THE INDEXING STUDIO
Building a new index
takes weeks. It shouldn't.
The Indexing Studio is a professional index construction and lifecycle management platform — built for the people who actually make indices. Design, backtest, publish, and govern institutional-grade indices in a single environment, with full audit trail and regulatory compliance built in.
Months, not days
A new index from idea to live typically takes 6–12 weeks: methodology drafts in Word, back-tests in Excel, committee sign-off via email, legal review, then manual production setup. Every iteration resets the clock.
Five tools, no single view
Price data in one system, analytics in another, compliance checks in Excel, methodology docs in SharePoint, rebalancing instructions sent manually to ops. No single source of truth — and no audit trail that spans all of it.
Compliance is an afterthought
UCITS diversification, BMR obligations, IOSCO principles — all checked manually, often at the end. WHT rates hardcoded in spreadsheets. NTR calculated without a proper dividend reinvestment engine. Errors found post-launch.
The Indexing Studio collapses all of this into one platform. From AI-assisted methodology design to daily production, committee governance, compliance monitoring, and factsheet generation — end-to-end, in hours.
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Index Administrators
- Launch new thematic or strategy indices faster
- Methodology governance with full version history
- Committee review & sign-off workflow built in
- BMR & IOSCO documentation ready to export
- White-label client index programmes
ETF Issuers
- Validate NTR / PR / TR before licensing
- UCITS Art. 52/53 compliance verified at design time
- Benchmark analytics: TE, IR, alpha, beta vs any index
- Factsheet & KID-ready data export
- Rebalancing history with ops-ready constituent lists
Structured Products Desks
- Bespoke indices for structured notes in hours
- What-if weight modelling before committing
- FX attribution on EUR / GBP-denominated strategies, GBX/pence markets supported
- Full audit trail for regulatory and legal review
- Daily level production with export API
Every index is calculated at the return type that matters for your product
Dividends reinvested after withholding tax deducted at source, per country of listing. The standard for UCITS ETFs and most licensed indices.
Dividends reinvested at the full pre-tax rate. Used for performance benchmarking and absolute-return mandates where WHT reclaim is assumed.
Price appreciation only; dividends excluded. Required for structured products and index-linked notes where dividend treatment is handled separately.
Construction Engine
- Equal weight, market cap, start weights, or revenue-weighted (TTM)
- NTR / TR / PR calculation engine
- USD, EUR, GBP — any base currency
- Daily FX conversion (ECB / WMR fix)
- Configurable rebalancing schedule
- Management fee (continuous, act/365)
- Country-level WHT — 48 jurisdictions
- Splits, special dividends (MSCI 5% PAF), rights issues, spin-offs
- Reconstitution: basket management workflow + atomic engine rebuild
- Full backfill on launch
Analytics Suite
- Ann. return, volatility, Sharpe, Sortino, Calmar
- Max drawdown — peak, trough, recovery
- Skewness, kurtosis, VaR
- Tracking error & information ratio
- Alpha, beta, cumulative excess return
- Pearson correlation matrix
- MTD / QTD / YTD / ITD windows
- Excel & CSV export
Governance & Compliance
- UCITS Art. 52 diversification check
- UCITS Art. 53 structural cap — 20% / 25% / 35%, set at design time
- Passive vs active breach classification
- AI-assisted index design
- Methodology document generation
- Committee review & sign-off workflow
- Basket reconstitution workflow — admin-gated, atomic rebuild
- Thematic index support — theme metadata, reconstitution schedule, BICS classification (once sector classification data is connected)
- Full audit trail — every change logged
