Hi Ana,
Welcome to the forum. We’re delighted to have you here. We always welcome thoughtful comments and it’s not ‘overstepping’ in the slightest.
The rebalances are done through 100s of small trades of ~100 bps tradesize each, instead of 1 large trade with maximal price impact. This is done in order to minimize the net price impact. If the token is arbitrageable across exchanges then each small trade will be arbed back to its base price and the net price impact will be lower than had one done 1 large trade.
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The answer is very little if any. I’m only aware of this analysis looking at different rebalancing periods for MVI. I’ve done internal calculations showing that the rebalancing premium tends to be negative for thematic indices even before the asset decay and gas costs of rebalancing. This result is not surprising considering that the components in thematic indices are very highly correlated but have very different long-term returns. If rebalancing is required for some reason, then you’re correct that there are probably benefits to looking at tolerance bands instead of calendar-based rebalancing.
Sounds great. I’ll dm and we can take it from there.