NXW Investment Library · 8 modules · 37 chapters

指数投资

Based on the book Index Investing: From Theory to Practice (Dr MAI Huu Minh, TRAN Phan Bao Ngoc & HUYNH Nguyen Quoc Buu)

What an index is, why indexing works, how to design, build and test an index, the products that track it, how to invest for life, the IFRC-NXW Global Indexes case study – and the latest trends: ESG and gender equality, climate-risk, carbon, commodity, housing, derivatives-based, currency and crypto-asset indexes, factor-weighted smart indexes, and the new indexes of Vietnam. Also in Vietnamese: Đầu tư Chỉ số (Chapter 1 free in Resources > Documents).

阅读第 1 章（免费）目录

8 modules, 37 chapters

Chapter 1 is free to read online; the other chapters open a preview with their objectives and sections.

Module 1 – Foundations

3 chapters

1	什么是指数？一篮子证券、一套规则手册和一个数字 9 sections 1.1 A basket, a rule book and a number 1.2 The six rules of every index 1.3 Building a tiny index by hand 1.4 Base dates, base values and what a level means 1.5 Price, total-return and net-return indexes 1.6 The three jobs of an index 1.7 A map of index families 1.8 What an index is not 1.9 Reading an index factsheet	阅读 FREE
2	指数简史 From a newspaper average to the core of world investing 10 sections 2.1 The first averages 2.2 From averages to market-value indexes 2.3 The academic case for owning the index 2.4 The first index portfolios and the first index fund 2.5 Index futures and options: the index becomes tradable 2.6 The exchange-traded fund 2.7 Going global: MSCI, FTSE and the classification of markets 2.8 Beyond market value: smart beta, ESG and themes 2.9 Index investing in Vietnam 2.10 Lessons from 130 years of indexes	🔒 Preview
3	指数的数理逻辑 Weights, divisors, dividends and returns 9 sections 3.1 The notation 3.2 Price-weighted indexes 3.3 Market-value-weighted indexes 3.4 Free float and capping 3.5 Equal-weighted indexes 3.6 The divisor and why it changes 3.7 Price, total-return and net-return indexes 3.8 Chain-linking and long histories 3.9 Measuring index returns	🔒 Preview

Module 2 – Theory

4 chapters

4	资产分散化与现代投资组合理论 Why owning many stocks beats owning a few 9 sections 4.1 Risk and return 4.2 Covariance and correlation 4.3 The two-asset portfolio 4.4 The efficient frontier 4.5 Systematic and specific risk 4.6 The CAPM and beta 4.7 Why the market portfolio is the natural starting point 4.8 The limits of modern portfolio theory 4.9 Diversification in Vietnam and Asia	🔒 Preview
5	市场有效性与主动管理算术 Why beating the market is hard – and why the average investor cannot 9 sections 5.1 What “efficient” means 5.2 Three forms of efficiency 5.3 Random walks 5.4 The arithmetic of active management 5.5 What fund scorecards measure 5.6 Luck, skill and persistence 5.7 The Grossman – Stiglitz paradox 5.8 Where markets may be less efficient 5.9 What this means for the index investor	🔒 Preview
6	费用、税收与复利效应 The small numbers that decide your final wealth 8 sections 6.1 The power of compounding 6.2 The cost matters hypothesis 6.3 Visible costs 6.4 Hidden costs 6.5 How much do fees take over a lifetime?6.6 Taxes 6.7 Inflation and real returns 6.8 The total cost of ownership	🔒 Preview
7	因子投资与 Smart Beta Value, size, momentum, quality, low volatility – and the rules that capture them 9 sections 7.1 From one factor to many 7.2 Fama – French, Carhart and the multi-factor models 7.3 The main factors 7.4 Why might factor premia exist?7.5 Cyclicality and long drawdowns 7.6 Crowding, capacity and costs 7.7 Smart beta: rules-based active management 7.8 Multi-factor indexes 7.9 Using factors wisely	🔒 Preview

