Bloomberg AusBond Indices
|
|
- Ginger Gibbs
- 5 years ago
- Views:
Transcription
1 1 Jun 2015 Bloomberg AusBond Indices Month in Review - May, 2015 Performance: Credit Index strongest performer in May The Credit Index led the way in May with a monthly return of +0.32%. The only sector within the Credit Index that lost ground over the month was the Government Agencies with the longer dated KBN, SEK and NEDWBK securities all posting losses. The decline of -0.12% by the Bloomberg AusBond Treasury Index, dragged down the performance of the Composite Index to a return of only +0.04% for the month. The Bloomberg AusBond Inflation indices fell for the second consecutive month, posting a negative return of -0.62%. However on a 12 months basis, the inflation market is providing stronger returns than the nominal market, outperforming the Composite Bond Index by 226bps. Table 1: Total Return Performance May 2015 Total Return Index MTD QTD 12 mth YTD 2 Year 5 Year AusBond Composite Index 0.04% -1.07% 7.47% 1.57% 5.79% 6.93% AusBond Treasury Index -0.12% -1.59% 7.97% 1.44% 5.37% 6.45% AusBond Semi Govt Index 0.08% -0.97% 7.56% 1.35% 6.23% 7.28% AusBond Supra/Sov Index 0.13% -0.64% 6.64% 1.88% 5.67% 6.92% AusBond Credit Index 0.32% -0.13% 6.73% 2.08% 6.02% 7.39% AusBond Bank Bill Index 0.20% 0.38% 2.65% 1.05% 2.67% 3.69% AusBond Inflation Index -0.62% -2.53% 9.73% 1.79% 6.60% 8.87% AusBond Govt Inflation Index -0.62% -2.63% 9.56% 1.86% 6.31% 8.62% AusBond Credit Inflation Index -0.70% -1.40% 11.74% 1.00% 9.78% 11.22% S&P/ASX 200 Accum Index 0.40% -1.31% 9.93% 8.88% 13.14% 10.31% Note: 2 and 5 year returns are annualised Chart 1: Bloomberg AusBond Composite and Inflation Indices: 12 month returns Page 1
2 The equities market posted a weak return of +0.40% in May, with the S&P/ASX 200 Accum Index outperforming the fixed income market by 36bps. YTD equities are providing a strong return of +8.88%. Chart 2: S&P/ASX200 Accum Index vs. Bloomberg AusBond Composite Bond Index: Monthly Return Performance 2014/15 May supply at A$12.6bn Supply into the Treasury and Semi Government Indices was above average in May with the sectors issuing taps totaling A$6.4bn and A$2.6bn respectively. Eight new securities were added to the Non-Government sector over the month, with FMSWER, EIB and IADB issuing a combined A$1.3bn into the Supranational/Sovereign Index and five securities totaling A$1.2bn added to the Credit Index. Table 2: Bloomberg AusBond Composite Bond Index supply: May-15 Sector May-15 supply 12 mth avg % diff (A$bn) (A$bn) Treasury % Semi Government % Non Government % Total Composite % Page 2
3 While 5 year and 10 year supply is still dominating, the AOFM and Semi Government authorities also issued into the 3 year and 9 year curves which combined counted for 26% of new supply in May. Chart 3: May-15 new issuance by maturity bucket, Issuers, Lead Managers Issuance of new securities into the single A credit curve has picked up in the last three months and now counts for 22.5% of new stock issued YTD. This increase has been at the expense of the BBB curve which back in February counted for 12.0% of new issuance however has now fallen to only 6.5%. Chart 4: Face value issue by rating band Note: Chart includes new securities only and does not include taps to existing instruments, Issuers, Lead Managers Page 3
4 Maturities During May two securities with a combined face value of A$2.9bn matured and left the Composite Bond Index. Table 3: May-15 Maturities Issuer ISIN Value Maturity KFW AU0000KFWHE0 2,650,000, May-15 MS AU3CB ,000, May-15 June will see only one security mature and leave the indices. Table 4: Upcoming maturities: Jun-15 Issuer ISIN Value Maturity ANZWA AU3CB ,000, Jun-15 As a result of the above mentioned new supply and maturities, and along with A$3.8bn of buybacks over the month, the Composite Bond Index has increased in size by A$92.55bn since Dec-14. Chart 5: Growth of Bloomberg AusBond Composite Bond Index: YTD, Issuers, Lead Managers Page 4
5 For additional information and licensing opportunities, please contact or call Sydney: Hong Kong: London: New York: Bloombergindexes.com INDEX <GO> >>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>>> BLOOMBERG and BLOOMBERG INDEXES are trademarks or service marks of Bloomberg Finance L.P. Bloomberg Finance L.P. and its affiliates ("collectively, "Bloomberg") or Bloomberg's licensors own all proprietary right in the BLOOMBERG INDEXES. Bloomberg does not guarantee the timeliness, accuracy or completeness of any data or information relating to BLOOMBERG INDEXES. Bloomberg makes no warranty, express or implied, as to the BLOOMBERG INDEXES or any data or values relating thereto or results to be obtained therefrom, and expressly disclaims all warranties of merchantability and fitness for a particular purpose with respect thereto. It is not possible to invest directly in an index. Back-tested performance is not actual performance. Past performance is not an indication of future results. To the maximum extent allowed by law, Bloomberg, its licensors, and its and their