Glossaire
278 index, fund and market terms explained in plain words, from A to Z.
A
An ETF managed by a portfolio manager rather than tracking an index; with rules-based indexes it blurs the line between indexing and active management.
See also: Index Investing, Chapter 24
Split of a portfolio between asset classes (equities, bonds, gold, cash…).
45% equities, 25% bonds, 10% gold, 12% real estate, 8% cash.
See also: Diversification
The part of a fund’s or index’s return that is not explained by its exposure to the market and to other factors; in many studies the average alpha of active funds after costs is negative.
See also: Index Investing, Chapter 7
The constant yearly growth rate that turns the starting level into the ending level: (I(end) / I(start))^(1/T) − 1, with T in years. It describes what an investor actually earned per year.
See also: Index Investing, Chapter 3
The tendency of appraisal-based property indexes to spread a change in market value over several quarters, because valuers anchor on past values; it makes property look far less volatile and less correlated with equities than it really is.
See also: Index Investing, Chapter 30
The rules for international carbon trading: Article 6.2 lets countries trade reductions bilaterally with corresponding adjustments, and Article 6.4 creates the UN-supervised Paris Agreement Crediting Mechanism.
See also: Index Investing, Chapter 28
Assets under management: total market value of the assets a fund or manager invests for clients.
The fund manages 2,500 bn VND.
See also: NAV
A structured product that repays capital plus a coupon early if the index is at or above its starting level on an observation date, and exposes the investor to the full index loss if the index ends below a barrier; the high coupon is the premium for an implicitly sold down-and-in put.
See also: Index Investing, Chapter 20
The average value of a stock traded each day; it is used in liquidity screens and to estimate how many days a fund needs to build or sell a position.
See also: Index Investing, Chapters 8 and 37
B
On the CCPI platform, the stage that applies the index design to point-in-time historical data from a start date to an end date, producing daily levels, constituents and weights for each return type and currency.
See also: Index Investing, Chapter 37
Simulation of a strategy on historical data, to see how it would have performed.
See HELP > GALLERY > Strategy Back-Test.
See also: Indice de référence, Strategy
The plain statement, required in spirit by IOSCO principles and GIPS, that performance before the launch date is back-tested, simulated rather than live and designed with hindsight.
See also: Index Investing, Chapter 37
A futures curve in which later contracts cost less than nearer ones, so a long index earns a positive roll yield; “backwardation pays, contango costs”.
See also: Index Investing, Chapter 29
Series rescaled so that the first value is 100, to compare assets with very different price levels.
Base 100 = 118 means +18% since the start.
See also: Indice de référence
The day an index starts and the level chosen for that day (100, 1,000 or another number). The choice is arbitrary but permanent and fixes the scale on which every later level is read.
See also: Index Investing, Chapter 3
The difference between the price of an index futures contract and the index level. It shrinks as expiry approaches and becomes zero at expiry: convergence.
See also: Index Investing, Chapter 19
The risk that a hedge or an index does not move exactly like the exposure it is meant to cover: futures may not track the index before expiry, a weather station is not the farm. Good design reduces it; nothing removes it.
See also: Index Investing, Chapters 19 and 27
The difference between the time-weighted return reported by a fund and the money-weighted return earned by its investors, caused by buying after rises and selling after falls.
See also: Index Investing, Chapter 23
Reference index or portfolio used to compare a performance.
The fund returned 9% vs 7% for its benchmark, the VNINDEX.
See also: Back-test
The mode of an index platform in which an index used by a financial product is frozen under a published methodology, calculated under controls, overseen by an index committee and changed only through consultation; it is the opposite of private research mode.
See also: Index Investing, Chapter 25
An ESG approach that keeps the companies with the best ESG ratings within each sector, so that sector weights stay close to the parent index.
See also: Index Investing, Chapter 11
The sensitivity of a stock’s or portfolio’s return to the return of the market or a benchmark, cov(r(i), r(m)) / var(r(m)). The market itself has a beta of 1.
See also: Index Investing, Chapter 4
A diversified commodity benchmark, launched in 1998 as the Dow Jones-AIG index, whose weights blend liquidity and production 2:1 with caps of 33% per sector and 15% per commodity.
See also: Index Investing, Chapter 29
Variety of profiles on a company board, e.g. share of seats held by women.
See PROJECTS > GLOBAL WOMEN ON BOARDS.
See also: La gouvernance
Band around the 20-day moving average, at +/- 2 standard deviations. Prices near the bands are far from their recent average.
See LAYOUT > OHLC CHART, overlay Bollinger (20, 2).
See also: Moving average (MA), Volatility
An option-strategy index that absorbs a defined first slice of losses, such as 10%, over an outcome period in exchange for a cap on gains fixed at the start; the reference design for buffer ETFs.
See also: Index Investing, Chapter 31
A selection rule that treats current members and outsiders differently, for example a new stock must rank 24th or better to enter a top-30 index and a member leaves only if it falls below 36th. It roughly halves membership turnover in the book’s simulation.
See also: Index Investing, Chapter 8
An option-strategy index that holds an index and sells a call on it each month, such as the Cboe S&P 500 BuyWrite Index (BXM); it gives lower volatility and income, capped upside and little crash protection.
See also: Index Investing, Chapter 31
C
Chart mark for one period: the body goes from open to close, the thin lines (wicks) reach the high and the low. Green when close >= open, red otherwise.
See LAYOUT > OHLC CHART.
See also: OHLC
A system in which the government caps total emissions, issues one allowance per tonne under the cap and lets firms trade them, so that the market finds the price; a carbon tax instead fixes the price.
See also: Index Investing, Chapter 28
The amount of money that can track an index before its own trading moves prices; it falls as weights move away from company size and liquidity.
See also: Index Investing, Chapter 9
The model in which only systematic risk earns a premium: expected return = risk-free rate + beta × market risk premium.
See also: Index Investing, Chapter 4
A structured product built from a zero-coupon bond, which returns the capital at maturity, and a call option on the index, which gives a participation rate in any rise; the protection is only as strong as the issuer.