- 6-check data quality firewall before every publication
- CA inbox — acknowledge or exception-flag each corporate action
- Factsheet & data export
Signal NEW
- Score every constituent against a theme using embedding similarity and LLM judgment
- Embedding similarity — semantic NLP match
- BICS revenue exposure — additional signal once sector classification data is connected
- LLM scoring — AI thematic judgment
- Purity Tiers — Pure-Play / Diversified / Minor / Unclassified by revenue exposure, once connected
- Liquidity screening — minimum market cap and ADTV thresholds
- Score history — trend across the last 20 runs per candidate
- Basket Purity — weighted-average alignment of live basket
- Drift alerts — flag declining scores before reconstitution
- Candidate ranking — full universe ordered by relevance
Weight Optimizer NEW
- Real projected-gradient solver — no external optimization dependency, no heuristic
- Minimum volatility — lowest achievable portfolio variance
- Minimum tracking error — closest basket to a chosen benchmark
- Risk parity — inverse-volatility weighting (disclosed as an approximation, not equal risk contribution)
- Minimal drift — smallest reweighting that satisfies a new constraint, in What-If
- Respects the UCITS structural cap — same cap-feasibility check as the rest of the platform
- Available in both the Index Designer (cold-start baskets) and What-If (existing live indices)
Backcast NEW
- Recomputes Market Cap weights as they actually were on any past date
- Real point-in-time share counts — SEC EDGAR historical filings, not today's count applied retroactively
- Real point-in-time trading price — nearest actual close on or before that date
- Every recomputed weight shown against today's weight, with the delta in percentage points
- Split-ambiguous dates are excluded, not guessed at — disclosed per-ticker rather than silently risking a number off by an exact split ratio
- Stale or missing inputs flagged inline, never silently zero-filled
Signal scores every constituent and candidate against a theme description using embedding similarity and LLM judgment, with BICS revenue exposure as an additional signal once connected. The result is a single Basket Purity number — the weighted-average thematic alignment of your live basket — updated every time you run Signal or on the nightly cron. Drift alerts flag names whose scores decline between runs, surfacing candidates for removal before the next reconstitution review.
Semantic vector cosine between theme description and company profile — catches thematic relevance that sector codes miss
ICE Reference Data – Sector Classifications — % of revenue from thematically-relevant segments. Requires an ICE data connection (not yet live)
An LLM scores each company against the theme description for nuanced relevance that embeddings alone can miss
Pure-Play / Diversified / Minor / Unclassified tiers by revenue exposure (once sector classification data is connected), plus minimum market cap and ADTV filters — investable candidates, not just relevant ones
Rebalancing Fully Automatic
- 4 modes Equal Weights · Start Weights · Market Cap · Revenue (TTM, look-ahead safe)
- Cap Optional UCITS structural cap — 20% / 25% / 35% applied post-rebalance
- Schedule Quarterly, semi-annual, or annual — set once
- Pro-forma Live preview of next event with T-{days} countdown
- UCITS Art.53 pass/fail checked at every rebalancing
- Audit Before/after weights, one-way turnover %, divisor pre/post
- Continuity Divisor adjusted automatically — zero level discontinuity
Attribution Price + FX
Daily return decomposed into price contribution and FX contribution per constituent — using T-1 closing composition as the attribution basis, so price and FX contributions sum exactly to the index return. Critical for EUR or GBP-denominated indices built on USD-listed stocks. Available as interactive chart, ranked table, and Excel export across any period.
