CHAPTER 37

From Idea to Investor File in Minutes

Testing a new index idea with NXW Global Indexes and CCPI

Opening question

“I think Vietnamese logistics companies will benefit from the shift of supply chains to Asia. Could an index of the ten best of them work — and could I show it to investors next week?”

In this chapter

Why a five-minute back-test changes the work, but not the thinking
Writing an idea as a complete set of rules
Feasibility checks before any back-test: breadth, liquidity, capacity, concentration, turnover and data
Back-calculation and the performance and risk report
Comparing a new index with its benchmark and peers
Robustness: out-of-sample tests, parameter and start-date sensitivity
The investor file: what an honest pack contains, online and offline
From test to production: pre-production monitoring and live calculation

🔒

This chapter is in the full book

Chapter 1 is free to read online. The full text of chapter 37 — 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 free Get the full book — contact@nxw.vn

Sections of this chapter

37.1 Five minutes instead of three months

37.2 Step 1 — Write the idea as rules

37.3 Step 2 — Feasibility before any back-test

37.4 Step 3 — Back-calculation on the platform

37.5 Step 4 — Compare with the benchmark and the peers

37.6 Step 5 — Robustness: is the result real?

37.7 Step 6 — The investor file

37.8 Step 7 — From test to production

37.9 Case study: minute 0 to minute 5

37.10 Checklist before you show an index to investors

← Chapter 36: The NXW Indexes Observatory