Glossary
Barclays Aggregate Bond Treasury—Broad-based measure of the investment grade, U.S. dollar-denominated fixed-rate taxable bond market, including Treasuries, government-related and corporate securities, MBS, ABS, and CMBS.
Barclays Global Aggregate—Broad-based measure of the global investment grade fixed-rate debt markets, containing the U.S. Aggregate, the Pan-European Aggregate, and the Asian-Pacific Aggregate indices, as well as other securities not contained in these indices.
Barclays Global Aggregate Hedge—Broad-based measure of the global investment grade fixed-rate debt markets, containing the U.S. Aggregate, the Pan-European Aggregate, and the Asian-Pacific Aggregate indices, as well as other securities not contained in these indices. This index is hedged to U.S. dollars.
Barclays Multiverse—Measures the performance of the global bond market.
Barclays US Aggregate Bond—Broad-based measure of the investment grade U.S. dollar-denominated, fixed-rate taxable bond market including Treasuries, government-related and corporate securities, MBS, ABS, and CMBS.
Barclays US Corp HY—Measures the market of U.S. dollar-denominated, non-investment grade, fixed-rate, taxable corporate bonds.
Barclays US Credit—U.S. corporate index and a noncorporate component that includes foreign agencies, sovereigns, supranationals, and local authorities. It is a subset of the U.S. Government/Credit Index and the U.S. Aggregate Index.
Barclays US Government—Comprises the U.S Treasury and U.S. Agency indices and also includes Treasuries and U.S. Agency debentures (publicly issued debt of U.S. Government agencies, quasi-federal corporations, and corporate or foreign debt guaranteed by the U.S. Government).
Barclays US Gov’t/Credit 1–3 Year—Unmanaged index considered representative of the performance of short-term U.S. corporate bonds and U.S. government bonds with maturities from 1 to 3 years.
Barclays US Gov’t/Credit 1–3 Year Yield—Nonsecuritized component of the U.S. Aggregate index and the first macro index launched by Barclays Capital. The U.S. Government/Credit index includes Treasuries (such as public obligations of the U.S. Treasury that have remaining maturities of more than one year), government-related issues (such as agency, sovereign, supranational, and local authority debt), and corporates.
Barclays US Treasury US TIPS—Rules-based, market value-weighted index that tracks inflation-protected securities issued by the U.S. Treasury.
BBA LIBOR 3 Month—Tracks interest rate at which banks can borrow funds, in marketable size, from other banks in the London interbank market. Fixed on a daily basis by the British Bankers’ Association, it derives from a filtered average of the world’s most creditworthy banks’ interbank deposit rates for larger loans with maturities between overnight and one full year.
BofAML US Corporates 1–3 Years—A subset of the BofA Merrill Lynch US Corporate Index including all securities with a remaining term to final maturity less than three years.
BofAML US HY Master II Constrained—Contains all the securities in the BofA Merrill Lynch US High Yield Index but caps issuer exposure at 2%. Index constituents are capitalization-weighted, based on their current amount outstanding, provided the total allocation to an individual issuer does not exceed 2%.
BofAML US Treasuries 1–3 Year—Tracks the performance of the direct sovereign debt of the U.S. Government and includes all U.S. dollar-denominated U.S. Treasury notes and bonds having at least one year remaining term to maturity and a minimum amount outstanding of $1 billion.
BofAML US Treasury Bill 3 Month—Comprises 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 Treasury Bill that matures closest to, but not beyond, three months from the rebalancing date.
BofAML US Treasury Bill 3 Month—Comprises 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 Treasury Bill that matures closest to, but not beyond, three months from the rebalancing date.
BofAML US Treasury Current 5 Year—Series of one-security indices in which the current “on-the-run” issue for each stated maturity remains in the index until the date a new one is auctioned and settles.
BofAML USD LIBOR 3 Month—Tracks interest rate at which banks can borrow funds, in marketable size, from other banks in the London interbank market. Fixed on a daily basis by the British Bankers’ Association, it derives from a filtered average of the world’s most creditworthy banks interbank deposit rates for larger loans with maturities between overnight and one full year.
BofAML USD LIBOR 3 Month EUR—Tracks an interest rate at which banks can borrow funds, in marketable size, from other banks in the London interbank market. Fixed on a daily basis by the British Bankers’ Association, it derives from a filtered average of the world’s most creditworthy banks interbank deposit rates for larger loans with maturities between overnight and one full year.
CBOE Buywrite Monthly—Benchmark index designed to reflect the return on a portfolio consisting of a long position in the stocks in the S&P 500 Index and a short position in an S&P 500 (SPX) call option.