respective employees, contractors, agents, suppliers and vendors shall have no liability or responsibility whatsoever for any injury or damages - whether direct, indirect, consequential, incidental, punitive or otherwise - arising in connection with BLOOMBERG INDEXES or any data or values relating thereto - whether arising from their negligence or otherwise. This document constitutes the provision of factual information, rather than financial product advice. Nothing in the BLOOMBERG INDEXES shall constitute or be construed as an offering of financial instruments or as investment advice or investment recommendations (i.e., recommendations as to whether or not to buy, sell, hold, or to enter or not to enter into any other transaction involving any specific interest or interests) by Bloomberg or its affiliates or a recommendation as to an investment or other strategy by Bloomberg or its affiliates. Data and other information available via the BLOOMBERG INDEXES should not be considered as information sufficient upon which to base an investment decision. All information provided by the BLOOMBERG INDEXES is impersonal and not tailored to the needs of any person, entity or group of persons. Bloomberg and its affiliates do not express an opinion on the future or expected value of any security or other interest and do not explicitly or implicitly recommend or suggest an investment strategy of any kind. Customers should consider obtaining independent advice before making any financial decisions. AusBond Indices are compared to the S&P/ASX 200 Index. The S&P/ASX 200 measures the performance of the 200 largest index-eligible stocks listed on the ASX by floatadjusted market capitalization, covering approximately 80% of Australian equity market capitalization. The volatility of the S&P/ASX 200 may be materially different from that of the AusBond Indices. In addition, the membership in AusBond Indices may differ significantly from the securities that comprise the S&P/ASX 200. The S&P/ASX 200 has not been selected to represent an appropriate benchmark to compare the performance of AusBond Indices, but rather is disclosed to allow for comparison of AusBond Indices to a well-known and widely recognized index. Standard & Poor s, S&P, and S&P/ASX 200 are registered trademarks of Standard & Poor s Financial Services LLC ( S&P ), a part of McGraw Hill Financial. Page 5
Bloomberg AusBond Indices
1 October 2015 Bloomberg AusBond Indices Month in Review - September, 2015 Performance: Fixed income market closes quarter with continued gains The fixed income market added to August s gains with mostly
More informationUBS Bloomberg CMCI Energy Index
A Bloomberg Professional Services Offering UBS Bloomberg CMCI Energy Index State-of-the-Art Commodity Benchmark The UBS Bloomberg CMCI Index family was developed to track real performance of commodity
More informationBLOOMBERG COMMODITY SOLUTIONS. Carole Bernard, Index Specialist, Bloomberg L.P
BLOOMBERG COMMODITY SOLUTIONS Carole Bernard, Index Specialist, Bloomberg L.P START OF 2016 HAS BEEN MARKED BY First month of 2016 and it feels like the year of the bear with all asset classes down significantly
More informationAllianz Asset Pro+ Fixed Index Universal Life Insurance Policy
Allianz Life Insurance Company of North America 5701 Golden Hills Drive Minneapolis, MN 55416-1297 SM Allianz Asset Pro+ Fixed Index Universal Life Insurance Policy Current rates as of: 02/27/2018 These
More informationBLOOMBERG DOLLAR INDEX 2018 REBALANCE
BLOOMBERG DOLLAR INDEX 2018 REBALANCE 2018 REBALANCE HIGHLIGHTS Euro maintains largest weight 2018 BBDXY WEIGHTS Euro Canadian dollar largest percentage weight decrease Swiss franc has largest percentage
More informationAllianz Life Pro+ Elite Fixed Index Universal Life Insurance Policy
Allianz Life Insurance Company of North America 570 Golden Hills Drive Minneapolis, MN 5546-97 SM Allianz Life Pro+ Elite Fixed Index Universal Life Insurance Policy Current rates as of: 0/7/08 These are
More informationEODBABs Calculation Methodology
Methodology 4 th December 2017 Methodology 1/7 Contacts For general enquiries, please contact: T 131 279 E benchmarks@asx.com.au Contents Executive Summary 3 Overview... 3 EODBAB Calculation Methodology
More informationAllianz Accumulation Advantage SM Annuity
Consumer brochure (1/2018) Allianz Life Insurance Company of North America Allianz Accumulation Advantage SM Annuity Today s uncertain financial environment combined with the limited availability of traditional
More information/////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////
1 February 2016 Bloomberg Indices Month in Review January 2016 Month in Review... 2 Australian Market Performance... 4 New Zealand Market Performance... 6 Global Market Performance... 8 Market Yields...
More information1 September 2016 /////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////
1 September 2016 Bloomberg Indices Month in Review August 2016 Month in Review... 2 Australian Market Performance... 4 New Zealand Market Performance... 6 Global Market Performance... 8 Market Yields...
