Index Investing: From Theory to Practice · Dr MAI Huu Minh, TRAN Phan Bao Ngoc & HUYNH Nguyen Quoc BuuChapter 13 of 37 · Module 4: Build and test
CHAPTER 13
Data for Index Building
Prices, shares, corporate actions — and the errors hiding in them
Opening question
“I downloaded ten years of prices for free and my back-tested index beats the market by 8% a year. Should I believe it?”
In this chapter
- The data every index needs: prices, shares, free float, dividends, corporate actions, reference data, fundamentals and FX
- Adjusted and unadjusted prices, and how adjustment factors work
- Point-in-time and survivorship-free data
- Seven common data errors and rules to detect them
- A data quality checklist
- Where the data come from, and what licences allow
- How to store index data: CSV, RDS, Parquet and databases
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This chapter is in the full book
Chapter 1 is free to read online. The full text of chapter 13 — with its tables, figures, worked examples and practice lab — is available in the complete edition of Index Investing: From Theory to Practice (Volume 1, NXW Investment Library).
Read Chapter 1 freeGet the full book — contact@nxw.vnSections of this chapter
13.1 Garbage in, garbage index
13.2 What data an index needs
13.3 Prices: adjusted and unadjusted
13.4 Point-in-time and survivorship-free data
13.5 Common data errors and how to detect them
13.6 A data quality checklist
13.7 Where the data come from
13.8 Licensing: who owns the numbers?
13.9 Storing index data