Definitions
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Active Share measures the percentage of stock holdings in a manager's portfolio that differ from the benchmark index.
Alpha measures the performance of an investment as compared to a suitable benchmark index. An alpha of one (the baseline value is zero) shows that the return on the investment during a specified time frame outperformed the overall market average by 1%. A negative alpha number reflects an investment that is underperforming as compared to the market average.
Average Life is the length of time the principal of a debt issue is expected to be outstanding. Average life does not take into account interest payments, but only principal payments made on the loan or security.
Beta measures the volatility of returns relative to the entire market. It is used as a measure of risk and is an integral part of the capital asset pricing model. A company with a higher beta has greater risk and also greater expected returns.
Coupon Rate is the amount of annual interest income paid to a bondholder, based on the face value of the bond.
Credit Rating is an opinion of a particular credit agency regarding the ability and willingness an entity (government, business, or individual) to fulfill its financial obligations in completeness and within the established due dates. A credit rating also signifies the likelihood a debtor will default. It is also representative of the credit risk carried by a debt instrument, whether a loan or a bond issuance. Presently, there are three prominent credit agencies that control 85% of the overall ratings market: Moody’s Investor Services, Standard and Poor’s (S&P), and Fitch Group.
Current Yield is an investment's annual income (interest or dividends) divided by the current price of the security. This measure examines the current price of a bond, rather than looking at its face value. Current yield represents the return an investor would expect to earn, if the owner purchased the bond and held it for a year. However, current yield is not the actual return an investor receives if he holds a bond until maturity.
Effective Duration calculates the average life of individual bonds within a bond fund, and serves as a useful measure of the entire portfolio’s sensitivity to rising and falling interest rates. An Effective Duration of 2.00 means that with a 1% decline in interest rates, the principal value should rise by 2%, and vice versa.
Option-Adjusted Spread (OAS) is the measurement of the spread of a fixed-income security rate and the risk-free rate of return, which is then adjusted to take into account an embedded option. Typically, an analyst uses Treasury yields for the risk-free rate. The spread is added to the fixed-income security price to make the risk-free bond price the same as the bond.
Portfolio Turnover Rate measures a fund’s annual trading activity. It is a percentage used to demonstrate how many holdings in a mutual fund were replaced within the year.
R-Squared represents what amount of a fund’s movements can be explained by movements in its benchmark index. A high R-Squared (between 85 and 100) indicates the fund’s performance patterns have been in line with the index.
Return on Equity (ROE) equals a company’s annual return (net income) divided by the value of its total shareholders’ equity, expressed as a percentage. Return on Equity is a two-part ratio in its derivation because it brings together the income statement and the balance sheet, where net income or profit is compared to the shareholders’ equity. The number represents the total return on equity capital and shows the firm’s ability to turn equity investments into profits.
Sharpe Ratio is commonly used to gauge the performance of an investment by adjusting for its risk. The higher the ratio, the greater the investment return relative to the amount of risk taken, and thus, the better the investment. The ratio can be used to evaluate a single stock or investment, or an entire portfolio.
Standard Deviation measures the magnitude of deviations between the values of the observations contained in the dataset. From a financial standpoint, the standard deviation can help investors quantify how risky an investment is and determine their minimum required return on the investment.
Upside/Downside Capture Ratio represents fund’s cumulative return divided by its benchmark’s cumulative return during positive and negative market periods.
Weighted Average P/B compares the book value of fund’s stocks with their market value. The price to book ratio indicates how much an investor is paying for a company’s assets based on historical valuations. It does not reflect current market value.
Weighted Average P/FFO Funds from operations, or FFO, is considered by industry analysts as an appropriate measure of earnings performance for an equity REIT. Generally, FFO adjusts net income for non-cash charges such as depreciation and amortization of rental properties, impairment charges, gains/losses on sales of real estate, and extraordinary items. FFO is not a generally accepted account principle (GAAP), but has been defined by the National Association of Real Estate Investment Trusts (NAREIT) as a standard measure since 1991.
Weighted Average P/ReNAV Real Estate Net Asset Value, or ReNAV, is a commonly used metric to estimate the adjusted book value of a Real Estate Investment Trust (REIT). NAV is the mark-to-market value of a company’s common equity calculated by applying an estimate of private market values to the company’s real estate and other assets and deducting all liabilities. NAV is often presented on a per-share basis.
Weighted Harmonic Median P/E is calculated by taking the inverse of the weighted median P/E ratio, finding the weighted median, and then taking the inverse of that result. Harmonic medians give equal weighting to each data point, whereas arithmetic medians give greater weights to high data points.
Weighted Median P/E compares the price of a fund’s stocks with their per-share earnings, with a higher ratio indicating the market believes that a company has the ability to increase its earnings.