More informationINDEX METHODOLOGY. Bloomberg Currency Indices
INDEX METHODOLOGY Bloomberg Currency Indices TRACKING GLOBAL CURRENCY MOVEMENTS The Bloomberg Currency Indices offer the Bloomberg Dollar Spot Index and the Bloomberg British Pound Index. Each of these
More informationMSCI FRONTIER EMERGING MARKETS INDEX METHODOLOGY
INDEX METHODOLOGY MSCI FRONTIER EMERGING MARKETS INDEX METHODOLOGY September 2017 SEPTEMBER 2017 CONTENTS 1 Introduction... 3 2 Constructing the MSCI Frontier Emerging Markets Index... 3 3 Maintaining
More informationMSCI CUSTOM RISK WEIGHTED INDEXES
INVESTOR INSIGHT MSCI RISK WEIGHTED INDEXES MSCI CUSTOM RISK WEIGHTED INDEXES An Approach to Combining Low Risk and Size Exposure Index Marketing December 2016 DECEMBER 2016 The MSCI Risk Weighted Indexes
More informationBloomberg Consumer Comfort Index
Weekly Data Report Embargoed for release: 9:45 a.m. Thursday, June 2, 2016 Two- and three-month bests in Americans views of their personal finances and the buying climate this week have pulled the Bloomberg
More informationMSCI CUSTOM RISK WEIGHTED INDEXES
INVESTOR INSIGHT MSCI RISK WEIGHTED INDEXES HEDGED TO CAD MSCI CUSTOM RISK WEIGHTED INDEXES An Approach to Combining Low Risk and Size Exposure Index Marketing December 2016 DECEMBER 2016 The MSCI Risk
More informationIPD AUSTRALIA HEALTHCARE INDEX
IPD AUSTRALIA HEALTHCARE INDEX Q4 2015 Results Index Sponsor 2016 MSCI Inc. All rights reserved. Please refer to the disclaimer at the end of this document. INDEX CONTRIBUTORS Australian Unity Generation
More informationMSCI CUSTOM RISK WEIGHTED INDEXES
INVESTOR INSIGHT MSCI RISK WEIGHTED INDEXES HEDGED TO CAD MSCI CUSTOM RISK WEIGHTED INDEXES An Approach to Combining Low Risk and Size Exposure Index Marketing June 2017 JUNE 2017 The MSCI Risk Weighted
More informationBloomberg Consumer Comfort Index
Weekly Data Report Embargoed for release: 9:45 a.m. Thursday, August 13, 2015 The Bloomberg Consumer Comfort Index continued its pause for a second week in a row on the heels of a steep drop in July, with
More informationHEALTHCARE INDEX ADVISORY GROUP
HEALTHCARE INDEX ADVISORY GROUP 2 nd March 218 218 MSCI Inc. All rights reserved. Please refer to the disclaimer at the end of this document. INDEX CONTRIBUTORS Arena Investment Management Australian Unity
More informationAllocation Options for Variable Universal Life with Indexed Options
Allocation Options for Variable Universal Life with Indexed Options Minnesota Life Insurance Company - A Securian Company Life New Business 400 Robert Street North St. Paul, Minnesota 55101-2098 M INSTRUCTIONS
More informationMSCI CARBON FOOTPRINT INDEX RATIOS METHODOLOGY
MSCI CARBON FOOTPRINT INDEX RATIOS METHODOLOGY MSCI Methodology for Carbon Footprint Index Ratios January 2018 JANUARY 2018 CONTENTS INTRODUCTION..3 1 DEFINITION AND CALCULATION METHODOLOGY... 3 1.1 SECURITY
More informationMSCI REAL ESTATE INDEX RISK AND REGULATORY COMMITTEE
MSCI REAL ESTATE INDEX RISK AND REGULATORY COMMITTEE Terms of Reference October 2017 OCTOBER 2017 GENERAL MSCI uses four main committees to provide overall oversight and governance for benchmark administration
More informationMSCI EMERGING MARKETS HORIZON INDEX METHODOLOGY
INDEX METHODOLOGY MSCI EMERGING MARKETS HORIZON INDEX METHODOLOGY July 2014 JULY 2014 CONTENTS 1 Introduction... 3 2 Constructing MSCI Emerging Markets Horizon Index... 4 2.1 Calculating Weights for Each
More informationMSCI EQUITY INDEX POLICY REGARDING UNITED STATES IRS 871(M) REGULATIONS RELATING TO THE DEFINITION OF A QUALIFIED INDEX
MSCI EQUITY INDEX POLICY REGARDING UNITED STATES IRS 871(M) REGULATIONS RELATING TO THE DEFINITION OF A QUALIFIED INDEX August 2016 BACKGROUND On September 17, 2015, the U.S. Internal Revenue Service (
More informationMSCI ALL PORTUGAL PLUS 25/50 INDEX
INDEX METHODOLOGY MSCI ALL PORTUGAL PLUS 25/50 INDEX December 2016 DECEMBER 2016 CONTENTS 1 Introduction... 3 2 Constructing and Maintaining the MSCI All Portugal Plus 25/50 Index... 4 MSCI.COM PAGE 2
More informationMETHODOLOGY BOOK FOR: - MSCI USA SELECT QUALITY YIELD INDEX - MSCI EMERGING MARKETS SELECT QUALITY YIELD INDEX - MSCI UNITED KINGDOM
INDEX METHODOLOGY METHODOLOGY BOOK FOR: - MSCI USA SELECT QUALITY YIELD INDEX - MSCI EMERGING MARKETS SELECT QUALITY YIELD INDEX - MSCI UNITED KINGDOM SELECT QUALITY YIELD INDEX - MSCI EUROPE EX UK SELECT
More informationAN ALTERNATIVE PERSPECTIVE ON ALLOCATIONS TO ALTERNATIVES
AN ALTERNATIVE PERSPECTIVE ON ALLOCATIONS TO ALTERNATIVES SA REITS CONFERENCE - 2018 Gareth Allison Executive Director MSCI 2018 MSCI Inc. All rights reserved. Please refer to the disclaimer at the end
More informationS&P Shariah Indices Dow Jones Islamic Market Indices QUANTITATIVE ANALYSIS
S&P Shariah Indices Dow Jones Islamic Market Indices QUANTITATIVE ANALYSIS Q2 2015 Contents S&P Shariah Indices S&P Global Shariah 3 S&P Pan Arab Shariah 4 Sector Composition Comparisons 5 Dow Jones Islamic
More informationPersistence of Australian Active Funds
RESEARCH Active Versus Passive CONTRIBUTOR Priscilla Luk Senior Director Global Research & Design priscilla.luk@spglobal.com Persistence of Australian Active Funds EXECUTIVE SUMMARY While comparing active
More informationMSCI CHINA 50 INDEX METHODOLOGY
INDEX METHODOLOGY MSCI CHINA 50 INDEX METHODOLOGY February 2019 FEBRUARY 2019 CONTENTS 1 Introduction... 3 2 Index Construction Methodology... 4 2.1 Applicable Universe... 4 2.2 Determining the Constituents
More information1 October 2016 /////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////
1 October 2016 Bloomberg Indices Month in Review September 2016 Month in Review... 2 Australian Market Performance... 5 New Zealand Market Performance... 8 Global Market Performance... 11 Market Yields...
