Hi all, I am interviewing for a role as an Index Research Analyst and would be grateful if someone can give me more colour on what i should be expecting in the interview and How I should prepare. - Assume benchmark research coverage for one or several equity markets within the Asia Pacific region „X Responsible for index construction and maintenance efforts of the Indices „X Conduct analytical research on index related topics such as corporate actions, free float, company fundamental data and regulatory structure of capital markets „X Author index research papers To be honest, i have been working as a Hedge Fund Analyst and really have no idea on what is going on with the specs stated above. Please advise. Thank you very much in advance.
CFAI says index construction is just a simple sum, can’t think of anything else… lol
If it’s an enhanced index, you may be trying to add a little bit of return without taking much risk. In that case, your HF experience might be directly applicable. If it’s a pure index product, then you are likely going to be looking at keeping transaction costs low and monitoring when you may need to change index components. For example, the S&P500 has the 500 largest companies in the US (or on certain exchanges, I actually forget exactly), but companies #499 and #501 might trade places every 6 months or so. So you may need to keep an eye on that and figure out how to do those exchanges at minimum transaction costs. You may be trying to calculate and/or track the cash flows that come out of the index, so you might be computing earnings estimates for the index, or effective interest yields if it’s a fixed income product. Fixed income indices are harder to manage, because the bonds change duration as they approach maturity. Your index may demand that you keep the portfolio duration within certain parameters, so fixed income index research is much more involved. It is also much harder to manage a fixed income index. IBM may have only one or two types of stock issued, but they can have 100s of different bond issues of different coupons and maturities. It becomes impractical to truly hold “a bit of everything,” and so you need something that is statistically similar to the index without requiring that you pay a transaction fee to get absolutely everything the index says ought to be in there. So there are some things that might be involved (I wrote this note yesterday, but AF was having posting issues, so it got lost).