When Big Gets Small: Trading the Lower Tier of Large Caps and Upper Mid Caps
david.belobrad@quantpedia.com
The growing dominance of passive investing has fundamentally altered the dynamics of equity markets. A substantial share of trading volume is now driven by index-tracking strategies, which mechanically allocate capital based on index membership rather than company-specific fundamentals. This raises an important question: can predictable flows associated with index rebalancing be systematically exploited? The post When Big Gets Small: Trading the Lower Tier of Large Caps and Upper Mid Caps first