到2025年，约有36万亿美元资金流入被动投资基金，指数调整已对市场形成巨大的牵引力；花旗、富时罗素和标普全球等机构的调仓决定，正通过自动化资金流向影响买卖。与此同时，表面上主动管理的资金中也有许多“隐形指数化”经理，使得指数权重变化的影响进一步放大。

这种环境催生了围绕再平衡事件的套利交易，但收益正在被压缩。高盛估计，若MSCI在6月将印尼降为“前沿市场”，印尼股票可能流出78亿美元；Robinhood被纳入标普500后股价在9月上涨16%，而韩国国债进入富时世界国债指数后，可能吸引高达600亿美元外资。

但更容易捕捉的超额收益已经明显减少：哈佛商学院的研究显示，标普500新增成分股在1990年代从公告到纳入期间平均跑赢指数7.4个百分点，而自2010年以来，这一“跳涨”已降至不足1个百分点。挪威2.3万亿美元主权财富基金去年也通过包括指数再平衡在内的套利赚了40亿美元，不过大型跟踪基金在2022年末仍有1.7%至7.5%的资产偏离指数，涉及超过600亿美元的股票选择。

By 2025, about $36 trillion sat in passive funds, giving index changes enormous market power as MSCI, FTSE Russell and S&P Global decisions automatically redirect capital. Even many supposedly active managers are “closet index-huggers,” amplifying the effect of benchmark shifts.

That has spawned arbitrage around rebalancing events, but the gains are getting smaller. Goldman Sachs says Indonesian stocks could see $7.8 billion outflows if MSCI downgrades the country in June, Robinhood jumped 16% after its S&P 500 inclusion, and South Korean bonds may draw as much as $60 billion in foreign inflows after entering the FTSE World Government Bond index.

Yet the edge has eroded: Harvard research finds the average S&P 500 addition beat the index by 7.4 percentage points between announcement and inclusion in the 1990s, but since 2010 the bump has fallen below 1 percentage point. Norway’s $2.3 trillion sovereign fund earned $4 billion from arbitrage last year, while large tracker funds still held allocations 1.7% to 7.5% away from the index in late 2022, implying more than $60 billion of stock-picking discretion.

Source: Index rebalancing is now the biggest event in markets

Subtitle: But profiting from it is another matter

Dateline: 5月 14, 2026 11:24 上午