CBOE S&P 500 Buywrite BXM—Benchmark Index designed to reflect the return on a portfolio that consists of a long position in the stocks in the S&P 500 Index and a short position in an S&P 500 (SPX) call option.
Citi Treasury Bill 1 Month—Measures monthly return equivalents of yield averages that are not marked to market. The One-Month Treasury Bill Index consists of the last one-month Treasury bill issue.
Citi Treasury Bill 3 Month—Measures monthly return equivalents of yield averages that are not marked to market. The Three-Month Treasury Bill Indices consist of the last three three-month Treasury Bill issues.
Citi WGBI NonUSD—Includes the 18 government bond markets of Australia, Austria, Belgium, Canada, Denmark, Finland, France, Germany, Greece, Ireland, Italy, Japan, the Netherlands, Portugal, Spain, Sweden, Switzerland, and the United Kingdom. It excludes the United States.
Dow Jones Brookfield Global Infrastructure—Measures the stock performance of companies that exhibit strong infrastructure characteristics. Index components are required to have more than 70% cash derived from infrastructure lines of business. The index measures all sectors of the infrastructure market.
Credit Suisse Convertible Arbitrage—Subset of the Credit Suisse Hedge Fund index that measures the aggregate performance of risk arbitrage funds. Risk arbitrage event-driven hedge funds typically attempt to capture the spreads in merger or acquisition transactions involving public companies after the terms of the transaction have been announced.
Credit Suisse Event Driven—Subset of the Credit Suisse Hedge Fund index that measures the aggregate performance of risk arbitrage funds. Risk arbitrage event-driven hedge funds typically attempt to capture the spreads in merger or acquisition transactions involving public companies after the terms of the transaction have been announced.
Credit Suisse Hedge Fund—Asset-weighted hedge fund index compiled by Credit Suisse Hedge Index LLC and CME Group Index Services LLC which includes only funds as opposed to separate accounts. The index uses the Credit Suisse Hedge Fund Database which tracks approximately 8,000 funds and consists only of funds with a minimum of $50 million under management, a 12-month track record, and audited financial statements. The index is calculated and rebalanced on a monthly basis and reflects performance net of all hedge fund component performance fees and expenses.
Credit Suisse Managed Futures—Measures the aggregate performance of managed futures funds (often referred to as CTAs or Commodity Trading Advisors) that typically focus on investing in listed bond, equity, commodity futures and currency markets, globally. Managers tend to employ systematic trading programs that rely largely upon historical price data and market trends.
Dow Jones Industrial Average—Represents large and well-known U.S. companies, covering all industries with the exception of Transportation and Utilities.
Dow Jones Moderate—Total-portfolio index that allows investors to evaluate the returns on their portfolios considering the amount of risk they have taken. The profiles are defined based on incremental levels of potential risk relative to the risk of an all-stock index. This index measures the performance of a portfolio with approximately 60% of the potential risk of an all-stock portfolio.
Dow Jones Moderately Aggressive—Total-portfolio index that allows investors to evaluate the returns on their portfolios considering the amount of risk they have taken. The profiles are defined based on incremental levels of potential risk relative to the risk of an all-stock index. This index measures the performance of a portfolio with approximately 80% of the potential risk of an all-stock portfolio.
Dow Jones Moderately Conservative—Total-portfolio index that allows investors to evaluate the returns on their portfolios considering the amount of risk they have taken. The profiles are defined based on incremental levels of potential risk relative to the risk of an all-stock index. This index measures the performance of a portfolio with approximately 40% of the potential risk of an all-stock portfolio.
Dow Jones UBS Commodity—Provides a broadly diversified representation of commodity markets as an asset class. The index is made up of exchange-traded futures on 19 physical commodities which are weighted to account for economic significance and market liquidity. Weighting restrictions on individual commodities and commodity groups promote diversification.
Dow Jones US Consumer Service—Measures the performance of U.S. stocks in the Consumer Services sector of the Dow Jones U.S. index as defined by the proprietary classification system used by Dow Jones indices.
Dow Jones US Contrarian Opportunities—Transparent, rules-based tool for benchmarking contrarian investment strategies designed to systematically measure the performance of stocks that lag behind the broader market in terms of recent performance but outrank their peers based on fundamentals-based and other qualitative criteria.
Dow Jones US Financial—Measures the performance of U.S. stocks in the Financials sector of the Dow Jones U.S. index as defined by the proprietary classification system used by Dow Jones indices.
Dow Jones US Health Care—Measures the performance of U.S. stocks in the Health Care sector of the Dow Jones U.S. index as defined by the proprietary classification system used by Dow Jones indices.
