Using a model of index-linked rebalancing around reconstitution events, we show front-runners provide liquidity to index investors and benefit them. Index investors trade off execution costs against tracking-error concerns, while speculators maximize trading profit. In competitive markets, even loose index trackers optimally rebalance at index reconstitution, rationalizing concentrated reconstitution-day trading with little contemporaneous price impact. Empirically, index-linked investors bear small rebalancing costs relative to standard transaction-cost estimates and traders short sell shares to provide liquidity at reconstitution. We show fast-track additions increase IPO issue prices but impose costs on index investors when the newly-listed stocks are illiquid and hard to short.