Muller, Chris2020-04-062020-04-062020/04/012019Field, M 2019, Practical hedge fund strategy to front run index funds on the JSE, MBA Mini Dissertation, University of Pretoria, Pretoria, viewed yymmdd <http://hdl.handle.net/2263/73959>http://hdl.handle.net/2263/73959Mini Dissertation (MBA)--University of Pretoria, 2019.As the popularity of passive investment has grown it has given rise to numerous phenomena. Among these is a pricing anomaly around the event of a share entering or exiting an index. Numerous event studies have quoted theoretical performance figures that can be achieved by trading on this event. However they do not consider the practical elements of an investor trying to achieve these. This study sought to understand whether this event can be practically traded by an investor. This has provided insight into the realities of the event beyond the theoretical observations in the existing literature. The findings hold relevance for passive and active investors alike, as well as management of the listed companies within this segment of the market. This study calculated two different investment styles, which the literature has suggested should be profitable, but has applied practicality constraints in order to test the real world applicability of the findings. The two styles were built and iterated to optimise the performance using share data from the Johannesburg Stock Exchange (JSE) between January 2005 and September 2019. The results showed style 1 was unable to outperform the J200 or J201 on a consistent basis. Style 2 was able to massively outperform, theoretically achieving 226% annual returns. However once the practicality constraints, primarily cost, was factored in the style produced a -30% return over the full period. This raises significant questions of the, until now, belief that this event produces a large outperformance which is likely being traded by investors.en© 2020 University of Pretoria. All rights reserved. The copyright in this work vests in the University of Pretoria. No part of this work may be reproduced or transmitted in any form or by any means, without the prior written permission of the University of Pretoria.UCTDMini Dissertation18377930