There are often a number of different parties involved in the construction, maintenance and implementation of custom indices, some of them doing several of the following functions:
Brokerage: Brokers invest according to the rules defined in the index rule book. They generate money through brokerage fees.
Strategy research: This party defines the algorithms. They hold the intellectual property rights and earn a management fee.
Calculation agent: The calculation agent calculates the net-asset value (NAV) and holdings in accordance to the fund’s rules. A popular approach is to enlist the services of an independent third-party calculation agent since this ensures the index is calculated without possible conflicts of interest.
Asset manager: The asset manager selects strategies, builds and rebalances the portfolio.
Hedge provider/wrapper: Between the broker and investor, there can be a third party to either make the investment executable or make it more convenient, through a swap or a note.
However, several duties can be done by the same person and is not restricted to only one.