See also: Index Investing, Chapter 20
A rule that limits the weight of any single stock, for example to 10%. The excess weight is redistributed to the other members in proportion to their weights, and the process is repeated until no stock is above the cap.
See also: Index Investing, Chapters 3 and 9
The EU rule that puts a carbon price, derived from EU ETS prices, on imports of iron and steel, aluminium, cement, fertilisers, electricity and hydrogen; its definitive period began in 2026.
See also: Index Investing, Chapter 28
A certificate representing one tonne of CO₂ avoided or removed by a project, issued by a standard such as Verra or the Gold Standard and retired when used; it is worth something only if the reduction is additional, permanent, measured correctly and not double-counted.
See also: Index Investing, Chapter 28
An index that tracks carbon prices, almost always by holding and rolling the most liquid allowance futures, either in a single market (EUA) or across several weighted by liquidity, such as the S&P Global Carbon Credit Index.
See also: Index Investing, Chapter 28
A facility’s allocated quota minus its verified emissions: a surplus can be sold or carried forward, a deficit must be covered by buying allowances or, within a limit, carbon credits.
See also: Index Investing, Chapter 35
The interest differential earned by holding a higher-yielding currency through rolling forwards; FX carry indexes buy high-interest and sell low-interest currencies and lose heavily in crashes when global volatility spikes.
See also: Index Investing, Chapter 32
The shortfall of a fund against its index caused by holding cash for dividends and redemptions, which earns less than the index in rising markets.
See also: Index Investing, Chapters 6 and 18
A bond that transfers disaster risk to investors, who receive the collateral yield plus a risk spread but lose part or all of their principal to the sponsor if a defined catastrophe occurs.
See also: Index Investing, Chapter 27
The Cloud Computing Platform for Investment of NXW, which turns index ideas into indexes “with no code”: design, back-calculation, report and pre-production, followed by live calculation, dissemination and adjustment.
See also: Index Investing, Chapter 37
The NXW cloud ecosystem to which CCPI belongs, alongside CCPR (research), CCPS (strategies) and CCPE (education).
See also: Index Investing, Chapter 37
Calculating each period’s index level from the previous level and the change in the basket over that period, so that every period is linked to the one before; algebraically the same as the divisor method.
See also: Index Investing, Chapters 3 and 32
The public record of every decision about an index – rebalancings, committee rulings, methodology changes and error corrections – that makes its governance credible.
See also: Index Investing, Chapter 17
The coins actually able to trade, excluding those locked, vesting or lost; crypto index providers use it rather than total supply as a crypto equivalent of free float.
See also: Index Investing, Chapter 33
A company score built by geolocating its assets, overlaying hazard maps under climate scenarios and aggregating the result; index providers use it as an exclusion, a tilt or a reporting metric.
See also: Index Investing, Chapter 27
The daily 4 pm London price of bitcoin in US dollars calculated by CF Benchmarks since 2016 from a one-hour window, twelve partitions and volume-weighted medians; it settles CME bitcoin futures, and its New York variant (BRRNY) values several US spot ETFs.
See also: Index Investing, Chapter 33
An option strategy that holds the index, buys a put below the current level and sells a call above it, so that both losses and gains are fenced, as in the Cboe CLL index.
See also: Index Investing, Chapter 31
The interest earned on the cash that backs a fully collateralised futures index, usually a three-month Treasury bill rate; it is the difference between the total-return and excess-return versions.
See also: Index Investing, Chapter 29
The distortion of a median or mean price index when the mix of what is sold changes, for example more large or central homes, so that the index rises although no individual home has become more valuable.
See also: Index Investing, Chapter 30
A futures curve in which later contracts cost more than nearer ones; a long index that rolls loses the difference, a negative roll yield.
See also: Index Investing, Chapters 28 and 29
A portfolio approach in which a core of broad, low-cost index funds (typically 70% to 100%) is combined with smaller satellites such as sector, thematic or factor funds or individual stocks.
See also: Index Investing, Chapter 22
An event that changes a company’s price or share count for reasons other than trading: dividends, bonus issues, splits, rights issues, mergers, spin-offs, suspensions and delistings.
See also: Index Investing, Chapter 10
Number from -1 to +1 showing how two assets move together: +1 same direction, 0 unrelated, -1 opposite.
Correlation VN Equity / Asia Equity = 0.64.
See also: Volatility
The yearly loss of return from trading to follow an index, roughly 2 × one-way turnover × cost per trade, plus taxes such as Vietnam’s 0.1% tax on share sales.
See also: Index Investing, Chapter 37
John Bogle’s principle that investors as a group earn the gross market return minus all their costs, so that lower cost is the most reliable predictor of better net results.
See also: Index Investing, Chapter 6
The fair value of an index future, F = S × e^((r − q) × T): the index plus interest earned on cash, minus the dividends forgone until expiry.
See also: Index Investing, Chapter 19
The primary-market mechanism of an ETF: an authorised participant delivers the basket to receive new ETF shares (creation) or hands back ETF shares to receive the basket (redemption).
See also: Index Investing, Chapter 18
An index that measures one currency against a basket of others, with components, weights, a base date, a formula and a daily level, rather than against a single partner as a bilateral rate does.
See also: Index Investing, Chapter 32
An index that sells its foreign-currency exposure one month forward and resets at each month-end, so that its return is close to the local return plus the interest differential.
See also: Index Investing, Chapter 32
D
Change of the price versus the previous close, in %. Column varpc in the tables.
+0.80% means the price is 0.8% above yesterday’s close.
Testing many variants of a rule and keeping the best one, so that the published back-test is the maximum of many trials and looks better than any genuine edge would justify.
See also: Index Investing, Chapter 16
The number of trading days a fund needs to build or sell a position without exceeding a set share of average daily traded value: (AUM × weight) / (x% × ADV).
See also: Index Investing, Chapter 37
The yearly target intensity of a climate benchmark: the universe’s base intensity, reduced by the initial cut and then by at least 7% a year; after ten years the path is about 48% of its starting level.
See also: Index Investing, Chapter 26
A test that raises the bar a Sharpe ratio must clear according to the number of trials, the length of the record and the shape of returns; it forces the question “how many things did you try?”.
