Measuring Russell Rebalance Volatility

The video discusses the implementation of trades and their market impact, noting a decrease in pre-positioning activity compared to previous years. It highlights the potential volatility in the market due to illiquid shares and explains that trading often continues past the RE balance date to mitigate short-term price impacts.

What is the potential consequence of leaving trades until the last moment?

• Decreased trading volume

• Significant market impact

• Increased market stability

• Improved liquidity

What was observed about the activity leading up to Russell's announcement?

• It was lower than the past five years

• It was unpredictable

• It remained constant

• It was higher than usual

How might the handling of illiquid shares affect their settlement?

• They settle faster than liquid shares

• They settle immediately

• They are unaffected by market conditions

• They may take longer to settle

Why might trades extend beyond the rebalancing date?

• To increase short-term price impact

• To avoid long-term gains

• To comply with regulations

• To mitigate short-term price impact

What strategy do managers use to handle short-term price impacts?

• Increase trading volume

• Avoid trading altogether

• Wait and trade a portion afterwards

• Trade all at once