A Guide to Equity Index Construction

An academic approach to index construction, written by a practitioner.

The book presents a clear and workable methodology and: equips the reader 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 understand the nature of the underlying return series; makes better fund managers out of active managers through an improved understanding of benchmark construction; and differentiates between the myriad of derivative and synthetic ways to gain exposure to an index.