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Alerian MLP Index
Barclay Hedge Fund & CTA Indexes
Blue Heron Strategy Indicators
CBOE BuyWrite Index
Consumer Price
Index:
Credit Suisse First
Boston indexes:
- Description and
Inclusion Rules
- Profiles
CSFB Hedge Fund
indexes:
Currency Indices:
- The currency indices
provide a return series for each index based on exchange rates against the US
dollar. These are the indexes that are used by StyleADVISOR
to convert currencies. Currently these exchange rates are supplied from the MSCI
data.
Dow Jones Industrial
Average:
Dow Jones Style
Indexes:
Dow Jones Portfolio
Indexes:
Dow Jones Select
Dividend Index:
Dow Jones AIG Commodity:
Dow Jones/Wilshire Indexes:
FTSE RAFI indexes:
Gold London PM
Fixing:
- Index return series
based on the price of gold.
Hedgefund.net Indices:
- Equal-Weighted
(each fund counts the same regardless of the amount of money invested)
- A fund is only
included in the index for the primary strategy of that fund.
- To get an idea
of how many funds are in each average you can go to http://www.hedgefund.net/bench_main.cfm
Hennessee Hedge
Indices:
HFRI Indices (Hedge
Fund Research Performance Indices):
- HFRI
Methodology
- http://www.hfr.com
Follow the link
to Hedge Fund Indices. Each index is an equal weighted composite of the
performance of the hedge funds of the particular strategy. These indices do not
have a survivorship bias. In other words, hedge funds that have gone out of business
are still represented in the index. For the most part, the performance numbers
are after fees. (HFR attempts to get net-of-fee performance data from each manager
and has been able to do so for about 90% of the funds. Unfortunately there are
still about 10% that provide gross-of-fee performance.) The following document,
while not focusing on the indices directly, provides insights into many of the
HFR strategies. Download HFR Strategy Definitions.
Lehman Fixed Icome
Indices:
- Lehman
Fixed Income Research brochure (PDF format)
- Lehman website:
http://www.lehman.com/fi/indices/index.htm
Lehman Aggregate
Bond Index:
- The Lehman Brothers
Aggregate Index represents securities that are U.S. domestic, 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. These major sectors are subdivided into
more specific indices that are calculated and reported on a regular basis.
Lehman Global Ex
US Bond Index:
- The Lehman Global
Ex US Bond Index is a subgroup of the Lehman Global Index. All issues in the Lehman
Global Index must be fixed rate, nonconvertible debt and have at least one year
remaining to maturity. Securities from countries classified as emerging markets
are excluded. The country components are weighted according to market capitalization,
except for Japan, which is weighted according to the market capitalization of
the 40 largest Japanese government bonds. For accuracy in pricing, some illiquid
issues are also excluded.
Lehman Government/Credit
Bond Index:
- The Lehman Government/Credit
Bond Index includes securities in the Government and Corporate Indices. Specifically,
the Government Index includes treasuries (i.e., public obligations of the U.S.
Treasury that have remaining maturities of more than one year) and agencies (i.e.,
publicly issued debt of U.S. Government agencies, quasi-federal corporations,
and corporate or foreign debt guaranteed by the U.S. Government). The Corporate
Index includes publicly issued U.S. corporate and Yankee debentures and secured
notes that meet specified maturity, liquidity, and quality requirements. Subgroups
of the Lehman Government/Corporate Bond Index, based on maturity, are the Lehman
Government/Corporate Intermediate Index and the Lehman Government/Corporate Long
Index.
Lehman Municipal
Bond Index:
- The Lehman Brothers
Municipal Bond Index is one of a number of broad market performance benchmarks
for the tax-exempt bond market. To be included in the Lehman Brothers Municipal
Bond Index, bonds must have a minimum credit rating of at least Baa. They must
have an outstanding par value of at least $3 million and be issued as part of
a transaction of at least $50 million. The bonds must have been issued after December
31, 1990 and have a remaining maturity of at least one year. Taxable municipal
bonds, bonds with floating rates, derivatives, and certificates of participation
are excluded.
Lehman Treasury
Long:
- The Lehman Treasury
Long Index is a subgroup of the Lehman Treasury Index based on maturity. (The
Lehman Treasury Index consists of public obligations of the U.S. Treasury with
a remaining maturity of one year or more). Various rules and exclusions apply.
Merrill Lynch Indices:
MSCI indexes: Morgan
Stanley Capital International
EAFE (Europe, Australasia and Far East Index), World and World x US
MSTAR Indices (Morningstar):
- The various Morningstar
indices are equal-weighted composites formed from funds in the Morningstar database
that belong to the given index sector. StyleADVISOR users can easily replicate
these indices in a risk analysis by applying a category-based query in any of
the Morningstar databases, selecting the managers of the given category as a universe,
and choosing the Save Universe Composite option from the File menu.
The resulting return series should match the return series of the Morningstar
index for that sector.
Nareit
Indices (National Association of Real Estate Investment Trusts):
- For a description
of the Nareit indices available in StyleADVISOR, please download Nareit.doc.
- For further information,
visit Nareit's website at http://www.nareit.com.
OakBrook Investment
Style Indexes:
Ocean Tomo Indices:
Russell Indices:
S&P Indices:
S&P/Citigroup Style and Pure Style Indices:
S&P/GSCI Indices:
S&P/GSSI Indices:
S&P/BARRA Indices:
Target Date Analytics Indices:
Wilshire Indices:
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