Some years ago, I traded a unproblematic index modify strategy: buying stocks to hold out added to the SP500 index at the marketplace opened upwards correct afterward the index modify statement in addition to exiting the put at the close, in addition to similarly shorting stocks to hold out deleted. The results were mediocre at best.
However, new research past times University of Edinburgh Business School suggests that a like strategy industrial plant good for FTSE350 stocks (Hat tip to J. Rigg for the link). The fox is to predict which stocks are to hold out added or deleted thirty days earlier the statement ("review date"), buy/sell the stocks, in addition to unopen out the positions simply earlier the review date.
Since the criteria for inclusion inwards the FTSE index is well-defined (and primarily based on marketplace capitalization), it should non hold out difficult for the interested traders to brand their ain predictions in addition to net turn a profit from this rebalancing.
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