Research / Lead and lag

Fund to constituent

Moves in a fund can lead the names inside it, or the reverse, over short horizons.

The idea

Moves in a fund can lead the names inside it, or the reverse, over short horizons.

Why it might exist

A fund and its holdings are priced in different places by different participants, and the faster one leads.

Who is on the other side

Those pricing the slower side from stale information.

What would retire it

The delay shrinks below what cost allows.