More informationMSCI RUSSIA CAPPED INDEX
INDEX METHODOLOGY MSCI RUSSIA CAPPED INDEX September 2017 SEPTEMBER 2017 CONTENTS 1 Introduction... 3 2 Constructing the MSCI Russia Capped Index... 4 3 Maintaining the MSCI Russia Capped Index... 5 3.1
More informationMSCI CANADA HIGH DIVIDEND YIELD 10% SECURITY CAPPED INDEX METHODOLOGY
INDEX METHODOLOGY MSCI CANADA HIGH DIVIDEND YIELD 10% SECURITY CAPPED INDEX METHODOLOGY Rahman, Atiqur May 2017 CONTENTS 1 Introduction... 3 2 Constructing and Maintaining the MSCI Canada High Dividend
More informationCUSTOM INDEX ON MSCI EM (EMERGING MARKETS) LOW CARBON LEADERS EX REITS 10/50 *
INDEX METHODOLOGY CUSTOM INDEX ON MSCI EM (EMERGING MARKETS) LOW CARBON LEADERS EX REITS 10/50 * *a custom index calculated by MSCI based on stock exclusion provided by the Ethical Council October 2015
More informationMSCI Overseas China Index: Early Inclusion Proposal
MSCI Overseas China Index: Early Inclusion Proposal July 7, 2014 Summary MSCI proposes to allow early inclusions of companies with Initial Public Offerings (IPOs) that are of significant size to the MSCI
More informationBLOOMBERG COMMODITY INDEX 2018 TARGET WEIGHTS
BLOOMBERG COMMODITY INDEX 2018 TARGET WEIGHTS 2018 SUMMARY 26 commodity contracts tested for inclusion No constituent changes (22 commodities constituents / 20 commodities) Energy reaches lowest weight
More informationMSCI CHINA A 50 INDEX METHODOLOGY
INDEX METHODOLOGY MSCI CHINA A 50 INDEX METHODOLOGY May 2018 MAY 2018 CONTENTS 1 Introduction... 3 2 Index Construction Methodology... 4 2.1 Applicable Universe... 4 2.2 Determining the Constituents of
More informationMSCI EUROPE ENERGY 35/20 CAPPED INDEX METHODOLOGY
INDEX METHODOLOGY MSCI EUROPE ENERGY 35/20 CAPPED INDEX METHODOLOGY March 2016 MARCH 2016 CONTENTS 1 Introduction... 3 2 Constructing the MSCI Europe Energy 35/20 Capped Index... 4 3 Maintaining the MSCI
More informationMSCI ALL PAKISTAN SELECT 25/50 INDEX METHODOLOGY
INDEX METHODOLOGY MSCI ALL PAKISTAN SELECT 25/50 INDEX METHODOLOGY April 2015 APRIL 2015 CONTENTS 1 Introduction... 3 2 Constructing the MSCI All Pakistan Select 25/50 Index... 4 2.1 Applying Liquidity
More informationINDEX METHODOLOGY MSCI RETURN SPREAD INDEXES METHODOLOGY
INDEX METHODOLOGY MSCI RETURN SPREAD INDEXES METHODOLOGY September 2018 CONTENTS 1 Introduction... 3 2 Constructing the MSCI Return Spread es... 4 2.1 Applying the MSCI Short and Leveraged Daily es Methodology...