Yield to Maturity (YTM), also referred to as redemption or book yield, is the speculative rate of return or interest rate of a fixed-rate security, such as a bond. The YTM is based on the belief or understanding that an investor purchases the security at the current market price and holds it until the security has matured (reached its full value), and that all interest and coupon payments are made in a timely fashion.
Yield to Worst (YTW) is a measure of the lowest possible yield that can be received on a bond that fully operates within the terms of its contract without defaulting. It is a type of yield that is referenced when a bond has provisions that would allow the issuer to close it out before it matures.
Designations
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The Accredited Asset Management Specialist® (AAMS) is a professional designation awarded by the College for Financial Planning (CFP) to financial professionals who successfully complete a self-study program, pass an exam, and agree to comply with a code of ethics. To keep the privileges associated with the designation, AAMS professionals must complete 16 hours of continuing education every two years.
The Accredited Investment Fiduciary® (AIF®) designation is a professional certification that demonstrates an advisor or other person serving as an investment fiduciary has met certain requirements to earn and maintain the credential. The purpose of the AIF® Designation is to assure that those responsible for managing or advising on investor assets have a fundamental understanding of the principles of fiduciary duty, the standards of conduct for acting as a fiduciary, and a process for carrying out fiduciary responsibility.
The Associate of the Society of Actuaries (ASA) is a professional organization for actuaries based in North America. The Society's vision is for actuaries to be recognized as the leading professionals in the modeling and management of financial risk and contingent events. Requirements for membership for the SOA include the actuarial exams, a comprehensive series of competitive exams. Topics covered in the exams include mathematics, finance, insurance, economics, interest theory, life models, and actuarial science.
The Certificate in Investment Performance Measurement® (CIPM) program is a graduate-level investment performance and risk evaluation credential and is awarded by the CFA Institute, the largest global association of investment professionals. To earn the CIPM, candidates must: 1) pass two sequential examinations; 2) have at least two years of qualified professional investment experience; 3) join CIPM Association; and 4) commit to comply with the CFA Institute Bylaws and Rules of Procedure.
The Certified Financial Planner® (CFP) certification is a graduate-level credential awarded by the CFP Board. To earn the CFP, candidates must: 1) take the required coursework; 2) meet educational requirements; 3) pass the examination; 4) have qualifying experience; and 5) agree to adhere to the CFP Board's standards of ethics and professional conduct.
The Certified Investment Management Analyst® (CIMA) credential is a graduate-level investment certification and is awarded by the Investment Management Consultants Association® (IMCA) that sets global standards for the investment management consulting profession. To earn the CIMA designation, candidates must: 1) have at least three years of qualified financial experience; 2) Pass an extensive background check; 3) complete the two-step program of study; 4) pass the qualification and certification examinations; and 5) adhere to the IMCA's Ethics and other ongoing standards.
The Certified Public Accountant Licensure (CPA) is a graduate-level accounting license and is awarded by the American Institute of CPAs (AICPA). To earn the CPA licensure, candidates must: 1) have at least two years of public accounting experience; and 2) pass the examination. Please note, every state has its own education and experience requirements that must be met.
The Certified Regulatory and Compliance Professional™ (CRCP) designation is a graduate-level compliance certification and is awarded by the Financial Industry Regulatory Authority (FINRA). To earn the CRCP designation, candidates must: 1) pass two weeklong residential courses; 2) pass the two consecutive examinations; and 3) meet continuing education requirements.
The Certified Treasury Professional® (CTP) designation is recognized as the leading credential in corporate treasury worldwide and awarded by the Association for Financial Professionals® (AFP). To earn the CTP designation, candidates must: 1) pass the examination, 2) have at least two years of qualified work/education/teaching experience, and 3) meet continuing requirements.
The Certified Trust and Fiduciary Advisor (CTFA) designation is a professional designation offered by the American Bankers Association (ABA), which provides training and knowledge in taxes, investments, financial planning, trusts, and estates.
The Chartered Alternative Investment Analyst® (CAIA) charter is a graduate-level alternative investment credential awarded by the CAIA Association, a global provider of Alternative Investment education. To earn the CAIA, candidates must: 1) pass two sequential examinations.
The Chartered Financial Analyst® (CFA) charter is a graduate-level investment credential awarded by the CFA Institute, the largest global association of investment professionals. To earn the CFA charter, candidates must: 1) pass three sequential, six-hour examinations; 2) have at least four years of qualified professional investment experience; 3) join CFA Institute as members; and 4) commit to abide by, and annually reaffirm, their adherence to the CFA Institute Code of Ethics and Standards of Professional Conduct.