See also: Index Investing, Chapter 16
Weather indexes that measure the need for heating and cooling: daily HDD = max(0, Base − T) and daily CDD = max(0, T − Base), summed over the month; they settle CME weather futures and options.
See also: Index Investing, Chapter 27
An index calculated from derivatives, either directly from their prices, as the VIX is, or from a rules-based strategy that trades options or futures; an index derivative, by contrast, is a contract written on an index.
See also: Index Investing, Chapter 31
A short statement, written before any data are loaded, of what an index must represent and who will use it; the best protection against designing an index to fit a back-test.
See also: Index Investing, Chapter 17
Holding the individual stocks of an index in the investor’s own account rather than a fund, which allows personal exclusions, tilts and tax-loss harvesting.
See also: Index Investing, Chapter 24
Spreading money over assets that do not move together, to reduce the overall risk.
Adding gold to an equity portfolio.
See also: Correlation, Allocation
The dividend per share divided by the price; dividend indexes select or weight stocks by it, with payout and growth screens to avoid yield traps.
See also: Index Investing, Chapters 7 and 9
The number that converts the value of the basket into an index level. It is adjusted at every change that is not a market movement, so that the level is the same just before and just after the change.
See also: Index Investing, Chapter 3
The change in the divisor at a corporate action or membership change: new divisor = old divisor × market value after the change / market value before it, so that the level is the same just before and just after the event.
See also: Index Investing, Chapter 10
Investing a fixed amount at regular intervals, which buys more units when prices are low; a lump sum invested at once has usually done better, but DCA reduces regret.
See also: Index Investing, Chapter 22
The fall of an index from its highest previous level; the maximum drawdown is the largest such peak-to-trough fall over a period. A 50% fall needs a 100% gain to recover.
See also: Index Investing, Chapter 3
E
The date on which the results of an index review enter the calculation, after the cut-off date (when review data are frozen) and the announcement date (when changes are published).
See also: Index Investing, Chapter 10
A trade-weighted index of a currency against its partners; the nominal version (NEER) uses market rates and the real version (REER) also adjusts for inflation, measuring competitiveness.
See also: Index Investing, Chapter 32
The number of equally weighted stocks that would give the same concentration as the actual weights: 1 / Σ w(i)², the inverse of the Herfindahl – Hirschman index.
See also: Index Investing, Chapters 9 and 36
The set of portfolios that offer the lowest risk for each level of expected return; any portfolio below it is dominated.
See also: Index Investing, Chapter 4
The idea that prices already reflect available information, in weak, semi-strong or strong form, so that consistently picking winners is very hard.
See also: Index Investing, Chapter 5
A rule that removes securities failing minimum standards of free float, liquidity, size, price, trading history, status or foreign room before selection.
See also: Index Investing, Chapter 8
Second-generation commodity index designs – forward-month, optimum-yield, dynamic-roll and constant-maturity – that choose which contract to hold in order to reduce the cost of contango.
See also: Index Investing, Chapter 29
A risk-based weighting in which every stock contributes the same share of portfolio risk; its weights are solved numerically and its volatility lies between minimum variance and equal weighting.
See also: Index Investing, Chapter 34
Giving every constituent the same weight, 1/N, at each rebalancing date. It tilts towards smaller companies and value and creates turnover and capacity limits.
See also: Index Investing, Chapter 9
A published policy saying when an index error is corrected retroactively and when only going forward, usually with a materiality threshold.
See also: Index Investing, Chapters 12 and 17
Environmental, Social and Governance criteria used to assess a company beyond its financial results.
See PROJECTS > VIETNAM ESG PORTAIL.
See also: ESG score
An index that uses environmental, social and governance information to exclude, select or weight companies; approaches include exclusions, best-in-class, tilts, thematic sustainability and climate benchmarks.
See also: Index Investing, Chapter 11
The disagreement between ESG raters, traced mainly to measurement, then scope and weight; two “ESG Leaders” indexes built on the same universe with two providers’ scores can share only part of their members.
See also: Index Investing, Chapter 26
Rating of a company on E, S and G criteria, here on a 0-100 scale.
Governance score 71 for the banking sector.
See also: ESG, La gouvernance
An index design that keeps a broad market but moves weight towards companies with better ESG scores, usually free-float cap × score, with exclusions and caps; it changes the index’s ESG profile without making it a climate benchmark.
See also: Index Investing, Chapters 26 and 35
Exchange-traded fund: fund listed on a stock exchange and traded like a share, usually tracking an index.
An ETF tracking the VN30.
A permit of the EU ETS worth one tonne of CO₂; emitters must surrender allowances equal to their verified emissions each year, and EUA futures are what most carbon indexes hold.
See also: Index Investing, Chapter 28
An EU climate benchmark whose carbon intensity must start at least 30% below its universe and fall by at least 7% a year, with basic exclusions and exposure to high climate-impact sectors at least equal to the universe.
See also: Index Investing, Chapter 26
The EU’s cap-and-trade system, launched in 2005 and the benchmark carbon market for investors, shaped by a tightening cap and the Market Stability Reserve.
See also: Index Investing, Chapter 28
The stricter EU climate benchmark: carbon intensity at least 50% below the universe, at least 7% a year decarbonisation and, on top of the CTB exclusions, exclusions of companies with significant revenue from coal, oil, gas or high-carbon electricity.
See also: Index Investing, Chapter 26
Two versions of a futures index: the excess-return (ER) index records spot return plus roll yield, the total-return (TR) index adds the collateral yield.
See also: Index Investing, Chapters 28 and 29
An index fund whose shares trade on an exchange during the day, with a primary market of creation and redemption that keeps its price close to its net asset value.
See also: Index Investing, Chapter 18
A debt security issued by a bank that promises the return of an index minus a fee, traded like an ETF but with no portfolio behind it, so the investor bears the issuer’s credit risk.
See also: Index Investing, Chapter 20
Yearly costs of a fund as a % of its assets, taken from the fund’s value.
Expense ratio 0.65% per year.
