SSE50 Index Rebalance: 5 Changes and Same Way Index Flow

437 Views27 Nov 2021 13:42
There are 5 changes to the SSE50 Index at the Dec rebalance and there are stocks that have over 1.5 days of ADV to trade. With CFFEX traded futures and arb positions, the actual impact will be higher.
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Brian Freitas
Pan-Asia Index Rebalances/ Events/ Delta One
Periscope Analytics
EquitiesEvent-DrivenQuantitative Analysis
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