The Chartered Financial Consultant® (ChFC) credential was introduced in 1982 as an alternative to the CFP® mark. This designation has the same core curriculum as the CFP® designation, plus two or three additional elective courses that focus on various areas of personal financial planning. To secure the designation, applicants must have three years of full-time business experience within the preceding five years and must complete nine college-level courses, equivalent to 27 semester credit hours (9 courses).
The Chartered Mutual Fund Counselor (CMFC) designation is for individuals who provide financial planning and investment advice related to mutual funds.
The Chartered Retirement Planning Counselor® (CRPC) designation is a retirement planning credential and is awarded by the College for Financial Planning. To earn the CRPC, candidates must: 1) complete the educational program; 2) pass the final examination; 3) complete the designation application.
The Chartered Retirement Plans Specialist (CRPS) credential is for those who create, implement and maintain retirement plans for businesses. Unlike most other professional financial planning and advisory professional designations, the CRPS focuses on wholesale and business clients.
The Fellow Chartered Accountant (FCA) and Fellow Chartered Professional Accountant (FCPA) are designations awarded by the Chartered Professional Accountants of Ontario Council. The distinction of Fellow (FCPA) formally recognizes CPAs who have rendered exceptional service to the profession and in their communities. FCPAs must be nominated by peers in recognition of exceptional leadership, competency and stewardship.
Index
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The Bloomberg 1-3 Year U.S. Aggregate Bond Index is the 1-3 year component of the U.S. Aggregate Index. The Bloomberg U.S. Aggregate Bond Index represents securities that are SEC-registered, taxable and dollar denominated. The index covers the U.S. investment grade fixed rate bond market, with index components for government and corporate securities, mortgage pass through securities, and asset-backed securities.
The Bloomberg 1-3 Year U.S. Government/Credit Bond Index is an unmanaged index composed of securities that are SEC-registered, taxable, and dollar denominated. The index covers the U.S. investment grade fixed rate bond market, with index components for government and corporate securities. It is not possible to invest in the Bloomberg 1-3 Year U.S. Government/Credit Bond Index, which is unmanaged and does not incur fees and charges. Total return includes price appreciation/depreciation and income as a percent of the original investment.
The Bloomberg 1-5 Year U.S. Corporate - ex Baa Index is a component of the Bloomberg U.S. Corporate Investment Grade Index and includes both corporate and non-corporate sectors. The corporate sectors are Industrial, Utility, and Finance, which include both U.S. and non-U.S. corporations. The non-corporate sectors are Sovereign, Supranational, Foreign Agency, and Foreign Local Government. Securities must have a maturity from 1 year up to (but not including) 5 years; must be rated A or better (A3/A- or higher) by at least two of the following ratings agencies: Moody’s, S&P, Fitch; must have at least $250 million par outstanding; must be dollar denominated, non-convertible and publicly issued.
The Bloomberg 1-5 Year U.S. Government Index is a component of the Bloomberg Government Index with sectors including Treasuries, and Agencies. Securities must have a maturity from 1 year up to (but not including) 5 years. Securities must have at least one year to final maturity regardless of call features; must have at least $250 million par outstanding; must be dollar denominated, non-convertible and publicly issued.
The Bloomberg 1-5 Year U.S. Government/Credit A+ Index is a component of the Bloomberg U.S. Government/Credit Index with sectors including Treasuries, Agencies, and Corporates. Securities must have a maturity from 1 year up to (but not including) 5 years. Securities must have at least one year to final maturity regardless of call features; must be rated investment grade (A3/A- or higher) by at least two of the following ratings agencies: Moody’s, S&P, Fitch; must have at least $250 million par outstanding; must be dollar denominated, non-convertible and publicly issued.
The Bloomberg 1-5 Year U.S. Government/Credit Index is a component of the Bloomberg U.S. Government/Credit Index with sectors including Treasuries, Agencies, and Corporates. Securities must have a maturity from 1 year up to (but not including) 5 years. Securities must have at least one year to final maturity regardless of call features; must be rated investment grade (Baa3/BBB- or higher) by at least two of the following ratings agencies: Moody’s, S&P, Fitch; must have at least $250 million par outstanding; must be dollar denominated, non-convertible and publicly issued.
The Bloomberg 9-12 Month U.S. Treasury Bill Index includes aged U.S. Treasury notes and bonds with a remaining maturity from 9 up to (but not including) 12 months and includes zero coupon strips.
The Bloomberg ABS Index is the ABS component of the U.S. Aggregate Index. It has three sub-sectors: Credit and charge cards, Autos, and Utility. The index includes pass-through, bullet, and controlled amortization structures and includes only the senior class of each ABS issue and the ERISA-eligible B and C tranche.
