CEM - 2018's YYY/CEFL Index: Summary Of Changes And Post-Rebalancing Reversion
We recently covered the annual rebalancing event of ETRACS Monthly Pay 2xLeveraged Closed-End Fund ETN (CEFL)/YieldShares High Income ETF (YYY) (I, II, III, IV). Both funds track the ISE High Income Index [YLDA].
This article summarizes the changes made to the index and looks to see whether there are any significant post-rebalancing mean reversion opportunities to be had. The second part of this article analyzes the nature of the changes and looks at summary statistics of the index compared to previous years.