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1.3.4 Market indices infra metrics

A full overview of the metrics is available for download

market_indices_infra_metrics.csv

Ticker

Description

T01414

Index level reflecting the total returns compounded since inception

T02798

Time series of monthly total returns combining capital growth and cash yield.

T02799

Cumulative total returns over a specified period (1M, 3M, 6M, YTD, 12M, 24M)

T02800

Annualised total returns over a specified period (3Y, 5Y, 10Y)

T02801

Historical volatility as measured by standard deviation of the total returns for a give period (3Y, 5Y, 10Y)

T02802

Sharpe Ratio reflects the risk-adjusted return of the index over a specified period (3Y, 5Y, 10Y)

T02803

Value at risk of the index at 97.5% confidence interval calculated using the monthly returns for the period of 3Y, 5Y, or 10Y

T02804

Value at risk of the index at 99.5% confidence interval calculated using the monthly returns for the period of 3Y, 5Y, or 10Y

T02805

Max Drawdown is defined as the maximum decline in the value of the index over a period pf 3Y, 5Y, or 10Y

T02806

It provides the concentration of the index in any of the specified categories (business models, industrial superclasses, industrial classes, corporate structures, regions, countries). An equally weighted index would be least concentrated and should have the concentration equal to the number of possible values in each category.

T02898

It provides the concentration of the index in any of the specified categories (business models, industrial superclasses, industrial classes, corporate structures, regions, countries). An equally weighted index would be least concentrated and should have the concentration equal to the number of possible values in each category.

T02807

The ratio gives an indication of how many constituents are replaced and added over a year

T02808

It is defined as the sum of the market cap (NAV) of the underlying companies of an index updated at the end of each month.

T02809

Capital return over the last 12 months

T02810

Cash yield (income return) over the last 12 months

T02811

Allocation of the index by TICCS industrial superclass

T02812

Allocation of the index by TICCS industrial class

T02813

Allocation of the index by region

T02814

Allocation of the index by country

T02815

Allocation of the index by TICCS Business model

T02816

Allocation of the index by TICCS Corporate Structure

T02817

Performance contribution of the index by TICCS industrial superclass

T02818

Performance contribution of the index by TICCS industrial class

T02819

Performance contribution of the index by TICCS Business Model

T02820

Performance contribution of the index by TICCS Corporate Structure

T02821

Percentiles and average risk premia of the underlying constituents of the index

T02822

Expected return or the IRR of the index summarised for the underlying constituents.

T02823

Percentiles and average credit spread of the underlying constituents of the index

T02824

Percentiles and average yield-to-maturity of the underlying constituents of the index

T02825

Percentiles and average duration of the underlying constituents of the index

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