The Bloomberg Developed Markets ex-North America Large & Mid Cap Index is a float market-cap-weighted equity benchmark that covers 85% market cap of the measured market.
The Bloomberg Emerging Markets Aggregate Index is a flagship hard currency Emerging Markets debt benchmark that includes fixed and floating-rate U.S. dollar-denominated debt issued from sovereign, quasi-sovereign, and corporate EM issuers.
The Bloomberg Emerging Markets Hard Currency Aggregate Index is a flagship hard currency Emerging Markets debt benchmark that includes USD-denominated debt from sovereign, quasi-sovereign, and corporate EM issuers.
The Bloomberg Global Aggregate/Corporate Index is a flagship measure of global investment grade, fixed-rate corporate debt. This multi-currency benchmark includes bonds from developed and emerging markets issuers within the industrial, utility and financial sectors.
The Bloomberg Global Treasury ex-U.S. Hedged Index is comprised of securities issued by developed ex. U.S. and emerging market governments. The index is hedged against constituent currencies versus the U.S. dollar.
The Bloomberg Government/Credit Bond Index includes fixed rate debt issues rated investment grade or higher by Moody’s, S&P, or Fitch. All issues have at least one year to maturity and an outstanding par value of at least $250 million. This index includes only U.S. Government or Investment Grade Credit Only. Total return includes price appreciation/depreciation and income as a percent of the original investment.
The Bloomberg Intermediate U.S. Corporate ex-Baa Index is a component of the Bloomberg U.S. Corporate Investment Grade Index and includes both corporate and non-corporate sectors. The corporate sectors are Industrial, Utility, and Finance, which include both U.S. and non-U.S. corporations. The non-corporate sectors are Sovereign, Supranational, Foreign Agency, and Foreign Local Government. Securities must have at least one year to final maturity regardless of call features; must be rated A or better (A3/A- or higher) by at least two of the following ratings agencies: Moody’s, S&P, Fitch; must have at least $250 million par outstanding; must be dollar denominated, non-convertible and publicly issued.
The Bloomberg Intermediate U.S. Government Bond Index is a component of the Bloomberg Government Index with sectors including Treasuries and Agencies. Securities must have a maturity from 1 year up to (but not including) 10 years. Securities must have at least one year to final maturity regardless of call features; must be rated investment-grade (Baa3/BBB- or higher) by at least two of the following ratings agencies: Moody’s, S&P, Fitch; must have at least $250 million par outstanding; must be dollar denominated, non-convertible and publicly issued.
The Bloomberg Intermediate U.S. Government/Credit A+ Index is a component of the Bloomberg U.S. Government/Credit Index with sectors including Treasuries, Agencies, and Corporates. Securities must have a maturity of 1 year up to (but not including) 10 years. Securities must have at least one year to final maturity regardless of call features; must be rated A or better (A3/A- or higher) by at least two of the following ratings agencies: Moody’s, S&P, Fitch; must have at least $250 million par outstanding; must be dollar denominated, non-convertible and publicly issued.
The Bloomberg Intermediate U.S. Government/Credit Bond Index includes fixed rate debt issues rated investment grade or higher by Moody’s, S&P, or Fitch, in that order. All issues have at least one year to maturity and an outstanding par value of at least $100 million for U.S. Govt. issues and $50 million for all others. This index includes only the government, corporate, and Yankee issues with a remaining term to maturity of 1 to 9.99 years. Total return includes price appreciation/depreciation and income as a percent of the original investment.
The Bloomberg Non-Agency Investment Grade CMBS Index is an unmanaged index consisting of SEC-registered Commercial Mortgage Backed Securities meeting certain criteria, including being rated in the investment grade category.
The Bloomberg Treasury Index is made up of the public obligations of the U.S. Treasury with a remaining maturity of one year or more.
The Bloomberg U.S. 1-3 Year Agency Index is a subset of the Bloomberg U.S. Agency Index including all securities with a remaining term to maturity of more than one year and less than three years. The U.S. Agency Index includes publicly issued debt of U.S. Government agencies, quasi-federal corporations, and corporate or foreign debt guaranteed by the U.S. Government (such as USAID securities).
The Bloomberg U.S. 1-3 Year Corporate Investment Grade Index is a subset of the Bloomberg U.S. Corporate Index including all securities with a remaining term to maturity of less than three years. It is composed of publicly issued U.S. corporate fixed rate, dollar denominated, bonds that are investment-grade (Baa3/BBB- or higher).
The Bloomberg U.S. 1-3 Year Treasury Index is a subset of the Bloomberg U.S. Treasury Index including all securities with a remaining term to maturity of more than one year and less than three years. The U.S. Treasury Index includes publicly issued obligations of the U.S. Treasury.