What-If Modelling Interactive
- Weight sliders Adjust any constituent; others auto-normalize to 100%
- Fee slider 0–3% drag — see the exact drag on Ann. Return vs original
- Exclude / restore Zero out a name with one click and redistribute to survivors
- Add ticker Insert a new stock mid-session and recalculate with it in the basket
- Period selector 1Y / 3Y / ITD — stats and sparkline recompute for the chosen window
- Concentration Live HHI and Effective N — flags over-concentrated baskets before you commit
- Benchmark overlay Dashed line shows the benchmark trajectory on the same chart
- Suggest Weights Optimizer proposes min-vol, min-tracking-error, risk-parity, or minimal-drift weights — populates the sliders, you recalculate and decide
- Save as Draft Promote any scenario to a full named draft index in one click
Benchmark Analytics vs Any Index
- TE Annualized tracking error to benchmark
- IR Information ratio (excess return / TE)
- Alpha Jensen's alpha, annualized
- Beta Rolling beta vs benchmark
- CER Cumulative excess return chart
Production Operations Daily EOD
- Data quality gate 6 automated checks block publication when critical: FX coverage, price sparsity, CA lag, carry depth, warning count, constituent continuity
- CA inbox Every dividend, split, spinoff, rights issue, merger, and delisting is queued for review — acknowledge or flag as exception before it hits the index
- Publication SLA EOD completion tracked against 22:00 UTC target with 10-day compliance history per index
- Soft warnings Non-blocking issues surface to the committee pack — reviewers see data quality status before approving, not after
Reconstitution Workflow Admin-Gated
- Basket editor Add and remove constituents with a live weight editor — total must sum to 100% before approval is enabled
- Effective date Set the reconstitution date; engine rebuilds the full history from base date forward
- Committee note Rationale recorded alongside the approval — visible in methodology doc and audit trail
- Atomic rebuild Config, constituents, and all five engine tables written in one operation — no partial states
- History Every past reconstitution — additions, removals, weights — preserved in the methodology document
Thematic Indices Revenue Exposure
- Theme metadata Theme name, description, and inclusion criteria embedded in the methodology document
- BICS classification ICE Reference Data – Sector Classifications revenue-exposure scores per constituent — requires an ICE data connection (not yet live)
- Revenue weighting Weights proportional to trailing 12-month revenue — quarterly or annual, look-ahead bias eliminated via filing date gate
- Min exposure filter Enforce a minimum revenue exposure threshold (e.g. ≥50%) at reconstitution review
- Review schedule Reconstitution months set in methodology — March / September, or any custom calendar
- Data sources ICE Reference Data – Fundamentals for institutional clients (not yet connected); Yahoo Finance fundamentals as the live default today
Signal AI Thematic
- Basket Purity Weighted-average thematic alignment of live constituents — the headline metric for thematic index integrity
- Live signals Embedding similarity · LLM judgment — blended with configurable weights; BICS revenue exposure joins the blend once sector classification data is connected
- Purity Tiers Pure-Play, Diversified, Minor, or Unclassified — instant read on thematic concentration per candidate, once revenue exposure data is connected
- Liquidity screening Minimum market cap and average daily trading volume thresholds — institutional investability, not just relevance
- Score history Last 20 scoring runs tracked per candidate — see the trend, not just today's number
- Candidate ranking Full universe scored and ranked by relevance — ready to use for reconstitution additions
- Drift alerts Flags constituents whose scores decline between runs before the next reconstitution window
- Universe sources Index constituents, org-wide fund holdings, or manually added tickers
- Nightly cron Scores updated automatically overnight — Basket Purity always current without manual intervention
Withholding Tax Per Country
- US 30% statutory (MSCI)
- DE 26.375% incl. solidarity surcharge
- CH 35% at source
- FR 25% standard rate
- NL / JP 15% · 15.315%
- 48 jurisdictions covered
Engine verified against MSCI methodology — mathematically, on live data
163 / 163 PASS · 7,805 assertionsNet dividend reinvestment verified per ex-date against the closed-form WHT formula across all indices
Gross vs net split equals exactly the WHT deduction on each dividend event — zero drift on non-dividend days
PR series carries zero dividend influence — verified algebraically against weighted price-only returns
Management fee decays as exact continuous compounding (1 − fee/365)N — verified over 1,100+ days
Price contribution and FX contribution sum exactly to the constituent's total index return — cross-term correctly allocated, zero bleed when FX is flat
520 ms median for a full 466-constituent S&P 500 backtest — 4.5 years, 6,554 real dividend events, market-cap weighted with float adjustment, quarterly rebalancing · 22 ms for a 5-ticker 2-year multi-currency (USD/GBP/JPY) backtest with 18 dividends, 1 split, and live FX · pure in-memory, no DB round-trip
MSCI 5% PAF rule applied correctly — divisor adjusted on both PR and NTR when a distribution exceeds 5% of cum price, preventing level discontinuity
Exiting constituents purged immediately on the effective date; survivors reweighted to new targets at current prices — zero level impact, no drift to next rebalancing
Base dates falling on weekends or exchange holidays automatically snap to the next business day — no empty basket, no NaN levels on launch
LSE, Xetra, Euronext, TSX and NYSE holidays handled per constituent — European indices never compress two-day returns onto a US holiday, and UK bank holidays don't produce false missing-price warnings
LSE stocks quoted in pence (GBX) are converted to GBP at ingest — no 100× price overstatement in GBP-denominated indices. Enables correct FTSE 100, FTSE 250, and UK sector index construction
EURO STOXX 50 — replication against official index levels
0.9974 correlation · ACCEPTABLES&P 100 — replication against official index levels
0.9989 correlation · STRONGS&P 500 — replication against official index levels
0.9991 correlation · STRONGS&P 500 Total Return — WHT + FX validated against an official index
0.9983 correlation · STRONGOne click produces a structured XLSX with BUY / SELL / HOLD instructions per constituent — constituent, ISIN, current weight, target weight, and direction. Two sheets: execution instructions and a rebalancing summary. Ready to attach to the prime broker instruction email.