See also: NAV
The annual management fee plus fund expenses, deducted daily from the net asset value; the most important visible cost because it is paid every year.
See also: Index Investing, Chapter 6
A measure of how strongly a company is linked to a theme, based on revenue share, text analysis or expert review, used to select and often to weight the members of a thematic index.
See also: Index Investing, Chapter 11
F
A characteristic shared by a group of stocks that helps explain differences in their returns, such as market, value, size, momentum, quality and low volatility; a factor premium is the extra long-run return associated with it.
See also: Index Investing, Chapter 7
A regression of an index’s returns, in excess of its parent, on factor returns such as market, size, value, momentum, quality and low volatility; the coefficients show what it really owns and the intercept what is left once factors are paid for.
See also: Index Investing, Chapter 34
The one-page summary of an index or fund: rules, holdings, performance and risk; it is a marketing document as well as a summary and should be read critically.
See also: Index Investing, Chapters 36 and 37
A model that explains a portfolio’s excess return by its exposure to the market, size (SMB) and value (HML) factors; Carhart added momentum and Fama and French later added profitability and investment.
See also: Index Investing, Chapter 7
Composite sentiment score from 0 (extreme fear) to 100 (extreme greed).
Fear & Greed = 62: greed.
See also: Sentiment indicator
The tests run before any back-test – breadth, liquidity and capacity, concentration, turnover and costs, and data – to see whether an index could actually be held.
See also: Index Investing, Chapter 37
One of a few headline indexes of a family that carry most of the attention and money; in this book, the eight NXW indexes selected as a case study, each starting from a written design brief.
See also: Index Investing, Chapter 17
Net buying minus selling by foreign investors over a period.
Foreign investors were net sellers of 300 bn VND this week.
See also: Sentiment indicator
The part of a company that foreign investors may still buy: the foreign-ownership limit minus current foreign ownership; indexes for foreign investors adjust weights for it.
See also: Index Investing, Chapters 8 and 21
The maximum share of a company that foreign investors may own. In Vietnam the general limit is 49%, 30% for banks, lower in some sensitive sectors and higher in some unrestricted ones; stocks at their limit may have their index weight reduced.
See also: Index Investing, Chapters 8 and 21
The fraction of a company’s shares freely available to investors, excluding blocks held by governments, founders and strategic shareholders; investable indexes multiply share counts by it.
See also: Index Investing, Chapter 3
FTSE Russell’s reclassification of Vietnam from Frontier to Secondary Emerging, announced in October 2025 and effective from 21 September 2026, with inclusion phased in four tranches to September 2027.
See also: Index Investing, Chapter 35
Weighting stocks by accounting measures of size such as sales, cash flow, book value and dividends rather than market value, as in the FTSE RAFI series; at each review it sells stocks whose prices have risen faster than their fundamentals, a mild contrarian trade.
See also: Index Investing, Chapters 9 and 34
Agreement to buy or sell an asset at a fixed price on a future date, traded on an exchange.
VN30 futures expiring next month.
A contract to buy or sell the value of an index at a price fixed today for settlement on a future date, settled in cash and marked to market daily, such as VN30 futures on HNX.
See also: Index Investing, Chapter 19
G
An index that either selects companies meeting a gender criterion, such as a woman chief executive, or tilts a broad market towards companies with more women in leadership.
See also: Index Investing, Chapter 26
A rule that reduces equity exposure as a target date such as retirement approaches; a target-date fund packages it in one product.
See also: Index Investing, Chapter 22
An NXW research project, presented in the NXW Monitor, that measures the share of board seats held by women in listed companies and follows targets, quotas and disclosure rules.
See also: Index Investing, Chapter 26
The G of ESG: how a company is run (board, shareholder rights, transparency, controls).
Share of independent board members.
See also: Board diversity
An official list of activities or project types that count as green; Vietnam’s, set by Decision 21/2025/QĐ-TTg, classifies projects rather than companies.
See also: Index Investing, Chapter 35
A use-of-proceeds bond index that selects bonds by what the money finances; the label applies to the bond, not the issuer, and its duration and credit mix can differ sharply from the broad market.
See also: Index Investing, Chapter 26
Presenting an index or product as greener than it is; without a link to a taxonomy, verified emissions or external reviews, a “green” label can mislead.
See also: Index Investing, Chapter 35
The shared document that defines free float, holidays, corporate actions and error policy for a whole index family, with index-specific rules only where needed.
See also: Index Investing, Chapter 17
H
A price index estimated by regressing each sale price on the characteristics of the property and time dummies, so that it traces the price of a constant-quality home; it needs rich data on characteristics.
See also: Index Investing, Chapter 30
Buying what friends, forums and social media are buying, which leads investors to buy at peaks in crowded, overvalued themes.
See also: Index Investing, Chapter 23
The sum of the squared weights of an index, from 1/N for equal weights to 1 for a single stock; a measure of concentration.
See also: Index Investing, Chapter 9
The Hanoi Stock Exchange, which lists smaller companies and government bonds and hosts Vietnam’s index derivatives.
See also: Index Investing, Chapter 21
Main index of the Hanoi Stock Exchange (HNX).
HNX-Index at 235 points.
See also: VNINDEX
The tendency of investors to hold far more of their home market than its share of world markets, which concentrates country, sector and currency risk.
See also: Index Investing, Chapters 22 and 23
The Ho Chi Minh City Stock Exchange, the main market for large Vietnamese companies and for index products; it calculates the VN-Index, VN30 and other benchmarks.
See also: Index Investing, Chapter 21
I
The Vietnamese research and consulting firm behind the early index work of Dr MAI Huu Minh, including the VNX family of Vietnamese indexes (2012) and the WOMEN CEO indexes (2013).
See also: Index Investing, Chapter 17
The index work of IFRC and NXW, from IFRC’s early Vietnamese series to NXW Global Indexes, which according to NXW’s own materials manages more than 100,000 indexes across 97 countries in ten levels of innovation.
See also: Index Investing, Chapter 17
A provider’s estimate of the warming, such as “2.4°C”, implied by a company’s or portfolio’s projected emissions compared with a carbon budget; models differ greatly, so it is an estimate, not a measurement.
