A Guide to Equity Index Construction

Broby, Daniel (2007) A Guide to Equity Index Construction. Risk Books. ISBN 9781904339779

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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 Euros of equities under professional management, and theory suggests that these funds should have an appropriate benchmark in order to match assets and liabilities.