Quantitative Equity Research_ Quant Matters – Alpha Opportunities in Index Tracking
2025-03-16 14:52
March 12, 2025 05:00 AM GMT Quantitative Equity Research Quant Matters – Alpha Opportunities in Index Tracking M Minimising tracking errors in index funds may increase trading costs by buying high and selling low. Our study in the US, Europe, and Japan suggests investors should act quickly post- index changes to secure alpha. Key Takeaways The 4 Dimensions Update (framework in this report) & Factor Views: Europe – Up vs Down EPS Revisions (3ma) (+), Net Buyback Yield (+), FCF Yield (+). We revise the 10Y re ...