See also: Index Investing, Chapter 26
The volatility that, put into an option-pricing model, gives the market price of an option; it is the market’s forecast of future volatility.
See also: Index Investing, Chapters 19 and 31
The period used to design the rules and a later period never used in design, on which the rules are tested once; walk-forward testing repeats the split through time.
See also: Index Investing, Chapter 16
A basket of securities, a rule book and a number: the index level, calculated from the prices of the basket under public, mechanical rules from a chosen value on a chosen date.
See also: Index Investing, Chapter 1
The body that oversees an index, interprets the methodology where judgement is needed, approves changes and records its decisions.
See also: Index Investing, Chapter 12
A cash dividend expressed in index units, Σ d(i) × Q(i) × F(i) / D, used to calculate the total-return index from the price index.
See also: Index Investing, Chapter 3
The NXW system in which an index is set up, monitored in pre-production and then calculated, disseminated and adjusted every day.
See also: Index Investing, Chapter 37
A tool that collects the specifications, histories, constituents and statistics of many indexes in one common format, so that any index can be found, read and compared; it observes indexes rather than creating them.
See also: Index Investing, Chapter 36
A set of filters – family, level, country, currency, return type, history, statistics – that turns a vague question into a short list of indexes; filter on design first and statistics last.
See also: Index Investing, Chapter 36
One version of a base index that differs only in return type, currency, hedging, cap or rebalancing frequency; because variants multiply rather than add, a family of a few thousand base indexes quickly passes 100,000 series.
See also: Index Investing, Chapter 17
The tendency of a stock’s price to rise between the announcement of its addition to a widely tracked index and the effective date, as index funds must buy it.
See also: Index Investing, Chapters 10 and 21
Excess return over a benchmark divided by tracking error: excess return per unit of active risk. An IR × √years above about 2 is a rough sign that the excess is not pure noise.
See also: Index Investing, Chapter 37
Weighting each stock in proportion to 1 / its volatility; it looks at each stock alone and ignores correlations.
See also: Index Investing, Chapters 9 and 34
A short written document of an investor’s goals, constraints, target allocation and rules, including what she will not do; the single most useful tool against behavioural biases.
See also: Index Investing, Chapter 23
The pack that lets an investor, fund board or regulator understand an index without calling the designer: factsheet, methodology document, back-test report, comparison tables, data files and disclosures, online and offline.
See also: Index Investing, Chapter 37
Nineteen principles published by the International Organization of Securities Commissions in 2013, grouped into four pillars: governance, quality of the benchmark, quality of the methodology and accountability.
See also: Index Investing, Chapter 12
The board that published IFRS S1 and IFRS S2 in June 2023, the global baseline for sustainability and climate disclosure, including Scope 1, 2 and 3 emissions.
See also: Index Investing, Chapter 26
L
The date from which an index has been calculated live; levels before it are a back-test, calculated afterwards with today’s rules.
See also: Index Investing, Chapters 36 and 37
Using borrowed money or derivatives to increase exposure; gains and losses are both amplified.
2x leverage: a 5% move gives a 10% gain or loss.
See also: Margin debt, Futures contract
Products that deliver a multiple, such as 2x, or a negative multiple, such as −1x, of an index’s daily return and reset every day; over longer periods they lose value in volatile, sideways markets.
See also: Index Investing, Chapter 18
How easily an asset can be bought or sold without moving its price. Often measured by the daily traded value.
A stock trading 50 bn VND per day is more liquid than one trading 1 bn.
See also: Volume
An eligibility rule that excludes stocks that cannot be traded in size, using average daily traded value, turnover ratio and days traded; in emerging markets it is usually the most powerful filter.
See also: Index Investing, Chapter 8
Long: owning an asset to gain if it rises. Short: selling (often borrowed) to gain if it falls.
Long banks, short real estate.
See also: Futures contract
Using in a back-test information that was not available at the time a decision would have been made, such as restated accounts or today’s index membership.
See also: Index Investing, Chapter 16
The tendency to weigh losses more than equal gains, roughly 2.25 times in Tversky and Kahneman’s estimate; it can trigger selling at the bottom.
See also: Index Investing, Chapter 23
The tendency of stocks with low volatility or low beta to do better than the CAPM predicts; indexes capture it by selection, tilting or minimum-variance optimisation.
See also: Index Investing, Chapter 7
M
Money borrowed from a broker to buy securities, with the securities as collateral.
Margin use 71% of the allowed limit.
See also: Leverage
Share of stocks taking part in a move, e.g. % of stocks above their 50-day moving average, or rising vs falling stocks.
Breadth 47%: less than half of the stocks are above their MA 50.
See also: Sentiment indicator
Value of a company on the stock market: share price x number of shares outstanding.
10,000 VND x 500 million shares = 5,000 bn VND.
See also: Treemap, Secteur
The grouping of countries by index providers into developed, emerging and frontier markets; FTSE Russell announced in 2025 the reclassification of Vietnam to Secondary Emerging, effective in stages from 2026.
See also: Index Investing, Chapter 21
Moving out of shares before falls and back in before rises; it usually fails because the best and worst days cluster together.
See also: Index Investing, Chapter 23
Weighting each stock by its market value, price times shares; it reflects the market, rebalances itself and has the highest capacity, but can be concentrated.
See also: Index Investing, Chapter 9
A risk-based weighting that maximises the ratio of the average volatility of the stocks to the volatility of the portfolio.
See also: Index Investing, Chapter 34
Largest fall from a peak to a following low, in %.
Maximum drawdown -14%: the worst peak-to-low loss over the period.
See also: Volatility
A measurement index can include every stock, however small or illiquid, to describe a market; an investable index holds only securities that can be bought in size at reasonable cost and adds liquidity filters, free-float adjustments, caps and buffers.
See also: Index Investing, Chapters 1 and 8
The written rule book of an index, detailed enough to reproduce it: universe, selection, weighting, calculation, reviews, corporate actions, governance, error correction and cessation.