More informationMSCI TADAWUL 30 INDEX METHODOLOGY
INDEX METHODOLOGY MSCI TADAWUL 30 INDEX METHODOLOGY January 2019 JANUARY 2019 CONTENTS 1 Introduction... 3 2 Index Construction Methodology... 4 2.1 Applicable Universe... 4 2.2 Security Selection... 4
More informationTEMPORARY TREATMENT OF UNEQUAL VOTING STRUCTURES IN THE MSCI EQUITY INDEXES
TEMPORARY TREATMENT OF UNEQUAL VOTING STRUCTURES IN THE MSCI EQUITY INDEXES January 2018 2017 MSCI Inc. All rights reserved. Please refer to the disclaimer at the end of this document. SUMMARY As announced
More informationGlobal Property & REIT Quantitative Analysis
Global Property & REIT Quantitative Analysis 4th Quarter 2012 2n S&P Dow Jones Indices Quantitative Analysis Global Property & REIT Page 1 Contents S&P Global Property & REIT 3 S&P Developed Property &
More informationMSCI LATIN AMERICA PACIFIC ALLIANCE INDEX
INDEX METHODOLOGY MSCI LATIN AMERICA PACIFIC ALLIANCE INDEX August 2014 AUGUST 2014 CONTENTS 1 Introduction... 3 2 Constructing the MSCI Latin America Pacific Alliance index... 4 2.1 Define the Eligible
More informationMSCI ACWI IMI TIMBER SELECT CAPPED INDEX METHODOLOGY
INDEX METHODOLOGY MSCI ACWI IMI TIMBER SELECT CAPPED INDEX METHODOLOGY March 2016 MARCH 2016 CONTENTS 1 Introduction... 3 2 MSCI ACWI IMI Timber Select Capped Index Construction... 4 2.1 Security Selection...
More informationINDEX METHODOLOGY MSCI HONG KONG+ September 2017
INDEX METHODOLOGY MSCI HONG KONG+ INDEX METHODOLOGY September 2017 SEPTEMBER 2017 CONTENTS 1 Introduction... 3 2 Index construction methodology... 4 2.1 Defining the Eligible Universe... 4 2.2 Index Construction...
More informationMSCI REAL ESTATE INDEX - OVERSIGHT COMMITTEE
MSCI REAL ESTATE INDEX - OVERSIGHT COMMITTEE Terms of Reference October 2017 OCTOBER 2017 GENERAL MSCI uses four main committees to provide overall oversight and governance for benchmark administration
More informationMSCI CANADA CUSTOM CAPPED INDEX METHODOLOGY
INDEX METHODOLOGY MSCI CANADA CUSTOM CAPPED INDEX METHODOLOGY Rahman, Atiqur August 2017 AUGUST 2017 CONTENTS 1 Introduction... 3 2 Index Construction and Maintenance... 4 2017 MSCI Inc. All rights reserved.
More informationMSCI RUSSIA LOCAL LIQUIDITY SCREENED CAPPED INDEX
INDEX METHODOLOGY MSCI RUSSIA LOCAL LIQUIDITY SCREENED CAPPED INDEX September 2017 SEPTEMBER 2017 CONTENTS 1 Introduction... 3 2 Constructing the MSCI Russia Local Liquidity Screened Capped Index... 4
More informationMSCI SIZE TILT INDEXES METHODOLOGY
INDEX METHODOLOGY MSCI SIZE TILT INDEXES METHODOLOGY November 2014 NOVEMBER 2014 CONTENTS 1 Introduction... 3 2 Index Construction Methodology... 4 2.1 Applicable Universe... 4 2.2 Weighting Scheme...
More informationMSCI AUSTRALIA SELECT HIGH DIVIDEND YIELD INDEX
INDEX METHODOLOGY MSCI AUSTRALIA SELECT HIGH DIVIDEND YIELD INDEX September 2017 SEPTEMBER 2017 CONTENTS 1 Introduction... 3 2 Constructing the MSCI Australia Select High Dividend Yield Index... 4 3 Maintaining
More informationMSCI INDEX - OVERSIGHT COMMITTEE
MSCI INDEX - OVERSIGHT COMMITTEE Terms of Reference October 2017 OCTOBER 2017 GENERAL MSCI uses four main committees to provide overall oversight and governance for benchmark administration for MSCI indexes
More informationIPD Norway Annual Property Index 2014
IPD Norway Annual Property Index 2014 4 March 2015 Håvard Bjorå - MSCI 2015 MSCI Inc. All rights reserved. Real estate & IPD products As your business grows global, so does our coverage Thanks to our contributors
More informationMSCI EMERGING + FRONTIER MARKETS WORKFORCE INDEX METHODOLOGY
INDEX METHODOLOGY MSCI EMERGING + FRONTIER MARKETS WORKFORCE INDEX METHODOLOGY September 2017 CONTENTS 1 Introduction... 3 2 Constructing MSCI Emerging + Frontier Markets Workforce Index... 4 2.1 Country
More informationMSCI BUYBACK YIELD INDEXES METHODOLOGY
INDEX METHODOLOGY MSCI BUYBACK YIELD INDEXES METHODOLOGY Mrig, Lokesh June 2017 JUNE 2017 CONTENTS 1 Introduction...3 2 Index Construction Methodology...4 2.1 Applicable Universe...4 2.2 Determining the
More informationFactor Investing & Smart Beta
Factor Investing & Smart Beta Raina Oberoi VP, Index Applied Research MSCI 1 Outline What is Factor Investing? Minimum Volatility Index Methodology Historical Performance and Index Characteristics Risk
More informationMSCI EQUITY INDEX COMMITTEE
MSCI EQUITY INDEX COMMITTEE Terms of Reference August 2018 AUGUST 2018 CONTENTS General... 3 The Equity Index Committee... 4 Description... 4 Responsibility... 4 Composition... 5 Meetings... 5 MSCI.COM
