Instruction
 
Strategy Name: Index Rebalance (in Russell 2000)
 
Please researching in the Strategy of Index Rebalance (in Russell 2000) by any resource if they can make the paper addressed clearer.
 
Please focus on the following parts of Index Rebalance (in Russell 2000).

  1. Signal Generation

How to generate forward return predictions that will determine which assets to buy or sell

  • Theory
  • Universe
  • Formula (Most important here)
  • Economic Intuition (the reason(s) this strategy should work, revisited)

 

  1. Portfolio Construction

 
How to convert predicted returns and risk data into desired portfolios or sets of trades

  • Trading Frequency
  • Sizing
  • Hedging
  • Money Management

 
Please most pay attention in Signal Generation part that explain formulas more details. During the research, if there’s something you’re not sure or can’t find a good explanation for it, please noted where you undecided and just leave it.
 
I already upload one Power Point document which include some important ides of Index Rebalance, please check it in attachment.