Dow Jones US Oil & Gas—Measures the performance of U.S. stocks in the Oil & Gas sector of the Dow Jones U.S. index as defined by the proprietary classification system used by Dow Jones indices.
Dow Jones US Select Dividend—Measures the performance of the country’s leading stocks by dividend. One hundred stocks are selected to the index by dividend yield, subject to screens for dividend-per-share growth rate, dividend payout, ratio, and average daily dollar trading volume. Components are weighted by indicated annual dividend.
Dow Jones US Technology—Measures the performance of U.S. stocks in the Technology sector of the Dow Jones U.S. Index as defined by the proprietary classification system used by Dow Jones indices.
Dow Jones US Telecom—Measures the performance of U.S. stocks in the Telecommunications sector of the Dow Jones U.S. index as defined by the proprietary classification system used by Dow Jones indices.
FTSE EPRA/NAREIT Developed Ex US—Measures the performance of REITs listed in developed markets outside the U.S.
FTSE EPRA/NAREIT Developed—Tracks the performance of listed real estate companies and REITS worldwide. By making the index constituents free-float adjusted, liquidity-, size- and revenue-screened, the series is suitable for use as the basis for investment products such as derivatives and Exchange-Traded Funds (ETFs).
FTSE Gold Mines—Reflects the performance of the worldwide market in the shares of companies whose principal activity is the mining of gold. It is intended to supply gold investors and analysts with an accurate reflection and comprehensive coverage of the global gold markets. The index series encompasses all gold mining companies that have a sustainable and attributable gold production of at least 300,000 ounces a year, and that derive 51% or more of their revenue from mined gold.
FTSE World—Free-float market capitalization-weighted index. FTSE World Indices include components of the Large- and Mid-capitalization universe for Developed and Emerging Market segments.
HFRX Absolute Return—Representative of the overall composition of the hedge fund universe, it comprises all eligible hedge fund strategies including convertible arbitrage, distressed securities, equity hedge, equity market neutral, event-driven, macro, merger arbitrage, and relative value arbitrage. As a component of the optimization process, the index selects constituents that characteristically exhibit lower volatilities and lower correlations to standard directional benchmarks of equity market and hedge fund industry performance.
HFRX Aggregate—Equally weighted index across all substrategy and regional indices.
HFRX Equity Market Neutral—Represents the universe of Equity Market Neutral hedge funds. Equity Market Neutral strategies employ sophisticated quantitative techniques of analyzing price data to ascertain information about future price movement and relationships between securities and select securities for purchase and sale. These strategies typically maintain characteristic net equity market exposure no greater than 10%, long or short.
JPM CEMBI Broad Diversified—Tracks U.S. dollar-denominated debt issued by emerging market corporations. It includes fixed, floating, amortizing, and capitalizing instruments.
JPM CEMBI Diversified IG—Tracks U.S. dollar-denominated debt issued by emerging market corporations.
JPM EMBI Global—Tracks total returns for traded external debt instruments in the emerging markets, including U.S. dollar-denominated Brady bonds, loans, and Eurobonds with an outstanding fact value of at least $500 million.
JPM GBI EM Global Diversified—Tracks returns for actively traded local currency debt instruments issued by a selection of emerging market countries.
Morningstar Long-Only Commodity—Fully collateralized commodity futures index that is long all eligible commodities.
Morningstar Moderate Target Risk—Represents a portfolio of global equities, bonds, and traditional inflation hedges such as commodities and TIPS. This portfolio is held in a static allocation appropriate for U.S. investors who seek average exposure to equity market risk and returns.
MSCI AC Asia Ex Japan—Free-float adjusted market capitalization-weighted index that is designed to measure the equity market performance of Asia, excluding Japan, consisting of the following 10 developed and emerging market country indices: China, Hong Kong, India, Indonesia, Korea, Malaysia, Philippines, Singapore, Taiwan, and Thailand.
MSCI ACWI Ex USA—Free-float adjusted market capitalization-weighted index designed to measure the equity market performance of developed and emerging markets other than the U.S.
MSCI ACWI—Capturing large- and mid-cap representation across 24 developed and 21 emerging markets countries with over 2,500 constituents, the index covers approximately 84% of the global investable equity opportunity set.
MSCI ACWI Small Cap—Includes over 6,400 securities across 24 developed and 21 emerging markets.
MSCI China—Provides coverage of the large- and mid-cap segments constructed according to the MSCI Global Investable Market Indices methodology, and part of the MSCI Emerging Markets index.
MSCI EAFE Growth—Measures the performance of stocks in European, Australasian, and Far Eastern markets that represent growth characteristics.
MSCI EAFE—Free-float adjusted market capitalization index that is designed to measure the equity market performance of developed markets, excluding the U.S. and Canada.