See also: Index Investing, Chapter 12
A risk-based weighting that uses an optimiser and an estimated covariance matrix to find the portfolio with the lowest volatility, usually under weight caps; it is exposed to estimation error.
See also: Index Investing, Chapters 9 and 34
The tendency of recent winners, usually measured by the return over the past 12 months excluding the last month, to keep outperforming; it has high turnover and suffers sudden crashes.
See also: Index Investing, Chapter 7
Average of the last N closing prices, recalculated every day. Smooths the price to show the trend.
MA 20 = average of the last 20 closes.
See also: Bollinger Bands
An index that holds several asset classes in fixed proportions, such as 80% equities and 20% bonds, and rebalances back to them on a schedule.
See also: Index Investing, Chapter 11
Vietnam’s commodity exchange, operating since 2010 and connected to CME Group, ICE, the LME and other exchanges; it publishes the MXV-Index, a composite of the commodities traded through it.
See also: Index Investing, Chapter 29
N
A version of the index that reinvests dividends after deducting the withholding tax a typical foreign investor would pay.
See also: Index Investing, Chapters 1 and 3
The NXW universe of indexes and indicators, which, according to the CCPI brochure (2026), comprises more than 100,000 indexes and indicators across 97 countries, organised in ten levels of innovation.
See also: Index Investing, Chapter 36
The eight simulated flagship indexes used throughout the book, from NXW Vietnam 30 to NXW AI Global Leaders, all with base 1,000 on 2 January 2018.
See also: Index Investing, Chapter 17
In this book, the set of index pages and screening tools offered by the NXW platforms (the NXW Monitor and, on its roadmap, the CCPI Dashboard Lite) for finding, reading and comparing indexes.
See also: Index Investing, Chapter 36
O
Open, High, Low and Close prices of a period (day, week…). Usually shown as candlesticks.
Open 1,240 / High 1,258 / Low 1,236 / Close 1,250.
See also: Candlestick
A replication method in which a fund holds a representative sample of the index chosen to match its sectors, countries, size and risk factors; it saves costs but adds tracking error.
See also: Index Investing, Chapter 18
A contract that gives the buyer the right but not the obligation to buy (call) or sell (put) an index at a strike level, usually European and cash-settled.
See also: Index Investing, Chapter 19
Making the rules so detailed that they fit the noise of one history; the back-test looks excellent and the live record does not follow.
See also: Index Investing, Chapter 16
P
Insurance, also called index-based, that pays a pre-agreed amount when an index such as rainfall or wind speed crosses a trigger, with no loss adjustment; payment is fast, at the price of basis risk.
See also: Index Investing, Chapter 27
The broad index from which a new or derived index draws its stocks, used as its main yardstick for excess return, tracking error and beta.
See also: Index Investing, Chapters 34 and 37
The share of an index’s rise that a capital-protected note pays; it depends on interest rates and volatility, not on the issuer’s generosity.
See also: Index Investing, Chapter 20
Data stored with the date each value became known, including later revisions as new records, so that a back-test uses only information available at each decision.
See also: Index Investing, Chapter 13
The requirement that an investor hold the full cash amount before buying shares; Vietnam removed it for foreign institutional investors in November 2024, one of the reforms behind the FTSE upgrade.
See also: Index Investing, Chapter 35
The CCPI stage in which a tested index is set up in the IMS and calculated every day for one month before going live, to check data, corporate actions and levels.
See also: Index Investing, Chapter 37
The version of an index that records only price changes, so that dividends disappear from it; most indexes quoted in the news are price indexes.
See also: Index Investing, Chapter 1
An index that adds up prices and divides by a divisor, as in the Dow Jones Industrial Average and the Nikkei 225; an expensive stock counts more than a cheap one, whatever the size of the company.
See also: Index Investing, Chapter 3
An option-strategy index that sells at-the-money puts and holds Treasury bills as full collateral, such as the Cboe S&P 500 PutWrite Index (PUT); its payoff is close to that of a buy-write at the same strike.
See also: Index Investing, Chapter 31
Volume of put options divided by volume of call options. A high ratio shows more demand for protection (a more cautious market).
Put/Call ratio = 1.3.
See also: Sentiment indicator
Q
A tilt towards profitable, stable and lowly indebted companies, measured for example by return on equity, earnings stability and leverage.
See also: Index Investing, Chapter 7
R
A company or trust that owns income-producing property and distributes most of its taxable income as dividends in exchange for favourable tax treatment; REIT indexes such as FTSE EPRA Nareit are built like other equity indexes.
See also: Index Investing, Chapter 30
Resetting the weights of an index at a review, by updating shares, free-float factors and caps or restoring target weights.
See also: Index Investing, Chapter 10
A threshold rule that restores target weights only when an asset drifts beyond a set band, such as ±5 percentage points; often combined with a yearly check.
See also: Index Investing, Chapter 22
Setting several index series to 100 on a common start date, rebased level = 100 × I(t) / I(start), so that they can be compared.
See also: Index Investing, Chapter 36
Re-applying the selection rules at a review and changing the members of the index.
See also: Index Investing, Chapter 10
A rule-based once-a-day or real-time price of a crypto-asset, built from trades on selected exchanges, which funds, futures and indexes need because crypto trades 24/7 with no official close.
See also: Index Investing, Chapter 33
A house price index built only from homes sold at least twice, comparing each home with itself; it discards homes sold once and is revised as new pairs arrive.
See also: Index Investing, Chapter 30
The way a fund follows its index: full replication (every stock at its weight), optimised sampling (a representative sample) or synthetic replication (a swap with a bank).
See also: Index Investing, Chapter 18
How much loss an investor can absorb without damaging her goals (financial), and how much she can watch without selling in panic (psychological); the allocation should respect the lower of the two.
See also: Index Investing, Chapter 22
The part of portfolio volatility that comes from one stock, RCᵢ = wᵢ × (Σw)ᵢ / σₚ; the contributions add up exactly to portfolio volatility, so equal weights do not mean equal risk.
See also: Index Investing, Chapter 34
Weighting schemes set from estimates of risk rather than size: inverse volatility, minimum variance and risk parity.
