Back in November, we highlighted a (risk-free?) arbitrage opportunity taking advantage of the introduction of Tesla into the S&P 500 during its quarterly rebalancing. As noted, research shows that over the following 12 months post rebalance, additions to the index, on average, underperformed deletions, by 23%! Back in December the S&P announced that Tesla (NASDAQ: TLSA) would replace Apartment Investment & Management (NYSE: AIV). Well, six months in, how would a trade going long AIV and shorting TSLA be doing?
Not bad...Since the rebalance on Dec 21, Tesla is down 5.5% through Jun 23 while AIV is up almost 64% for a long/short gain of 69% (or 180% annualized). That's:
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