부산대학교 도서관

Index rebalancing is a strategy that is based on changes in the index's constituent equities. The strategy takes long positions in newly added equities and short positions in stocks that have been removed. Arbitrage opportunities are created because indicator institutions will buy the added stocks and sell the deleted stocks depending on the change of the index. SSE380 is an important indicator for Chinese stocks. We use SSE380 to study the Index rebalancing strategy. To test whether the index rebalancing strategy can be successfully applied in the SSE380 and make investors profitable. We tested using data from January 2011 to June 2021. A total of 19 readjustments were made. Profit and loss are calculated in this work and a graphic is drawn to demonstrate it. The results are studied and discussed using the Profit Ratio, Annualized Sharpe ratio, and Annualized information ratio parameters. Based on the obtained data, we analyze the strengths and weaknesses of the strategies and give trading recommendations.