Could Volcker Affect the Russell Rebalance?

Traders Magazine Online News, April 26, 2012

James Armstrong

“There are a lot of mutual fund managers being compared to ETFs, and they’re looking to enhance their returns this year to differentiate themselves,” Behette said. “I think some people will look at this as an opportunity to pick up some alpha in the market.”

But Credit Suisse’s Mackintosh said mutual funds have gotten more conservative about the rebalance trade in recent years after getting burned in the past. He said it is still anyone’s guess if speculative trading will meet the demands of index funds on rebalance day.

May 31 is the ranking date at which Russell determines market caps. The company releases a preliminary list of stocks in its 2012 indexes on June 8, and new indexes become effective at the close of reconstitution day, June 22.

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