[request_ebook] A Guide to Equity Index Construction

Description

• Author: Daniel Broby
• Publisher: Risk Books
• Pages: 250

Product Description
Equity indexes out-perform the majority of active fund management strategies. Not only will this book teach the reader to construct an optimal index, but it will also assist fund managers to know their enemy.

Index construction is an important scientific process. There are now estimated to be 14 trillion of equities under professional management, and theory suggests that these funds should have an appropriate benchmark in order to match assets and liabilities.

A Guide to Equity Index Construction presents readers with an independent explanation of the processes of methodical index construction. It also addresses the inefficiencies in the construction process that could potentially be exploited by active managers, or those wishing to refine the process, in order to create better indexes in the future.

Documenting best practice and keeping mathematical formulae to a minimum, this guide provides a straightforward set of rules and all the tools and techniques you will need to construct an equity index.

With over 20 years experience in the fund management industry, author Daniel Broby, presents a clear and workable methodology and:

• equips you with the skills to construct an optimal index;
• debates the issue of an appropriate benchmark for equity funds;
• shows the link between the CAPM and index construction;
• helps you to understand the nature of the underlying return series;
• makes better fund managers out of active managers through an improved understanding of benchmark construction;
• enables you to differentiate between the myriad of derivative and synthetic ways to gain exposure to an index.

This powerful reference manual is recommended for fund managers, index constructors, quantitative analysts, risk analysts, CIOs, institutional relationship managers, financial journalists, finance students and academics.

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