See also: Index Investing, Chapter 9
An index that scales its exposure to an underlying index each day, min(target volatility / realised volatility, maximum leverage), so that its volatility stays near a target; it is most exposed when calm markets suddenly break.
See also: Index Investing, Chapter 31
The gain or loss from replacing an expiring futures contract with a later one, (F expiring − F next) / F next at each roll; negative in contango, positive in backwardation.
See also: Index Investing, Chapters 28 and 29
Relative Strength Index: momentum indicator from 0 to 100, usually over 14 periods. Above 70 is often read as overbought, below 30 as oversold.
RSI (14) of VNINDEX = 58.
See also: Moving average (MA)
S
The best-known US house price indexes, value-weighted repeat-sales indexes for 20 metro areas, two composites and the nation, published monthly with about a two-month lag and formerly called S&P CoreLogic Case-Shiller.
See also: Index Investing, Chapter 30
The commodity benchmark launched by Goldman Sachs in 1991, weighted by world production and therefore dominated by energy; it is reweighted once a year.
See also: Index Investing, Chapter 29
The daily USD/VND reference rate announced by the State Bank of Vietnam since January 2016, around which banks trade within a band, ±5% since October 2022.
See also: Index Investing, Chapter 32
A company’s direct greenhouse-gas emissions (Scope 1), those from the energy it buys (Scope 2) and those elsewhere in its value chain (Scope 3); reported Scope 1 and 2 data agree fairly well across vendors, Scope 3 and estimated data do not.
See also: Index Investing, Chapter 26
Multiplying each stock’s market-cap weight by a score (factor, ESG or theme) and renormalising, so that the index keeps its investability while expressing a view.
See also: Index Investing, Chapter 9
Group of companies with a similar business, e.g. Banks, Real Estate, Technology.
Banks are the largest sector of the VNINDEX.
See also: Market capitalisation
A system that assigns each company to a sector, such as the Global Industry Classification Standard (GICS) and the Industry Classification Benchmark (ICB); both are revised from time to time.
See also: Index Investing, Chapter 11
In the EU climate benchmarks, the rule that exposure to high climate-impact sectors must be at least equal to the universe, so that the index cuts carbon by choosing cleaner companies within those sectors rather than leaving them.
See also: Index Investing, Chapter 26
Lending a fund’s stocks to short sellers for a fee, against collateral; the income can offset part of the management fee.
See also: Index Investing, Chapter 18
An asset manager designing and calculating the indexes its own funds track; regulators accept it when the rules are public and calculation is separated from portfolio management.
See also: Index Investing, Chapters 12 and 24
Measure of investors’ mood (fear or optimism), built from prices, flows or surveys.
See PROJECTS > SENTIMENT INDICATORS.
See also: Fear & Greed indicator, Put/Call ratio
The risk that losses early in retirement, while withdrawals are being made, deplete a portfolio even when the average return is acceptable.
See also: Index Investing, Chapter 22
Number of business days between the trade and the exchange of cash and securities, written T+n.
T+2: settled two business days after the trade.
See also: Liquidité
The EU Sustainable Finance Disclosure Regulation, whose “Article 8” and “Article 9” disclosure categories the market used as quasi-labels; a review proposed in November 2025 would replace them with three categories, Transition, ESG Basics and Sustainable.
See also: Index Investing, Chapter 26
Annualised return minus the risk-free rate, divided by volatility: return per unit of total risk.
See also: Index Investing, Chapter 36
William Sharpe’s argument that, before costs, the average actively managed dollar earns the market return, so after costs it must earn less than the average passively managed dollar, whether or not markets are efficient.
See also: Index Investing, Chapter 5
Indexes that weight or select stocks by something other than market capitalisation to capture factors; best described as rules-based active management.
See also: Index Investing, Chapter 7
The S&P Indices Versus Active reports, which show what share of active funds beat their benchmark over several horizons, how many funds survived and whether winners kept winning; over long horizons a large majority lag after fees.
See also: Index Investing, Chapter 5
An ETF that holds bitcoin with a custodian and values it daily against a reference rate; the first in the United States began trading in January 2024.
See also: Index Investing, Chapter 33
A crypto-asset designed not to move against a currency such as the dollar; broad crypto indexes exclude stablecoins because they would add cash rather than crypto exposure.
See also: Index Investing, Chapter 33
A packaged investment, such as a note or certificate, built from bonds and options on an index; its price equals the fair value of its parts plus the issuer’s and distributor’s margin.
See also: Index Investing, Chapter 20
The overstatement of past returns caused by using only the companies or funds that still exist today, so that failures disappear from the record.
See also: Index Investing, Chapter 16
A replication method in which a fund holds other securities and receives the index return from a bank through a total return swap, at the price of counterparty risk.
See also: Index Investing, Chapters 18 and 19
The part of a stock’s risk that comes from the market and cannot be diversified away, and the part specific to the company that diversification removes.
See also: Index Investing, Chapter 4
T
Selling individual stocks that have fallen to realise losses that offset gains elsewhere, and buying similar stocks to keep the exposure; it brings no benefit where tax is levied on the value of sales rather than on gains.
See also: Index Investing, Chapter 24
NXW’s classification of its index universe, from market benchmarks, size, sector, style, thematic and geographic series to smart beta, factor, AI-driven and alternative-data, and multi-asset indexes; the levels classify design choices, not quality.
See also: Index Investing, Chapter 17
An index of companies expected to benefit from a long-term trend such as artificial intelligence or clean energy, usually built with exposure scores rather than sector boxes.
See also: Index Investing, Chapter 11
The price a share should trade at after a rights issue: (N × P(cum) + M × S) / (N + M), for M new shares at price S for every N held.
See also: Index Investing, Chapter 10
The growth of one unit held throughout a period, reported by funds, and the internal rate of return on an investor’s actual cash flows; the difference is the behaviour gap.
See also: Index Investing, Chapter 23
Recording fund shares or other assets on a blockchain, which could allow faster settlement, fractional ownership and trading outside normal hours; it does not change the need for a sound index, low costs and reliable custody.