The Bloomberg U.S. 1000 Value Index provides exposure to companies with superior value factor scores based on their earnings yield, valuation, dividend yield, and growth.
The Bloomberg U.S. 2000 Value Index is a float market-cap-weighted benchmark of the lower 2000 in capitalization of the Bloomberg U.S. 3000 Index that provides exposure to companies with superior value factor scores based on their earnings yield, valuation, dividend yield, and growth.
The Bloomberg U.S. 2500 Index is a float market-cap-weighted benchmark of the lower 2500 in capitalization of the Bloomberg U.S. 3000 Index.
The Bloomberg U.S. 3000 Index is a float market-cap-weighted benchmark of the 3000 most highly capitalized U.S. companies.
The Bloomberg U.S. Agency Index is an unmanaged index comprised of the publicly-issued debt of U.S. Government agencies, quasi-federal corporations, and corporate or foreign debt guaranteed by the U.S. Government (such as USAID securities).
The Bloomberg U.S. Aggregate ABS Index is a component of the Bloomberg U.S. Aggregate Index and includes pass-through, bullet and controlled amortization structures. The Index includes only the senior class of each ABS issue and the ERISA-eligible B and C tranche.
The Bloomberg U.S. Aggregate Bond Index is an unmanaged index composed of securities that are SEC-registered, taxable, and dollar denominated. The index covers the U.S. investment-grade fixed rate bond market, with index components for government and corporate securities, mortgage pass-through securities, and asset-backed securities. It is not possible to invest in the Bloomberg U.S. Aggregate Bond Index, which is unmanaged and does not incur fees and charges.
The Bloomberg U.S. Aggregate CMBS Index is a component of the Bloomberg U.S. Aggregate Index and includes investment grade securities that are ERISA-eligible under the underwriter’s exemption.
The Bloomberg U.S. Aggregate Intermediate Credit Index measures the performance of investment-grade, U.S. dollar-denominated, fixed-rate, taxable corporate and government-related debt with less than ten years to maturity. It is composed of a corporate and a non-corporate component that includes non-U.S. agencies, sovereigns, supranationals and local authorities.
The Bloomberg U.S. Aggregate Investment Grade Finance Index is a component of the Bloomberg U.S. Corporate Bond Index and measures publicly issued investment grade U.S. corporate bonds in the Finance sector.
The Bloomberg U.S. Aggregate Investment Grade Industrial Index is a component of the Bloomberg U.S. Corporate Bond Index and measures publicly issued investment grade U.S. corporate bonds in the Industrial sector.
The Bloomberg U.S. Aggregate Investment Grade Utility Index is a component of the Bloomberg U.S. Corporate Bond Index, which measures publicly issued investment grade U.S. corporate bonds in the Utility sector.
The Bloomberg U.S. Aggregate MBS Index is a component of the Bloomberg U.S. Aggregate Index and covers the mortgage-backed pass-through securities of Ginnie Mae (GNMA), Fannie Mae (FNMA) and Freddie Mac (FHLMC). The Index is formed by grouping the universe of over 600,000 individual fixed rate MBS pools into approximately 3,500 generic aggregates.
The Bloomberg U.S. Corporate 1-3 Year Index measures the investment grade, fixed-rate, taxable corporate bond market with 1-3 year maturities. It includes USD-denominated securities publicly issued by U.S. and non-U.S. industrial, utility and financial issuers.The Bloomberg U.S. Corporate Bond Index measures the investment-grade, fixed-rate, taxable corporate bond market. It includes USD-denominated securities publicly issued by U.S. and non-U.S. industrial, utility and financial issuers. The U.S. Corporate Index is a component of the U.S. Credit and U.S. Aggregate Indices, and provided the necessary inclusion rules are met, U.S. Corporate Index securities also contribute to the multi-currency Global Aggregate Index.
The Bloomberg U.S. Corporate Bond Index measures the investment-grade, fixed-rate, taxable corporate bond market. It includes USD denominated securities publicly issued by U.S. and non-US industrial, utility and financial issuers.
The Bloomberg U.S. Corporate High Yield Index measures the U.S. corporate market of non-investment grade, fixed-rate corporate bonds. Securities are classified as high yield if the middle rating of Moody’s, Fitch, and S&P is Ba1/BB+/BB+ or below.
The Bloomberg U.S. Corporate Investment Grade Index is an unmanaged index consisting of the qualifying universe of investment grade rated taxable corporate bonds. The index includes U.S. dollar-denominated securities publicly issued by U.S. and non-U.S. industrial, utility, and financial issuers.
