Fred Houze Li

Index Associate · STOXX

Hi, I’m Fred.

Index Associate · STOXX

I work inside the index calculation kitchen and study what index rules do to prices.

Read the flagship study Who I am
11 Aug 2026: +20.56% since a year ago

PAST YEAR

STOXX Europe 600 over the past yearStatic market signature. One-year return +20.56%.547.89+20.56%
SXXP STOXX Europe 600 · 11 AUG 2026 +20.56%
SXXP — STOXX Europe 600 Past-year performance through 11 AUG 2026. One-year return plus 20.56 percent.
Who I am

Who I am

Fred Houze Li
Fred Houze Li 李厚澤李厚泽

I work and research index rules and market prices.

Index Associate at STOXX. Seven-decimal-place calculation accuracy for vanilla and structured-product indices — decrement, risk-control, leverage, VSTOXX, dividend — across the indices that back structured products settling every day.

STOXX publishes the rules; the market reads them. I spend my days on the calculation side of that machine, and I wanted to know what it does to prices — so I built a panel of rebalancing events and asked.

1,219 1,219 Constituent-change events in the study panel. Authors' calculations (paper, Section 2)
rebalancing events studied
27,650 27,650 Distinct security keys in the price spine. Authors' calculations (paper, Section 2)
securities covered
34.4M 34.4M Price-spine rows (34,366,585). Authors' calculations (paper, Section 2)
stock-day panel built

Selected work and credentials

Flagship research

What membership does to a stock

+410 +410 95% CI [+290, +552] Pre-announcement run-up (selection-list). Placebo q=1.00; bootstrap CI excludes 0. Authors' calculations (paper, Sections 3–4) bps

median pre-announcement run-up

SXXP additions · median cumulative abnormal return
The run-up in SXXP additions begins before announcement Static preview of the flagship event study from selection through the effective date. SELECTION ANN. EFFECTIVE

A two-paper event study across 1,219 1,219 Constituent-change events in the study panel. Authors' calculations (paper, Section 2) SXXP rebalancing events. The market front-runs STOXX’s rule-based reconstitution list; the second paper finds that membership moves the beta you measure rather than the stock you hold, while additions gain +26.2% +26.2% exp(mean Δlog turnover)−1, printed as a MEAN shift; genuine (price-free) turnover rise on additions; n=278 Authors' calculations (see paper) in genuine turnover.

Read the study

Practice

Inside the index kitchen

My desk calculates the indices that structured products settle on, to a daily seven-decimal standard. When the engine fails, we rebuild the numbers by hand to keep them flowing to market makers.

Inside the role

Credentials

Quant training, market practice

  • MS Quantitative Finance, WashU Olin — GPA 3.96, Rank 2/89.
  • CFA Level III candidate.
  • HKSFC Type 4 & 9.
View experience