Discussion in 'Index Futures' started by maninjapan, Oct 31, 2008.
Any opinions on what the Dax will do on monday, when VW is reweighted?? nonevent???
What is its current weighting? Where can you find out all the weightings?
its on the website as a Excel File
Well likely to withdraw VW's ordinary shares, but then promote VW's preference shares to Dax-30 index. Am still trying to figure out full application but looks like it would happen before trading begins on Thursday, if rules are applied correctly and based on past 30 days volatility. Am tempted to trade it as any normal index change event....
Cygnus, What would be a strategy for 'index change events'
To date the best study was by http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1011282
However there has been 7 other studies on the same subject, mostly by mutual funds. Used to be a great trade especially on Hang Seng indices,FTSE 100 & 250 , Johannesburg Top 40, but it has been recently(2006 onwards) crowded by hedge funds. In bearish or jittery conditions play half position size and consult the chart.
Disclosure: Obama to WIN
Separate names with a comma.