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Quantitative Analysis |
Enhanced Indexing
In line with our mandate to deliver innovative and insightful products and services, UNX offers enhanced indexing analyses by monitoring statistically important events for all indexes.
Through our ongoing analysis, UNX identifies systematic, regular error which can be traded and create positive alpha. Our coverage includes but is not limited to the following:
Intraday Change In Weighting
Indexes adjust security weighting intraday if changes in flow exceed five percent.
M&A Over And Under Weighting
Index members which are targets or acquirers often present short burst of alpha resulting in positive returns while lowering index volatility.
Index Transitions
Adds and removals continue to be a source of alpha in select time series and indexes.
Quarterly Rebalance
The share adjustment is based on publicly available information.
Corporate Restructuring
Changes to the balance sheet include Dutch Auctions, secondary offerings, and debt and convertible pricing.
Quarterly IPO Additions
Predictable additions to the Russell indexes.
Intramonth Maintenance
Changes to the Russell weightings occur throughout the month.
End Of Month Maintenance
Certain Russell weightings occur only at the end of the month.
Annual Reconstitution
Many trades are associated with the Russell annual reconstitution.
Spread Trade
Cyclical movement in the spread between highly correlated securities provides the indexer with a steady flow of alpha positive trading opportunities.
Recent Summary Analyses:
Enhanced Indexing Analyses: A multi year examination of Quantitative StrategiesTo receive UNX’s analyses, please contact Scott Ammaturo at 866.679.9595 or email scott.ammaturo@unx.com.
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