More informationMarch Construction and Methodology Document. Schwab 1000 Index
March 2018 Construction and Methodology Document Schwab 1000 Index Table of Contents Index Overview...3 Index Tickers...3 Bloomberg...3 Base Universe Eligibility...4 Base Universe...4 Domicile Criteria...4
More informationGENERAL GENERAL Q&A. Potential impact on the MSCI Equity Indexes of the United Kingdom s exit from the European Union ( Brexit ) January 23, 2019
GENERAL Q&A Potential impact on the MSCI Equity Indexes of the United Kingdom s exit from the European Union ( Brexit ) January 23, 2019 JANUARY 2019 CONTENTS Introduction... 3 Potential impact of Brexit
More informationMSCI ESG Research: ESG themes and the NZ50
MSCI ESG Research: ESG themes and the NZ50 November 2014 Emily Chew, Senior Analyst, APAC 2014 MSCI Inc. All rights reserved. ESG Research & Data Potential Use Cases Institutional Investors More informed
More informationLONG SHORT STRATEGY INDEX ON MSCI JAPAN IMI CUSTOM (GROSS) 85% + CASH (JPY) 15% INDEX* METHODOLOGY
INDEX METHODOLOGY LONG SHORT STRATEGY INDEX ON MSCI JAPAN IMI CUSTOM (GROSS) 85% + CASH (JPY) 15% INDEX* METHODOLOGY * a custom index combining MSCI Japan IMI custom Liquidity and Yield Low Volatility
More informationMSCI EFM AFRICA CAPPED + GCC COUNTRIES CAPPED SPECIAL WEIGHTED 10/40 INDEX METHODOLOGY
MSCI EFM AFRICA CAPPED + GCC COUNTRIES CAPPED SPECIAL WEIGHTED 10/40 INDEX METHODOLOGY May 2018 MSCI.COM PAGE 1 OF 9 CONTENTS 1 Introduction... 3 2 Constructing the MSCI EFM Africa Capped + GCC Countries
More informationMSCI DIVIDEND POINTS INDEXES METHODOLOGY
MSCI DIVIDEND POINTS INDEXES METHODOLOGY December 2018 MSCI.COM PAGE 1 OF 10 CONTENTS 1 Introduction... 3 2 Calculating the MSCI Dividend Points Indexes... 4 2.1 Calculation of Daily Index Dividend Points...
More informationNORTHERN TRUST INDEX ON MSCI EMERGING MARKETS*
INDEX METHODOLOGY NORTHERN TRUST INDEX ON MSCI EMERGING MARKETS* * A custom index calculated by MSCI based on the exclusion list provided by Northern Trust August 2016 AUGUST 2016 CONTENTS 1 Introduction...3
More informationMSCI GLOBAL EX FOSSIL FUEL INDEXES METHODOLOGY
INDEX METHODOLOGY MSCI GLOBAL EX FOSSIL FUEL INDEXES METHODOLOGY May 2017 MAY 2017 CONTENTS 1 Introduction...3 2 Screening Criteria...4 3 Constructing the MSCI Global ex Fossil Fuels Indexes...5 3.1 Underlying
More informationMSCI JAPAN IMI CUSTOM LIQUIDITY AND YIELD LOW VOLATILITY INDEX METHODOLOGY
INDEX METHODOLOGY MSCI JAPAN IMI CUSTOM LIQUIDITY AND YIELD LOW VOLATILITY INDEX METHODOLOGY October 2015 OCTOBER 2015 CONTENTS 1 Introduction... 3 2 Index Construction Methodology... 4 2.1 Defining the
More informationVanguard Variable Insurance Fund Total Stock Market Index Portfolio Summary Prospectus
Vanguard Variable Insurance Fund Total Stock Market Index Portfolio Summary Prospectus April 29, 2016 The Fund s statutory Prospectus and Statement of Additional Information dated April 29, 2016, as may
More informationMSCI GLOBAL EX CONTROVERSIAL WEAPONS INDEXES METHODOLOGY
INDEX METHODOLOGY MSCI GLOBAL EX CONTROVERSIAL WEAPONS INDEXES METHODOLOGY September 2017 SEPTEMBER 2017 CONTENTS 1 Introduction... 3 2 Screening Criteria... 4 3 Constructing the MSCI Global ex Controversial
More informationMSCI CANADA HIGH DIVIDEND YIELD 10% SECURITY CAPPED INDEX METHODOLOGY
INDEX METHODOLOGY MSCI CANADA HIGH DIVIDEND YIELD 10% SECURITY CAPPED INDEX METHODOLOGY Rahman, Atiqur November 2017 CONTENTS 1 Introduction... 3 2 Constructing and Maintaining the MSCI Canada High Dividend
More informationDecember 10, Peter Sorrentino, Chief Investment Officer, Comerica Asset Management
Last week was a case of the meek inheriting the earth, or at least market leadership. Shares of the major utility companies were a rare bright spot, advancing 3.07% last week, as falling interest rates
More informationMSCI FRANCE SELECT 70 EQUAL WEIGHTED 5% DECREMENT INDEX
MSCI FRANCE SELECT 70 EQUAL WEIGHTED 5% DECREMENT INDEX March 2018 MSCI.COM PAGE 1 OF 9 CONTENTS 1 Introduction... 3 2 Constructing the Indexes... 4 2.1 Security Selection... 4 2.2 Weighting Scheme...
More informationMSCI ASIA APEX INDEXES METHODOLOGY
INDEX METHODOLOGY MSCI ASIA APEX INDEXES METHODOLOGY Index Construction and Methodology for the Asia APEX Indexes February 2015 FEBRUARY 2015 CONTENTS 1 Introduction... 3 2 Index construction methodology...