Module 3 – Index design

5 chapters

8	投资范畴、准入资格与成分股筛选 Deciding which securities get into the basket 8 sections 8.1 Three filters: universe, eligibility, selection 8.2 Defining the universe 8.3 Eligibility screens 8.4 Foreign-ownership limits and foreign room 8.5 Selection: top-N, coverage and scores 8.6 Buffer zones and fast entry 8.7 Investability versus representativeness 8.8 Exchanges in Vietnam: HOSE, HNX and UPCoM	🔒 Preview
9	权重分配方案 How much of each stock goes into the basket 9 sections 9.1 Why weighting matters 9.2 Market-cap and free-float weighting 9.3 Capped weights and the 5/10/40 rule 9.4 Equal weighting 9.5 Fundamental weighting 9.6 Score-tilted and dividend-weighted indexes 9.7 Risk-based weighting 9.8 Measuring concentration 9.9 Capacity and turnover: the price of diversification	🔒 Preview
10	定期再平衡、成分调整与公司行为处理 Keeping the basket true as companies change 8 sections 10.1 Two kinds of maintenance 10.2 Review calendars and key dates 10.3 Turnover, its cost and the inclusion effect 10.4 The divisor: keeping the index continuous 10.5 Cash dividends: price and total return 10.6 Stock dividends, bonus shares and splits 10.7 Rights issues and new shares 10.8 Mergers, spin-offs, suspensions, delistings and IPOs	🔒 Preview
11	行业、主题、ESG 与多资产复合指数 Slicing the market, scoring themes and mixing asset classes 9 sections 11.1 Why slice the market?11.2 Sector classification systems 11.3 Sector and country indexes 11.4 Thematic indexes and exposure scores 11.5 The pitfalls of thematic indexes 11.6 ESG and climate indexes 11.7 Commodity and gold indexes 11.8 Bond indexes 11.9 Multi-asset and strategy indexes	🔒 Preview
12	指数治理机制与编制方法论文档 Who writes the rules, who can change them, and how to write them down 8 sections 12.1 Why governance matters 12.2 The IOSCO Principles for Financial Benchmarks 12.3 The EU Benchmarks Regulation 12.4 Index committees and the governance structure 12.5 Conflicts of interest and self-indexing 12.6 Consultations, discretion and its limits 12.7 Error correction and cessation 12.8 How to write a methodology document	🔒 Preview

Module 4 – Build and test

5 chapters

13	指数构建所需的数据基础 Prices, shares, corporate actions – and the errors hiding in them 9 sections 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	🔒 Preview
14	在 Excel 中搭建您的第一只指数 A five-stock index, ten days, every formula 11 sections 14.1 Why start with a spreadsheet?14.2 Designing the workbook 14.3 The example: five stocks over ten days 14.4 Weights and index shares 14.5 The daily calculation: market value, divisor, level 14.6 Dividends and the total-return index 14.7 The quarterly rebalance 14.8 The stock split 14.9 Returns, volatility and drawdown 14.10 Charts that tell the truth 14.11 Common spreadsheet errors and the checks that catch them	🔒 Preview
15	在 R 语言中编写指数计算引擎 From data frames to a reusable, tested index calculator 9 sections 15.1 From spreadsheet to script 15.2 The engine at a glance 15.3 Data structures: think long, calculate wide 15.4 Weights and index shares 15.5 The rebalancing schedule 15.6 calc_index(): divisor, price and total return 15.7 Performance and risk statistics 15.8 Testing the engine with testthat 15.9 From numbers to charts and a dashboard	🔒 Preview
16	严谨回测：杜绝自我欺骗 Biases, overfitting and the gap between paper and practice 10 sections 16.1 What a back-test is 16.2 Look-ahead bias: using tomorrow’s newspaper 16.3 Survivorship bias: the graveyard is missing 16.4 Costs, capacity and unrealistic prices 16.5 Data snooping, multiple testing and overfitting 16.6 The deflated Sharpe ratio, intuitively 16.7 In-sample, out-of-sample and walk-forward 16.8 Time-period dependence 16.9 Back-test versus live: the gap 16.10 Reading other people’s back-tests: a checklist	🔒 Preview
17	实战案例：IFRC-NXW 全球指数体系 From a universe of 100,000 indexes in ten levels to eight flagship indexes: design, calculation and publication 9 sections 17.1 Who builds the indexes: IFRC and NXW 17.2 A universe in ten levels 17.3 How a family reaches 100,000 indexes 17.4 The eight flagship indexes and their place in the ten levels 17.5 The methodology and its trade-offs 17.6 The daily calculation process 17.7 What the simulated histories show 17.8 Publication in the NXW online monitor 17.9 Governance: the committee and the change log	🔒 Preview

Module 5 – Index products

3 chapters

18	指数基金与 ETF Structures, mechanics, costs and how to choose 9 sections 18.1 From an idea to an industry 18.2 Two structures: index mutual funds and ETFs 18.3 How an ETF works 18.4 How funds replicate an index 18.5 Measuring how well a fund tracks its index 18.6 The total cost of owning a fund 18.7 The families of index funds 18.8 Leveraged and inverse ETFs 18.9 Choosing an index fund: a scorecard	🔒 Preview
19	指数衍生品 Futures, options, swaps and volatility products 9 sections 19.1 The family of index derivatives 19.2 Why derivatives on indexes?19.3 Index futures 19.4 Using index futures 19.5 Index options 19.6 Option strategies for index investors 19.7 Swaps and synthetic exposure 19.8 Volatility as an asset: VIX futures and options 19.9 Risks, regulation and a checklist	🔒 Preview
20	指数结构化产品 Notes, certificates, warrants and ETNs – how they are built and what they cost 10 sections 20.1 What is a structured product?20.2 A map of index structured products 20.3 The building blocks 20.4 Capital-protected notes 20.5 Yield enhancement: reverse convertibles 20.6 Autocallables 20.7 Leverage products: warrants, turbos and CBBCs 20.8 Exchange-traded notes (ETNs)20.9 Costs, regulation and investor protection 20.10 The do-it-yourself alternative	🔒 Preview

