Index Rebalance & Passive Flow Simulator
Model ETF dollar turnover, required constituent share block orders, and market impact ahead of quarterly benchmark rebalances (Nasdaq-100, S&P 500, MSCI).
Gross Passive Turnover
$0.00B
0.0% of total index AUM
Total Net Buying Flow
+$0.00M
0 constituents expanding
Total Net Funding Sells
-$0.00M
0 constituents funding
Peak Liquidity Strain
0.0x ADV
Highest single-day impact
Estimated Rebalance Net Inflow / Outflow ($ Millions)
Passive Inflow (Buy)
Passive Outflow (Trim/Sell)
Hover or tap any constituent bar to inspect detailed passive volume demand.
| Ticker | Company Name | Price ($) | Daily ADV ($M) | Old Wt (%) | New Wt (%) | Net Flow ($M) | Req. Shares | Days of ADV | Est. Impact |
|---|
Total Weight: Old: 100.00% | New: 100.00%
Market impact calculated via $\sigma \times \sqrt{\text{Flow} / \text{ADV}}$ proxy over chosen horizon.
How Index Rebalance Dynamics Work
When an index provider (like Nasdaq or S&P Dow Jones) updates constituent weights or adds a newly eligible company (such as SpaceX entering at 2.82%), passive tracking funds cannot debate valuation—they must execute trades to match the index:
- Mandated Turnover: Fund managers tracking the index (e.g., $QQQ$, mutual funds, structured notes) must purchase shares equal to the weight delta multiplied by benchmarked AUM.
- Zero-Sum Rebalancing: Because the index total weight must equal 100%, any dramatic new addition requires pro-rata trims across existing heavyweight constituents.
- Closing Auction Concentration: Up to 70% of rebalance volume historically executes in the final 5 minutes via NYSE and Nasdaq Market-On-Close (MOC) auctions to minimize tracking error.
Interpreting Liquidity Strain & Days-of-ADV
Not all $1B flows are created equal. Liquidity strain measures the required passive flow relative to the stock's Average Daily Volume (ADV):
- Low Strain (< 0.25x ADV): Liquid mega-caps (e.g., Apple, Microsoft) absorb trims effortlessly with minimal slippage or temporary distortion.
- High Strain (> 1.0x ADV): When required passive buying exceeds a full day's typical trading volume, market makers widen spreads, leading to sharp pre-rebalance front-running or post-rebalance mean-reversion.
- Execution Horizons: Dividing order blocks over 2-5 days dampens market impact, whereas concentrated 1-day execution compounds temporary price concessions.