More informationU.S. Corporate Issuers: Lending Surges Amid A Decline In Credit Risk In 1Q17
U.S. Corporate Issuers: Lending Surges Amid A Decline In Credit Risk In 1Q17 S&P Global Fixed Income Research Apr. 2017 Permission to reprint or distribute any content from this presentation requires the
More informationMSCI WMA PRIVATE INVESTOR INDEX SERIES METHODOLOGY
INDEX METHODOLOGY MSCI WMA PRIVATE INVESTOR INDEX SERIES METHODOLOGY Parmar, Pankaj May 2017 MAY 2017 CONTENTS 1 Introduction... 3 2 Constructing the MSCI WMA Private Investor Index Series... 4 2.1 Index
More informationDow Jones Target Date Indices Methodology
Dow Jones Target Date Indices Methodology S&P Dow Jones Indices: Index Methodology July 2015 Table of Contents Introduction 3 Highlights and Index Family 3 Index Construction 5 Index Composition 5 Index
More informationMETHODOLOGY BOOK FOR: - MSCI EMERGING MARKETS IMI (JST FIXING) INDEX - MSCI KOKUSAI (JST FIXING) INDEX
METHODOLOGY BOOK FOR MSCI EMERGING MARKETS IMI (JST FIXING) INDEX AND MSCI METHODOLOGY BOOK FOR: - MSCI EMERGING MARKETS IMI (JST FIXING) INDEX - MSCI KOKUSAI (JST FIXING) INDEX August 2017 MSCI.COM PAGE
More informationMSCI ALL COLOMBIA LOCAL LISTED RISK WEIGHTED INDEX METHODOLOGY
INDEX METHODOLOGY MSCI ALL COLOMBIA LOCAL LISTED RISK WEIGHTED INDEX METHODOLOGY January 2016 CONTENTS 1 Introduction... 3 2 Constructing the MSCI All Colombia Local Listed Risk Weighted Index... 4 2.1
More informationMSCI FRONTIER MARKETS 100 INDEX METHODOLOGY
INDEX METHODOLOGY MSCI FRONTIER MARKETS 100 INDEX METHODOLOGY September 2017 SEPTEMBER 2017 CONTENTS 1 Introduction... 4 2 Index Construction... 5 2.1 Eligible Universe... 5 2.2 Minimum Free Float-Adjusted
More informationLenwood Volatility Control Index Factsheet Date: Dec 30,2016
Lenwood Volatility Control Index Factsheet Date: Dec 30,2016 Index Objective The Index targets enhanced performance versus traditional benchmark portfolios by dynamically adjusting components based on
More informationCONTENTS. 1 Introduction Constructing the MSCI ESG Leaders Low Carbon ex Tobacco Involvement 5% Indexes... 4
INDEX METHODOLOGY METHODOLOGY BOOK FOR: - MSCI WORLD ESG LEADERS LOW CARBON EX TOBACCO INVOLVEMENT 5% INDEX - MSCI USA ESG LEADERS LOW CARBON EX TOBACCO INVOLVEMENT 5% INDEX - MSCI EUROPE ESG LEADERS LOW
More informationMSCI AGEING SOCIETY OPPORTUNTIES INDEX METHODOLOGY
INDEX METHODOLOGY MSCI AGEING SOCIETY OPPORTUNTIES INDEX METHODOLOGY Agrawal, Akhilesh October 2018 OCTOBER 2018 CONTENTS 1 Introduction... 3 2 Constructing the Index... 4 2.1 The set of relevant words
More informationMSCI CYCLICAL AND DEFENSIVE SECTORS INDEXES METHODOLOGY
INDEX METHODOLOGY MSCI CYCLICAL AND DEFENSIVE SECTORS INDEXES METHODOLOGY August 2016 AUGUST 2016 CONTENTS 1 Introduction... 3 2 Constructing MSCI Cyclical and Defensive Sectors Indexes... 4 2.1 Constituent
More informationMSCI ALL COLOMBIA LOCAL LISTED RISK WEIGHTED INDEX METHODOLOGY
INDEX METHODOLOGY MSCI ALL COLOMBIA LOCAL LISTED RISK WEIGHTED INDEX METHODOLOGY March 2018 MARCH 2018 CONTENTS 1 Introduction... 3 2 Constructing the MSCI All Colombia Local Listed Risk Weighted Index...
More information- MSCI USA LOW SIZE INDEX - MSCI WORLD EX USA LOW
INDEX METHODOLOGY METHODOLOGY BOOK FOR: MSCI USA LOW SIZE INDEX, MSCI WORLD EX USA LOW SIZE INDEX METHODOLOGY BOOK FOR: - MSCI USA LOW SIZE INDEX - MSCI WORLD EX USA LOW SIZE INDEX September 2018 SEPTEMBER
More informationINDEX METHODOLOGY METHODOLOGY BOOK FOR: - MSCI EURO SELECT DIVIDEND INDEX 10% RISK CONTROL DECREMENT INDEX
INDEX METHODOLOGY METHODOLOGY BOOK FOR: - MSCI EURO SELECT DIVIDEND INDEX - MSCI EURO SELECT DIVIDEND 10% RISK CONTROL DECREMENT INDEX November 2017 CONTENTS 1 Introduction... 3 2 Constructing the Indexes...
More informationMSCI MARKET CLASSIFICATION FRAMEWORK
MSCI MARKET CLASSIFICATION FRAMEWORK The classification of markets is a key input in the process of index construction as it drives the composition of the investment opportunity sets to be represented.