Module 6 – Invest

5 chapters

21	在越南和亚洲开展指数投资 Local benchmarks, foreign limits, market upgrades and regional choices 9 sections 21.1 Why markets differ 21.2 The structure of Vietnam’s stock market 21.3 The local benchmarks 21.4 Domestic ETFs and index funds 21.5 Foreign-ownership limits 21.6 Market classification and reforms 21.7 Estimating index-inclusion flows 21.8 Asian markets for the index investor 21.9 Currency risk and home bias	🔒 Preview
22	构建贯穿一生的指数投资组合 Goals, allocation, rebalancing and the long road to retirement 10 sections 22.1 Start with the goal, not the fund 22.2 Risk capacity and risk tolerance 22.3 Foundations first: cash, insurance and debt 22.4 Core and satellite 22.5 Asset allocation with three to five funds 22.6 Home bias and global diversification 22.7 Rebalancing: keeping the plan on course 22.8 Lump sum or regular investing?22.9 Glide paths and target-date funds 22.10 Retirement withdrawals and sequence risk	🔒 Preview
23	行为偏差与典型投资陷阱 Why good funds produce poor investors – and how to protect yourself from yourself 8 sections 23.1 The behaviour gap 23.2 How our minds mislead us 23.3 Loss aversion and prospect theory 23.4 Chasing performance and timing the market 23.5 The diversification illusion 23.6 Product traps 23.7 Vietnam and Asia: retail markets and short horizons 23.8 Rules that protect you from yourself	🔒 Preview
24	指数投资的未来演进 Personal indexes, AI, new assets – and what will not change 11 sections 24.1 Where indexing stands 24.2 Direct indexing: an index of one 24.3 Self-indexing, custom indexes and index-as-a-service 24.4 AI and new data in index design 24.5 Active ETFs and the blurred line 24.6 Tokenisation, digital assets and 24-hour markets 24.7 Passive ownership: the debate 24.8 Indexing beyond listed stocks 24.9 Emerging markets and Vietnam 24.10 Three scenarios for 2035 24.11 What will not change	🔒 Preview
25	云原生指数综合平台 Data ready, formulas in a library, a new index in seconds – how it helps and how it makes money 9 sections 25.1 The index value chain 25.2 The six layers of an index platform 25.3 From idea to index in seconds 25.4 How a platform helps – and whom 25.5 Business models 25.6 Regulation and governance 25.7 Risks and pitfalls 25.8 Case study: the NXW platform 25.9 Building a minimal platform yourself	🔒 Preview

