10 new stocks will be added to the DAX in September. So there will be 40 stocks in the DAX. How do you deal with it? _Does anyone have experience with that? Will that change the structure of the DAX? Should you first stop all algorithms and see what happens or recalculate everything?
EricParticipant
Master
Whats the market cap on these 10?
How much in percent of the index will these 10 new be?
I have no idea. I heard about it for the first time yesterday.
Dax will be near 18000 or 19000. We don’t officially know which enterprises will integrate the index and the impact that they will have. It will depend of there activity sector and there capitalization.
Actually Dax30 is composed of industrial entreprises and breakout or trend following strategies works quite well. If the 10 entreprises are industrial or with a cyclical business like volkwagen for example then trend following and breakout strategies will continue to work. If the 10 enterprises are more defensive, Dax 40 might have more mean reverted moves.
Damn … I don’t really have mean reversion for the dax.
EricParticipant
Master
Dax will be near 18000 or 19000.
Do you really think that the DAX price will change by 3000 within one day ? I’d rather think that the price after the change will stay the same as the day before, but the weighting of all 40 members will be adapted to the new situation.
And at least in my theory, price movements of the DAX could be a littler smoother than before, because there are more members over which the price is averaged. The new members have all been in MDAX before, so they are not really new to the big indices.
I just found this :
The DAX 40 will start with exactly the same price as the DAX 30 shows on the closing price chart on the Frankfurt Stock Exchange on its last trading day. If, for example, the DAX 30 exits trading on its last day at 13,000 points, the DAX 40 will be mathematically adjusted exactly so that the sum of the 40 shares is also 13,000 points.
This week I’ll be a little careful and wait and see with the algorithms.
