relatively straightforward process.

You can do it. It still takes a little bit of finagling to get it right, but applying some probabilistic scores to it, which then you can then use to weight a portfolio, is the tricky part that I think that I've I've solved. Right. And that's where your experience comes in. Once a company is added to the S&P 500, you then remove it from the ETF. Correct? I sell it on the day on the clothes that it goes in, so that it's a seamless transition from ads into your, uh, your S&P 500 index vehicle of choice.

Now, how do you account for the committee. Okay. The S&P 500 has like a committee of human beings who, even if the stock meets the criteria, can just give it thumbs down. It did it to Tesla. It did the strategy. Um, it doesn't look like any of these might be controversial names, but how do you factor in the committee? And do you know anything about this committee? That's pretty secretive. I've yet to meet anybody in person, at least as far as I know.

Uh, the the beauty of the way that this works is that there is a history of their decisions. And that's effectively what I'm using to to try to ascribe some inputs that say they're focused on this. They're not focused on that. This is very important that there are there are plenty of publicly listed and disclosed criteria that a company has to meet before they go in. But it's trying to, uh, invoke some of the art on top of the science that that lets you weight things appropriately.

And it's for this reason that a lot of people say, even though the S&P 500 index compilers are, you know, passive. It's not really. It's kind of active in its own way. For us, you spent two decades trading index funds, index events. Sorry, from both sides of the flow. What do you think has changed since the early 2000, since you began doing this? It's just the pace at which the the information is, is just brought into everybody's process.

It used to be the case that you would find an announcement at 515 on Friday, and maybe you'd find a blip, maybe you'd find a little bit of after hours volume. But now the reaction is almost instantaneous. And you're finding after hours moves now of 810%, which is what we used to look for for a total market impact over the course of what used to be five days, but then became ten days. And, you know, the the index committees are doing their best to widen the timeframe and make everything more transparent, which which is great.

And they should, but it, um, it just makes the game more, more complicated. So this is so logical. Why wouldn't you buy stocks ahead of this gigantic, insensitive buying machine? Right. However, this has been known for a while. Active managers know this. And yet still. And you'd think the index would be hurt a lot, like passive investors would be the losers here, because they're going to be selling high because all these people front ran them.

Yet the beat rates for active are still awful. If you look over one year it's always like a third beats only then you go down to uh ten years, only 18% beat. And then beyond that it gets lower and lower. Why? I think people are trying too hard to to outfox the, the index and the, the, the, the overall composition itself. The I think that there is there's a pretty well-documented systematic effect that that occurs when you find names making the leap and getting in here.

And that's really what this is. This is a systematic attempt to have a companion fund that would sit alongside your your core position. And, you know, one one thing that I'd like to point out, that I think most people would be surprised by is that if they were to reconstitute the S&P 500 today, there would be about 110 or 120 companies that wouldn't meet the criteria to go in. So it's it's, um, it's like a case where it's much easier to get in, that it is too much more difficult to get in than it is to stand.