Module 7 – Latest index trends and innovations

10 chapters

26	ESG 与气候指数：最新发展趋势从负面剔除到巴黎协定对齐基准、绿色转型与影响力投资 10 sections 26.1 Where ESG indexing stands in 2026 26.2 The regulatory reset in Europe 26.3 Disclosure goes global: ISSB and the new data 26.4 Paris-aligned and climate transition indexes 26.5 Transition and climate-solutions indexes 26.6 Nature, social and impact indexes 26.7 ESG data and ratings divergence 26.8 Fixed income: ESG and green-bond indexes 26.9 ESG indexes in Asia and emerging markets 26.10 How to evaluate an ESG or climate index	🔒 Preview
27	气候风险、天气与巨灾指数量化物理气候风险：气温、天气衍生品、巨灾债券与气候风险评级 10 sections 27.1 Two kinds of climate risk 27.2 Climate data indexes: measuring the warming 27.3 Indexes of extremes, vulnerability and loss 27.4 Weather indexes: degree days and the weather market 27.5 Rainfall and parametric insurance 27.6 Catastrophe bonds and cat bond indexes 27.7 Climate-risk scores in equity indexes 27.8 Building climate-risk indexes: data, models, scenarios and basis risk 27.9 Asia and Vietnam 27.10 A checklist for any climate-risk or weather index	🔒 Preview
28	碳交易市场与碳指数碳排放定价机制：强制履约与自愿减排市场、碳信用额度及跟踪指数 9 sections 28.1 Why put a price on carbon?28.2 Compliance markets around the world 28.3 How allowances are traded 28.4 The voluntary carbon market 28.5 Carbon prices around the world 28.6 Carbon indexes and the products that track them 28.7 Risks: policy, volatility, liquidity and credit quality 28.8 Carbon in a portfolio 28.9 A checklist for any carbon index or product	🔒 Preview
29	大宗商品指数：新一代架构从标普 GSCI 和彭博商品指数到优化展期、风险溢价与能源转型指数 10 sections 29.1 Three generations of commodity indexes 29.2 The first-generation benchmarks 29.3 Spot, roll and collateral: the contango problem 29.4 The second generation: enhanced roll and constant maturity 29.5 The third generation: risk premia, carry and momentum 29.6 Thematic indexes: battery metals, gold and agriculture 29.7 Carbon and ESG in commodity indexes 29.8 Asia and Vietnam 29.9 Case: the NXW Gold Plus index 29.10 A checklist for any commodity index	🔒 Preview
30	住房与房地产指数住宅价格走势、重复销售法、特征价格模型、REITs 指数与不动产代币化 10 sections 30.1 Why housing is hard to index 30.2 Five ways to measure house prices 30.3 Worked example: composition bias and a five-pair repeat-sales index 30.4 The major house price indexes 30.5 Commercial real estate and the smoothing problem 30.6 Listed real estate: REIT indexes 30.7 Investable housing exposure 30.8 Uses: macroeconomics, mortgages and policy 30.9 Asia and Vietnam 30.10 A checklist for any property index	🔒 Preview
31	基于衍生品的指数体系波动率指数、期权策略指数与期货跟踪指数 10 sections 31.1 Index derivatives versus derivatives-based indexes 31.2 A taxonomy of derivatives-based indexes 31.3 Implied-volatility indexes: the VIX and its cousins 31.4 Futures-based indexes 31.5 Option-strategy indexes I: buy-write and covered call 31.6 Option-strategy indexes II: put-write, collars and buffers 31.7 Risk-control and volatility-target indexes 31.8 The product boom and the evidence 31.9 Asia and Vietnam 31.10 A checklist for evaluating a derivatives-based index	🔒 Preview
32	货币指数美元指数、贸易加权有效汇率与外汇量化策略指数 9 sections 32.1 Why measure a currency with an index?32.2 The US Dollar Index (DXY)32.3 Trade-weighted and effective exchange rate indexes 32.4 Other currency indexes 32.5 How currency indexes are calculated in practice 32.6 Investable currency indexes and strategy indexes 32.7 Using currency indexes 32.8 Asia and Vietnam 32.9 Risks and a checklist	🔒 Preview
33	加密资产指数比特币基准、市值加权与上限加权指数、参考汇率与加密货币 ETF 10 sections 33.1 Why crypto needs indexes 33.2 Reference rates and pricing 33.3 Broad market indexes 33.4 Construction choices 33.5 Crypto ETFs and ETPs 33.6 Strategy and thematic crypto indexes 33.7 Risks 33.8 Governance and regulation of crypto benchmarks 33.9 Asia and Vietnam 33.10 A checklist for any crypto index or product	🔒 Preview
34	因子加权与智能指数（Smart Beta）超越传统市值加权：基本面加权、风险平价、因子倾斜与多因子智能指数：下一代投资利器 9 sections 34.1 Why look beyond cap weighting?34.2 A map of weighting approaches 34.3 Fundamental weighting and the rebalancing effect 34.4 Risk-based weighting: from inverse volatility to equal risk contribution 34.5 Factor scores, tilts and multi-factor design 34.6 The new generation 34.7 The costs of being smart 34.8 How to evaluate a smart index 34.9 Asia and Vietnam	🔒 Preview
35	越南指数体系：新一代布局市场升级、ESG 与碳交易：面向越南投资者的下一代核心指数 8 sections 35.1 A market at a turning point 35.2 Vietnam’s index landscape today 35.3 ESG in Vietnam: the building blocks 35.4 ESG data gaps and an ESG-tilted index 35.5 Vietnam’s carbon market: law and pilot 35.6 Carbon credits, CBAM and a plant’s carbon position 35.7 The next indexes 35.8 Risks and challenges	🔒 Preview

Module 8 – Latest index trends and innovations

2 chapters

36	NXW 指数观察台 Finding, reading and comparing indexes: specifications, history, performance and peers 10 sections 36.1 Why an observatory?36.2 The NXW Indexes Observatory 36.3 Searching and filtering: the screener 36.4 The specification: reading the factsheet 36.5 History: levels, reconstitutions and versions 36.6 Composition and concentration 36.7 Performance and risk 36.8 Comparing with peers 36.9 Reading a factsheet critically 36.10 From question to answer in five clicks	🔒 Preview
37	数分钟内实现从创意构思到投资文档 Testing a new index idea with NXW Global Indexes and CCPI 10 sections 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	🔒 Preview

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