Every index generates a fully-populated Article 27 Benchmark Statement at one click — methodology, data inputs, governance, version history, data quality metrics, restatement and cessation policy. The document that normally requires a compliance team is produced in seconds, straight from the index configuration.
The committee pack that used to take two days assembles itself
Built-in · No manual prepIndex administrators spend 1–2 days before every committee meeting assembling the pack: methodology document, full backtest with analytics, UCITS compliance check, constituent list, attribution breakdown, risk metrics — pulled from different systems, formatted manually. The Indexing Studio generates the complete pack from live index data automatically. The committee opens a single URL and signs off directly in the platform. Every approval is time-stamped, attributed, and versioned.
Methodology, analytics, UCITS status, constituent weights, and rebalancing history all pre-populated from the live index — no copy-paste, no formatting
Committee members review and approve in the platform. Each sign-off is recorded against the index version it approved — immutable, auditable, regulatory-ready
An index configured for committee approval cannot go live until sign-off is complete. The approval gate is enforced by the platform, not by a checklist in someone's inbox
Art. 52 / 53 diversification status is computed and shown in the committee pack — the reviewer sees the compliance status before approving, not after
Who approved, when, which version of the index, which methodology was in force at approval time. Complete chain of evidence for regulatory examination
Every published index version carries a reference to its committee approval record. Revert to any prior version and its approval history travels with it
Apple, Microsoft, Nvidia, Alphabet, Amazon, Meta, Tesla — equal weight, quarterly rebalanced
Same 7 names, market-cap weighted. Pair with MAG7EW to see the concentration premium
Price-only variant — no dividend reinvestment. Baseline for structured product overlays
ASML, SAP, Capgemini and peers — EUR-denominated, demonstrates FX attribution on USD-listed ADRs
Cross-listed semiconductor names across US, Taiwan, Netherlands — multi-currency NTR
BNP, Deutsche Bank, ING, Santander and peers — EUR base, dividend-heavy sector
20 US large-caps at 5% each — Art. 52/53 compliant by design, diversified across sectors
High-ROE, low-leverage US names — quality factor strategy with SPY benchmark tracking
10 high-conviction US tech names — flagship demo index, benchmarked vs QQQ
Same basket as ISX·NTR with a 10% annualised volatility target overlay — exposure scales daily
Apple, Microsoft, Nvidia, Alphabet, Amazon — top 5 by market cap, equal-weighted
RTX, LMT, NOC, GD, HII and peers — sector index benchmarked vs ITA ETF
Blue-chip European equities — includes special dividend events (VALE 5% PAF) in live data
Tesla, BYD, Rivian, Lucid, ChargePoint — thematic basket across the EV ecosystem
Solar, wind, and grid-scale storage names — thematic renewable energy strategy
LVMH, Hermès, Richemont, Kering, Moncler — EUR-denominated luxury sector index
50/50 blend of US tech and global pharma — diversified cross-sector strategy
High-quality names across US and Europe — multi-currency quality factor index
Nvidia, TSMC, Broadcom, ASML — the picks-and-shovels layer of the AI buildout