See also: Index Investing, Chapters 24 and 30
Fractional shares of a building, or of a fund that owns buildings, recorded on a blockchain; the investor owns a claim on a legal vehicle whose value still depends on appraisals, the platform and local law.
See also: Index Investing, Chapter 30
The share of an index held in its ten largest constituents, a simple summary of concentration alongside the effective number of constituents.
See also: Index Investing, Chapter 36
The full cost of owning a fund: the expense ratio, the rest of the tracking difference, commissions, bid-ask spreads, premiums or discounts, entry and exit fees and taxes.
See also: Index Investing, Chapters 6 and 18
The version of an index that reinvests every dividend in the index on the ex-date, before tax.
See also: Index Investing, Chapters 1 and 3
The return of a fund minus the return of its index over a period; for the long-term investor, the real cost of the fund.
See also: Index Investing, Chapter 18
The annualised standard deviation of the difference between the returns of a fund or index and those of its benchmark; it measures how consistently one follows the other.
See also: Index Investing, Chapters 18 and 37
A climate index that adds forward-looking measures, such as science-based targets, implied temperature rise, green revenue and capital expenditure, to reported emissions, so that it can keep a company that is decarbonising.
See also: Index Investing, Chapter 26
The two channels of climate risk: transition risk from the move to a low-carbon economy, and physical risk from the climate itself, either acute (sudden events) or chronic (slow shifts).
See also: Index Investing, Chapter 27
The share of an index that changes at a review. One-way turnover is half the sum of the absolute changes in weight; its annual cost is roughly turnover × 2 × cost per side.
See also: Index Investing, Chapter 10
U
The European fund diversification limit: at most 10% in one issuer, and issuers above 5% together at most 40% of the fund; providers publish capped versions of indexes that respect it.
See also: Index Investing, Chapter 9
The widest set of securities an index could ever contain, defined by exchange, security type, nationality, share class and currency.
See also: Index Investing, Chapter 8
The best-known currency index, owned by ICE: a weighted geometric average of the dollar against six currencies with fixed weights (euro 57.6%), base March 1973 = 100; liquid and famous, but euro-heavy.
See also: Index Investing, Chapter 32
V
The tendency of stocks that are cheap relative to fundamentals, measured for example by book-to-price or earnings-to-price, to earn more than expensive ones over long periods, with long droughts.
See also: Index Investing, Chapter 7
Change over the last 12 months, in %. Column var12m in the tables.
VAR12M -3.2%.
See also: YTD
The state-owned parent of HOSE and HNX; HOSE runs the equity market and most equity indexes, HNX the bond, derivatives and UPCoM markets and the domestic carbon exchange.
See also: Index Investing, Chapter 35
The Cboe Volatility Index, a model-free measure of the 30-day expected volatility of the S&P 500, calculated from a strip of out-of-the-money option prices and quoted in annualised percentage points.
See also: Index Investing, Chapter 31
The headline index of HOSE: all listed stocks weighted by market value, base 100 on 28 July 2000. It is a measurement index rather than an investable one.
See also: Index Investing, Chapter 21
Index of the 30 largest and most liquid stocks listed on HOSE. It is the underlying of the VN30 futures contracts.
VN30 rose 1.2% while VNINDEX rose 0.8%.
See also: VNINDEX, Futures contract
A HOSE strategy index launched in 2019 of stocks at or near their foreign-ownership limit, with size and liquidity screens and 15% stock and 40% sector caps; its ETFs give foreigners a tradable route to those shares.
See also: Index Investing, Chapter 34
A HOSE strategy index launched in 2019 of leading financial stocks selected with profit, free-float and liquidity screens and a 15% cap, tracked by a domestic ETF since 2020.
See also: Index Investing, Chapter 34
Main index of the Ho Chi Minh City Stock Exchange (HOSE). It is weighted by market capitalisation and covers the shares listed on HOSE.
VNINDEX closes at 1,250 points, +0.8% on the day.
See also: VN30, HNX-Index, Market capitalisation
The HOSE real estate sector index (VNAllShare Real Estate), which measures developers’ share prices, not house prices.
See also: Index Investing, Chapter 30
The HOSE ESG index launched in 2017, selecting about 20 VN100 companies on an assessment of environmental, social and governance practices; Vietnam’s first exchange ESG benchmark.
See also: Index Investing, Chapters 26 and 35
A family of Vietnamese indexes created by Dr MAI Huu Minh with IFRC and its partners in 2012, not to be confused with the VNX50 and VNXAllshare indexes of HOSE and HNX or with the Vietnam Exchange.
See also: Index Investing, Chapter 17
How much returns move around their average (standard deviation). Annualised by multiplying daily volatility by the square root of 252.
Annualised volatility of 18%.
See also: Maximum drawdown, Correlation
Number of shares (or contracts) traded during a period.
VNINDEX volume: 650 million shares today.
The trade price at which cumulative volume first reaches half of the total; unlike a mean or VWAP, it ignores extreme prints, which makes a reference rate harder to manipulate.
See also: Index Investing, Chapter 33
The market in which companies buy carbon credits, usually to support a net-zero claim; credit quality is its main problem.
See also: Index Investing, Chapter 28
W
The index-weighted sum of each company’s Scope 1 and 2 emissions divided by its revenue in USD million; it is easy to compute and usually dominated by a handful of high-emitting stocks.
See also: Index Investing, Chapter 26
Rule-based indexes of listed Vietnamese companies managed by a woman chief executive, designed with IFRC in 2013 and compared with the VN-Index and HNX-Index; the series was later extended to Singapore and the United States.
See also: Index Investing, Chapters 17 and 26
Y
A stock whose dividend yield looks high because its price has collapsed in anticipation of a dividend cut; dividend-weighted indexes are exposed to it.
See also: Index Investing, Chapter 9
Year-to-date: change since the last close of the previous year, in %. Column ytd in the tables.
YTD +12.5%.
See also: Daily variation (VARPC), VAR12M
Z
A measure standardised to a common scale, z = (x − mean) / standard deviation, signed so that “good” is positive; smart indexes average z-scores into a composite factor score.
See also: Index Investing, Chapter 34
No term found.