VLM wrote about it excellently from the buyer's side, but I was thinking about it more from the market side. Depending on the weighting method of the index you

VLM wrote about it excellently from the buyer's side, but I was thinking about it more from the market side. Depending on the weighting method of the index you're tracking (and other indices that include your stocks), the indices need to rebalance purely in response to "price changes happened and reallocation is needed." This requires buying at minimum (or buying and selling as VLM pointed out). That buying moves the market when there's a significant amount of money in index following funds. The initial comment was about reaping arbitrage when (I think) the price the index following funds made diverges from the actual (ex index involvement) price. I was wondering how that's operationally relevant or whether the "Don't fight the Fed" rule comes in, given that there's a massive amount of money in index funds. Someone with more knowledge would have to chime in as to the effect in aggregate of rebalancing playing against active moves (for fundamental reasons).