标题： 被动投资的隐性成本 显示英文标题

标题： On the hidden costs of passive investing

摘要： 被动投资由于其低费用以及专注于零跟踪误差的感知简单性，而非证券选择，已经获得了极大的流行度。 然而，我们的分析显示，被动（零跟踪误差）方法是在指数再构成当天市场收盘时购买股票（该股票几天前已被宣布为即将添加的股票），与那些提前逐步购入少量所需股份并产生最小额外跟踪误差的策略相比，会导致数百个基点的成本。 此外，我们表明，在所有分析的情景下，一个在公告后建立少量库存并在再构成事件中提供流动性的交易者可以持续获得数百个基点的利润，通常更多，假设风险极小。 显示英文摘要

摘要： Passive investing has gained immense popularity due to its low fees and the perceived simplicity of focusing on zero tracking error, rather than security selection. However, our analysis shows that the passive (zero tracking error) approach of waiting until the market close on the day of index reconstitution to purchase a stock (that was announced days earlier as an upcoming addition) results in costs amounting to hundreds of basis points compared to strategies that involve gradually acquiring a small portion of the required shares in advance with minimal additional tracking errors. In addition, we show that under all scenarios analyzed, a trader who builds a small inventory post-announcement and provides liquidity at the reconstitution event can consistently earn several hundreds of basis points in profit and often much more, assuming minimal risk.