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Anatomy of a Dynamic Core U.S. Equity Index Rebalance On March 1, 2006, the Dynamic Market Intellidex (DYI) completed a quarterly ...

By Staff Writer | Updated on March 01, 2006
Anatomy of a Dynamic Core U.S. Equity Index Rebalance

On March 1, 2006, the Dynamic Market Intellidex (DYI) completed a quarterly rebalance through a posting made at 8:18 a.m. on the American Stock Exchange’s Amextrader Web page:

Click on “Daily Lists,” then “Indexes,” then enter the date “0/3/01/2006.” Scroll down to the Indellidex symbol DYI.

DYI always holds 100 stocks selected quarterly by a proprietary rules-driven model. On 3/1/06, a fairly high number of components, 69, turned over (i.e., 69 new stocks were added and 69 were deleted). The rules that drive DYI rebalancing events assure that each sector of the U.S. economy is represented in the index in approximately the same weight as the S&P 500. (DYI performance is driven by individual stock selection, not sector selection.)

The Amex publishes the weightings of each component as a number of shares held in a hypothetical portfolio. On 3/1/06, for example, the index’s two largest holdings were Exxon Mobile (108,225 shares) and Burlington Resources (71,746 shares), each representing about 3.5% of index weight. In terms of market cap, component size ranged from Exxon Mobile’s $370 billion down to AMN Healthcare Services’ $590 million.

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