AgPa #27: Forecasting DAX Index Changes
Forecasting index changes in the German DAX family (2020)
Friedrich‑Carl Franz
Journal of Asset Management 21, 135-153, URL
Is it possible to forecast and exploit changes in the composition of equity indices? This is the central question of this week’s AGNOSTIC Paper and the author introduces a quite interesting trading strategy for the German DAX family indices…
- Index changes in the DAX family are predictable
- Buying index additions and shorting deletions generated strong risk-adjusted returns