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Quantitative Finance · Glossary

What is Reconstitution and rebalance?

Also known as: index reconstitution

Definition 15.3 Markets I: The Ecosystem and Exchange-Traded Markets · Chapter 15 — Index Construction and Rebalancing

An index reconstitution is a scheduled review at which the membership is redetermined. A rebalance updates the weights (share counts, float factors, caps) of an unchanged membership. Both follow a fixed sequence: a rank day on which the data are frozen, an announcement, and an effective date, after whose close the new index applies.

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