Bank Nifty futures-cash arb
Cash-FuturesNeutral
BankNifty constituents vs futures; smaller basket more tractable than Nifty
Source: Indian
FTSE inclusion trade
Inclusion/ExclusionLong Add
FTSE 100 quarterly review; track liquidity buyers to anticipate flows
Source: FTSE
Index deletion mean reversion
Inclusion/ExclusionLong Deleted
Stocks dropped from index often oversell from forced selling; mean revert post-event
Source: Academic
Index futures roll arb
Cash-FuturesNeutral
Calendar spread between near and next contract during roll period; capture roll yield distortions
Source: CME
Index vs ETF basis
ReplicationNeutral
Trade index futures vs corresponding ETF when basis decouples
Source: Quant
MSCI rebalance trade
Inclusion/ExclusionNeutral
MSCI semi-annual rebalance; passive funds must trade billion+ generating predictable flows
Source: MSCI
Nifty 50 inclusion arb
Inclusion/ExclusionLong Add
NSE adds/removes; passive funds must buy adds, creating short-term price pressure
Source: NSE
Nifty Next 50 promotion arb
Inclusion/ExclusionLong Add
Stocks promoted from Next 50 to Nifty 50 see passive buying spike
Source: NSE
Nifty cash vs Nifty futures basis
Cash-FuturesNeutral
Indian arb: cash basket vs futures; reverse cash-and-carry on rich futures
Source: NSE Standard
Nikkei 225 reweight arb
Inclusion/ExclusionNeutral
Price-weighted Nikkei rebalances; weight changes drive flows in specific names
Source: Japan
Russell rebalance arb
Inclusion/ExclusionNeutral
Trade Russell 2000/3000 reconstitution: estimate adds/deletes from rules and front-run
Source: Russell
S&P 500 inclusion front-running
Inclusion/ExclusionLong Add
Buy stock added to S&P 500 ahead of effective date; index funds forced to buy generates pop
Source: Academic
SPY vs E-mini S&P futures arb
Cash-FuturesNeutral
Arb cash-futures basis; carry must equal interest cost minus dividend yield
Source: Standard
Sector-weighted replication
ReplicationNeutral
Build sector-neutral basket replicating index with fewer names; manage tracking error
Source: Quant
Subset replication index arb
ReplicationNeutral
Replicate index with top-50 weighted stocks; trade tracking error against futures
Source: Quant
Synthetic vs physical replication ETF spread
ReplicationNeutral
Compare synthetic (swap-based) ETF NAV vs physical ETF; pricing discrepancies
Source: ETF Quant
An encyclopedia of publicly documented strategies for education. YCAI does not recommend, endorse, or trade any of these. Not investment advice.