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Yes, that's the theory...
In practice, the ASX300 Group has been 10 stocks short for months, and
the All Ords (ASX500) is perennially missing 30 stocks.
GICS from S&P is a similar story.
The moral of the story is, don't count on expediency & accuracy from
Standard & Poor's.
jose '-)
http://www.metastocktools.com
--- In amibroker@xxxxxxxxxxxxxxx, Graham <kavemanperth@xxxx> wrote:
> The indices themselves are revosed regularly through the year
>
> http://www2.standardandpoors.com/spf/pdf/index/
Methodology_Finalised_9July03.pdf
> A guiding principle of Standard &Poor's index management is the
> minimisationof turnover among indexconstituents. An index addition
> generally will be made only if an index vacancyis created by an
index
> deletion.
> The Index Committee determinesS&P/ASX index additions based
onhistoric
> analysis of a stock's market capitalisation, free float, and
> liquidity.
> Quarterly Rebalance
> Constituents are rebalanced quarterly to ensure adequate market
capitalisation
> and liquidity. Both market capitalisation and liquidity are assessed
> using the previous six months' worth of data. Quarterly rebalance
> changes
> take effect on the third Friday of December, March, June, and
September.
> The S&P/ASX 300, unlike the other indices, is rebalanced every six
> months, with changes taking effect on the third Friday of March and
> September.
> Intra Quarter
> The most common reason for deleting a stock from an S&P index intra
> quarter is acquisition by another company.
> Additionally, stocks may be deleted for the following reasons:
> Voluntary Administration
> A company is removed from the index immediately after filing for
voluntary
> administration.
> Restructuring
> Each company's restructuring plan is analysed in depth. The
> restructured company and any spin-offs are reviewed for index
> inclusion or exclusion.
>
>
> On Thu, 17 Feb 2005 17:42:43 -0800 (PST), Steve Davo
> <stevedavo42@xxxx> wrote:
> >
> > Graham,
> > just checked S&P website and the dates
> > on the indicies lists are 17th Feb, not sure how often
> > they are updated.
> > Thanks for your excellent work here and
> > on Reefcap.
> >
> > Cheers,
> > Steve
> > ------------------------------------------------------------------
> > --- Graham <kavemanperth@xxxx> wrote:
> >
> > > How recent are the lists?
> >
> > __________________________________
> > Do you Yahoo!?
> > Yahoo! Mail - You care about security. So do we.
> > http://promotions.yahoo.com/new_mail
> >
> >
> > Check AmiBroker web page at:
> > http://www.amibroker.com/
> >
> > Check group FAQ at: http://groups.yahoo.com/group/amibroker/files/
groupfaq.html
> > Yahoo! Groups Links
> >
> >
> >
> >
> >
>
>
> --
> Cheers
> Graham
> http://e-wire.net.au/~eb_kavan/
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