If the user is tracking changes to an index, for rebalancing purposes, then they know from corporate actions announcements that an index may change to anticipate what might happen when the index changes.
The index user wants to anticipate what impact any change to an index has on their portfolios before it happens. Typically you'll get a notice at CoB that would indicate changes that will occur to an index the next day. Idea is to try to stay ahead of what you know will happen, possibly days before it happens, with the knowledge that on the day it happens it is accurate.
(a) corporate actions - which are important from an index perspective (splits, dividends, etc.)
(b) once we know that's going to happen, and on what date, we have to be able to say what the impact on the index is likely to be
-- current and anticipated make up of an index on a given date (projected make up in order to profit or minimize a loss as a result of the change)
-- it's more important to talk about adds and deletes than corporate actions on a given constituent
Re 6: How do you know what will be added or removed - index provider should provide an indication to the index user; modification event announced to the users of the index in advance, with amendments *** more important than corporate actions on an individual constituent
Re: 4: how do you know if a given index has a dependency on another index? ???
Re: 8: if you can match index x, then from a tracking perspective, that's a good thing, and you might track a smaller number of equities than those in the index ... so if you are closely resembling some index you can trade the index rather than the individual constituents ... requires knowledge of the index constituents as well as of your portfolios ... including weightings (more complicated than other questions)
Notes from MA on how indexes change, 2/15/2019:
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