The Bloomberg U.S. Credit Index measures the investment grade, U.S. dollar-denominated, fixed-rate, taxable corporate and government related bond markets. It is composed of the U.S. Corporate Index and a non-corporate component that includes foreign agencies, sovereigns, supranationals and local authorities.
The Bloomberg U.S. Government Bond Index comprises the U.S. Treasury and U.S. Agency Indices. The index includes U.S. dollar-denominated, fixed-rate, nominal U.S. Treasuries and U.S. agency debentures (securities issued by U.S. government-owned or government-sponsored entities, and debt explicitly guaranteed by the U.S. government) with at least one year until final maturity. The U.S. Government Index is a component of the U.S. Government/Credit and U.S. Aggregate Indices, and eligible securities also contribute to the multi-currency Global Aggregate Index.
The Bloomberg U.S. Government-Related Index is an unmanaged index comprised of U.S. dollar obligations meeting certain criteria issued by native and non-native agencies, Local Authorities, Sovereigns, and Supranational organizations.
The Bloomberg U.S. Government/Credit 1-5 Year Bond Index measures the performance of U.S. dollar-denominated U.S. Treasury bonds, government-related bonds (i.e., U.S. and non-U.S. agencies, sovereign, quasi-sovereign, supranational and local authority debt) and investment-grade U.S. corporate bonds that have a remaining maturity of greater than or equal to one year and less than five years.
The Bloomberg U.S. Government/Credit Bond Index is a broad-based flagship benchmark that measures the non-securitized component of the U.S. Aggregate Index. It includes investment-grade, U.S. dollar-denominated, fixed-rate Treasuries, government-related and corporate securities. Provided the necessary inclusion rules are met, U.S. Government/Credit-eligible securities also contribute to the multi-currency Global Aggregate Index and the U.S. Universal Index, which includes high yield and emerging markets debt.
The Bloomberg U.S. Intermediate Corporate Bond Index measures the investment grade, fixed-rate, taxable corporate bond market whose maturity ranges between 1 to 9.9999 years. It includes USD denominated securities publicly issued by U.S. and non-US industrial, utility and financial issuers.
The Bloomberg U.S. Intermediate Corporate ex-Baa Index is a component of the Bloomberg U.S. Corporate Investment Grade Index and includes both corporate and non-corporate sectors. The corporate sectors are Industrial, Utility, and Finance, which include both U.S. and non-U.S. corporations. The non-corporate sectors are Sovereign, Supranational, Foreign Agency, and Foreign Local Government. Securities must have at least one year to final maturity regardless of call features; must be rated A or better (A3/A- or higher) by at least two of the following ratings agencies: Moody’s, S&P, Fitch; must have at least $250 million par outstanding; must be dollar denominated, non-convertible and publicly issued.
The Bloomberg U.S. Intermediate Government Index is a component of the Bloomberg Government Index with sectors including Treasuries and Agencies. Securities must have a maturity from 1 year up to (but not including) 10 years. Securities must have at least one year to final maturity regardless of call features; must be rated investment grade (Baa3/BBB- or higher) by at least two of the following ratings agencies: Moody’s, S&P, Fitch; must have at least $250 million par outstanding; must be dollar denominated, non-convertible and publicly issued.
The Bloomberg U.S. Intermediate Government/Credit Bond Index measures the performance of U.S. Dollar denominated U.S. Treasuries, government-related and investment grade U.S. corporate securities that have a remaining maturity of greater than one year and less than ten years.
The Bloomberg U.S. Long Corporate Bond Index measures the investment grade, fixed-rate, taxable corporate bond market. It includes USD-denominated securities publicly issued by U.S. and non-U.S. industrial, utility and financial issuers that have a remaining maturity of ten years or more.
The Bloomberg U.S. MBS Index covers the mortgage-backed pass-through securities of Ginnie Mae (GNMA), Fannie Mae (FNMA), and Freddie Mac (FHLMC). It is formed by grouping the universe of individual fixed rate MBS pools into generic aggregates.
The Bloomberg U.S. Mid Cap Value Index is a float market-cap-weighted index based on an equal-weighted combination of four factors: earnings yield, valuation, dividend yield, and growth.
The Bloomberg U.S. Municipal Index covers the USD-denominated long-term tax exempt bond market. The index has four main sectors: state and local general obligation bonds, revenue bonds, insured bonds and prerefunded bonds.
The Bloomberg U.S. REIT Index is a float market-capitalization-weighted index that provides exposure to companies classified as per the Bloomberg Industry Classification System (BICS) with a level 3 sub-industry of REIT.
The Bloomberg U.S. Securitized Index is comprised of predominantly MBS Agency securities, but also includes ABS, CMBS and covered securities. Bloomberg U.S. Treasury Strips 20+ Year Index tracks the performance of zero coupon U.S. Treasuries with a duration of 20 years or more.