More informationMSCI EUROPE ESG LEADERS SELECT TOP 50 DIVIDEND INDEX METHODOLOGY
MSCI EUROPE ESG LEADERS SELECT TOP 50 DIVIDEND INDEX METHODOLOGY September 2017 MSCI.COM PAGE 1 OF 9 CONTENTS 1 Introduction... 3 2 Constructing the MSCI Europe ESG Leaders Select Top 50 Dividend Index...
More informationMSCI SELECT INDEXES FOR MEXICAN AFORES
INDEX METHODOLOGY MSCI SELECT INDEXES FOR MEXICAN AFORES December 2014 DECEMBER 2014 CONTENTS 1 Introduction... 3 2 Constructing the MSCI Select Indexes for Mexican Afores... 4 3 Maintaining the MSCI Select
More informationMSCI TOP 50 DIVIDEND INDEXES METHODOLOGY
INDEX METHODOLOGY MSCI TOP 50 DIVIDEND INDEXES METHODOLOGY September 2017 SEPTEMBER 2017 CONTENTS 1 Introduction... 3 2 Constructing the MSCI Top 50 Dividend Indexes... 4 2.1 Applicable Universe... 4 2.2
More informationBETA ADVANTAGE SUSTAINABLE GLOBAL EQUITY INCOME 200 INDEX
INDEX METHODOLOGY BETA ADVANTAGE SUSTAINABLE GLOBAL EQUITY INCOME 200 INDEX Rahman, Atiqur June 2017 JUNE 2017 CONTENTS 1 Introduction... 3 2 Index Construction Methodology... 4 2.1 Defining the Eligibile
More informationMSCI RUSSIA SELECT SIZE & LIQUIDITY 10/40 INDEX METHODOLOGY
INDEX METHODOLOGY MSCI RUSSIA SELECT SIZE & LIQUIDITY 10/40 INDEX METHODOLOGY June 2016 JUNE 2016 CONTENTS 1 Introduction... 3 2 Constructing the MSCI Russia Select Size & Liquidity 10/40 Index4 2.1 Defining
More informationESG Investing: Research & Benchmarks. Thomas Kuh, PhD Executive Director and Global Head of ESG Indexes, MSCI
ESG Investing: Research & Benchmarks Thomas Kuh, PhD Executive Director and Global Head of ESG Indexes, MSCI 1 ESG RATINGS: DISTILLING THE SIGNAL FROM THE DATA DATA 1,000 ESG data points 65,000 Individual
More informationINDEX METHODOLOGY MSCI WORLD ESG YIELD SELECT VARIANCE INDEX METHODOLOGY
INDEX METHODOLOGY MSCI WORLD ESG YIELD SELECT VARIANCE INDEX METHODOLOGY May 2017 CONTENTS 1 Introduction...3 2 Constructing the MSCI World ESG Yield Select Variance Index...4 2.1 Using the MSCI Global
More informationMSCI Asia APEX Indexes Methodology
Index Construction and Methodology for the Asia APEX Indexes February 2012 1. Introduction The MSCI Asia APEX Indexes are a set of free float adjusted market capitalization indexes designed to track the
More informationMSCI INFRASTRUCTURE INDEXES METHODOLOGY
INDEX METHODOLOGY MSCI INFRASTRUCTURE INDEXES METHODOLOGY September 2017 SEPTEMBER 2017 CONTENTS 1 Introduction... 3 2 Constructing the MSCI Infrastructure Indexes... 4 2.1 Infrastructure Sectors and Corresponding
More informationMSCI MALAYSIA IMI ISLAMIC HIGH DIVIDEND YIELD 10/40
INDEX METHODOLOGY MSCI MALAYSIA IMI ISLAMIC HIGH DIVIDEND YIELD 10/40 INDEX METHODOLOGY [Szerző] June 2017 JUNE 2017 CONTENTS 1 Introduction... 3 2 Constructing the MSCI Malaysia IMI Islamic High Dividend
More informationMSCI CYCLICAL AND DEFENSIVE SECTORS INDEXES METHODOLOGY
INDEX METHODOLOGY MSCI CYCLICAL AND DEFENSIVE SECTORS INDEXES METHODOLOGY November NOVEMBER CONTENTS 1 Introduction... 3 2 Constructing MSCI Cyclical and Defensive Sectors Indexes... 4 2.1 Constituent
More informationProtected: S&P/ASX 200 Index series 1A & 1B/2011
Reference only. Offer closed. Protected: S&P/ASX 200 Index series 1A & 1B/2011 Two investment opportunities with maturity prices linked to the performance of the S&P/ASX 200 index Distributed by Wilson
More informationMSCI FACTOR MIX A- SERIES INDEXES METHODOLOGY
INDEX METHODOLOGY MSCI FACTOR MIX A- SERIES INDEXES METHODOLOGY April 2016 APRIL 2016 CONTENTS 1 Introduction... 3 2 Constructing the MSCI Factor Mix A-Series Indexes... 4 2.1 Determining the Components
More informationSPIVA Senior Loans Scorecard
SPIVA Senior Loans Scorecard Year-End 2013 CONTRIBUTORS Vishal Arora, CFA Director, Index Research & Design vishal.arora@spdji.com Aye Soe, CFA Director, Index Research & Design aye.soe@spdji.com Summary
More information