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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 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.)

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