The Bloomberg U.S. TIPS Index includes all publicly issued, U.S. Treasury inflation-protected securities that have at least one year remaining to maturity, are rated investment grade, and have $250 million or more of outstanding face value.
The Bloomberg U.S. Treasury 20+ Year Index measures U.S. dollar-denominated, fixed-rate, nominal debt issued by the U.S. Treasury with 20+ years to maturity.
The Bloomberg U.S. Treasury Inflation-Linked Bond Index (Series-L) measures the performance of the U.S. Treasury Inflation Protected Securities (TIPS) market. Federal Reserve holdings of U.S. TIPS are not index eligible and are excluded from the face amount outstanding of each bond in the index.
The Bloomberg World Large & Mid Cap Index is a float market-cap-weighted benchmark that covers 85% market cap of the measured market.
The Citigroup Global Markets 6-Month Treasury Bill Index is a total return index that comes from the average yield of six-month Treasury Bills.
The Credit Suisse Leveraged Loan Index is a market-weighted index that tracks the performance of institutional leveraged loans. The index is calculated on a total return basis with dividends reinvested.
The FTSE NAREIT All Equity REITS Index contains all tax-qualified REITs with more than 50 percent of total assets in qualifying real estate assets other than mortgages secured by real properly that also meet minimum size and liquidity criteria. The FTSE NAREIT U.S. Real Estate Index Series is designed to present investors with a comprehensive family of REIT performance indexes that spans the commercial real estate space across the U.S. economy. The index series provides investors with exposure to all investment and property sectors. In addition, the more narrowly focused property sector and sub-sector indexes provide the facility to concentrate commercial real estate exposure in more selected markets.
The FTSE U.S. 6-Month Treasury Bill Index is an average of the last six 6-month Treasury bill month-end rates. This family of indices measures return equivalents of yield averages and the instruments are not marked to market.
The ICE BofA 1-10 Year Municipal Securities Index is a subset of the ICE BofA U.S. Municipal Securities Index including all securities with a remaining term to final maturity less than 10 years.
The ICE BofA 1-2 Year Municipal Index tracks the performance of U.S. dollar denominated investment grade tax-exempt debt publicly issued by U.S. states and territories, and their political subdivisions, in the U.S. domestic market. Qualifying securities must have at least one year and less than two years remaining term to final maturity, a fixed coupon schedule and an investment grade rating (based on an average of Moody’s, S&P and Fitch).
The ICE BofA 1-3 Year Municipal Index is a subset of the ICE BofA U.S. Municipal Securities Index including all securities with a remaining term to final maturity less than 10 years. The ICE BofA Municipal Master Index tracks the performance of the investment-grade U.S. tax-exempt bond market.
The ICE BofA 1-3 Year U.S. Corporate/Government Bond Index includes fixed rate debt issues rated investment-grade or higher by Moody’s and S&P. All issues have at least one year to three years to maturity and an outstanding par value of at least $300 million. All returns are market value weighted inclusive of accrued interest. The total return includes price appreciation/depreciation and income as a percentage of the original investment. The total return index is rebalanced monthly by market capitalization.
The ICE BofA 1-5 Year Municipal Index is a subset of the ICE BofA U.S. Municipal Securities Index including all securities with a remaining term to final maturity less than five years.
The ICE BofA 1-Year U.S. Treasury Note Index consists of a single issue purchased at the beginning of the month and held for a full month. At the end of the month that issue is sold and rolled into a newly selected issue. The issue selected at each month-end rebalancing is the outstanding two-year Treasury note that matures closest to, but not beyond, one year from the rebalancing date. To qualify for selection, an issue must have settled on or before the month-end rebalancing date.
The ICE BofA 10+ Year U.S. Corporate Index, a subset of the ICE BofA U.S. Corporate Index, measures the performance of investment-grade, USD-denominated corporate debt with a remaining maturity of at least ten years.
The ICE BofA 2-12 Year Municipal Index is a subset of the ICE BofA U.S. Municipal Securities Index including all securities with a remaining term to final maturity of at least two years and less than 12 years.
The ICE BofA 2-17 Year Municipal Bond Index is an unmanaged index composed of securities that are SEC-registered, tax-exempt, and dollar denominated. The index covers the intermediate U.S. investment grade fixed rate municipal bond market, with index components for municipal securities.
The ICE BofA 3-15 Year Municipal Index is a subset of the ICE BofA U.S. Municipal Securities Index including all securities with a remaining term to final maturity of at least three years and less than 15 years.
