Four times a year, MSCI Inc gives equity traders a free lunch, when it announces departures and entrants to its flagship MSCI World index. The index provider claims that $3.1 trillion of assets are benchmarked to the MSCI World, which contains around 2,500 mid-to-large cap stocks across many countries.

Since the composition is market-cap weighted, rebalancing is a regular event. First comes the publication of the changes on MSCI’s website. Four weeks later, comes the implementation, when the index components reflect the changes.

For passive funds that track the index, they have to change their portfolios on the implementation date, or else risk exposing their investors to tracking error. The effect is like one of those nature documentaries featuring vast herds of wildebeest making their predictable migrations.