RT Journal Article
SR Electronic
T1 Equity Index Construction
JF The Journal of Index Investing
FD Institutional Investor Journals
SP 36
OP 39
DO 10.3905/jii.2011.2.2.036
VO 2
IS 2
A1 Daniel Broby
YR 2011
UL https://pm-research.com/content/2/2/36.abstract
AB In this article, the author detail the historic background behind the science of constructing a country or global index. He argues that the industry has largely developed from practitioners rather than academia. He shows how a country index is related to the market portfolio of the capital market pricing model and details the trade-offs that modern index constructors have to make.TOPICS: Passive strategies, equity portfolio management, VAR and use of alternative risk measures of trading risk