The ICE BofA 6-12 Month Municipal Index tracks the performance of U.S. dollar denominated investment grade tax-exempt debt publicly issued by U.S. states and territories, and their political subdivisions, in the U.S. domestic market. Qualifying securities must have at least 6 months and less than 12 months remaining term to final maturity, a fixed coupon schedule and an investment grade rating (based on an average of Moody’s, S&P and Fitch). Minimum size requirements vary based on the initial term to final maturity at time of issuance. Securities with an initial term to final maturity greater than or equal to one year and less than five years must have a current amount outstanding of at least $10 million.
The ICE BofA 6-Month U.S. Treasury Bill Index is an unmanaged index that measures the average yield of six-month Treasury Bills.
The ICE BofA BBB U.S. Corporate Index is a subset of the ICE BofA U.S. Corporate Master Index tracking the performance of U.S. dollar-denominated, investment-grade-rated corporate debt publicly issued in the U.S. domestic market. This subset includes all securities with a given investment grade rating of BBB.
The ICE BofA U.S. Corporate BB Index is a subset of the ICE BofA U.S. High Yield Master II Index tracking the performance of U.S. dollar-denominated, below-investment-grade-rated corporate debt publicly issued in the U.S. domestic market. This subset includes all securities with a given investment grade rating of BB.
The ICE BofA U.S. High Yield Index is an unmanaged, market capitalization-weighted index that measures the performance of USD-denominated, below-investment-grade corporate debt with at least 18 months to maturity at the time of issuance.
The ICE U.S. Treasury 10-20 Year Bond Index measures the performance of public U.S. Treasury obligations with a remaining maturity of 10-20 years.
The MSCI EAFE Index is an equity index that captures large and mid-cap representation across 21 Developed Markets countries around the world, excluding the U.S. and Canada. With 900 constituents, the index covers approximately 85% of the free float-adjusted market capitalization in each country.
The MSCI World Index captures large and mid-cap representation across 23 Developed Markets (DM) countries. With over 1,600 constituents, the index covers approximately 85% of the free float-adjusted market capitalization in each country.
The Russell 1000® Growth Index measures the performance of the large-cap growth segment of the U.S. equity universe. It includes those Russell 1000® companies with higher price-to-book ratios and higher forecasted growth values. The Russell 1000® Growth Index is constructed to provide a comprehensive and unbiased barometer for the large-cap growth segment. The index is completely reconstituted annually to ensure new and growing equities are included and that the represented companies continue to reflect growth characteristics.
The Russell 1000® Value Index measures the performance of the large-cap value segment of the U.S. equity universe. It includes those Russell 1000® companies with lower price-to-book ratios and lower expected growth values. The Russell 1000® Value Index is constructed to provide a comprehensive and unbiased barometer for the large-cap value segment. The index is completely reconstituted annually to ensure new and growing equities are included and that the represented companies continue to reflect value characteristics.
The Russell 2000® Value Index measures the performance of small-cap value segment of the U.S. equity universe. It includes those Russell 2000® companies with lower price-to-book ratios and lower forecasted growth values. The Russell 2000® Value Index is constructed to provide a comprehensive and unbiased barometer for the small-cap value segment. The index is completely reconstituted annually to ensure larger stocks do not distort the performance and characteristics of the true small-cap opportunity set and that the represented companies continue to reflect value characteristics.
The Russell 2500™ Index measures the performance of the small to midcap segment of the U.S. equity universe, commonly referred to as "SMID" cap. The Russell 2500™ Index is a subset of the Russell 3000® It includes approximately 2500 of the smallest securities based on a combination of their market cap and current index membership. The Russell 2500™ Index is constructed to provide a comprehensive and unbiased barometer for the small to mid-cap segment. The index is completely reconstituted annually to ensure larger stocks do not distort the performance and characteristics of the true small to mid-cap opportunity set.
The Russell 3000® Index measures the performance of the largest 3,000 U.S. companies representing approximately 98% of the investable U.S. equity market. The Russell 3000® Index is constructed to provide a comprehensive, unbiased and stable barometer of the broad market and is completely reconstituted annually to ensure new and growing equities are included.
The Russell Midcap® Value Index measures the performance of the midcap value segment of the U.S. equity universe. It includes those Russell Midcap® Index companies with lower price-to-book ratios and lower forecasted growth values. The Russell Midcap® Value Index is constructed to provide a comprehensive and unbiased barometer of the mid-cap value market. The index is completely reconstituted annually to ensure larger stocks do not distort the performance and characteristics of the true midcap value market.
The ICE BofA MOVE Index is a well-recognized measure of U.S. interest rate volatility that tracks the movement in U.S. Treasury yield volatility implied by current prices of one-month over-the-counter options on 2-year, 5-year, 10-year and 30-year Treasuries.
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