tag:blogger.com,1999:blog-5674662338708300396.post5243200247067309965..comments2014-11-20T18:41:23.697-08:00Comments on Fundometry: From Largecaps to Microcaps: Stock Herding within ETFsProteus Advisers LLChttp://www.blogger.com/profile/12347559966578435307noreply@blogger.comBlogger1125tag:blogger.com,1999:blog-5674662338708300396.post-13793099997714061972010-10-22T11:40:09.957-07:002010-10-22T11:40:09.957-07:00Izabella Kaminska, FT Alphaville reporter, provide...Izabella Kaminska, <a href="http://ftalphaville.ft.com/blog/author/izabellakaminskaftcom/" rel="nofollow">FT Alphaville reporter</a>, provided another good reason for the lower correlations among the lower quartiles of smallcap and microcap stocks. In addition to Reason #4 above, authorized participants (market makers processing Creation/Redemptions Units) may require only a sample of stocks from the index basket when not all of the constituents are sufficiently liquid. Therefore, an arbitrageur may avoid trading in the smallest companies altogether as long as the authorized participant accepts a sample (presumably of stocks with larger weights in the index).Proteus Advisers LLChttps://www.blogger.com/profile/12347559966578435307noreply@blogger.com