1.4.4 Benchmarks infra metrics
A full overview of the metrics is available for download
benchmarks_infra_metrics.csv
_{Ticker} | _{Description} |
---|---|
_{T01414} | _{Index level reflecting the total returns compounded since inception} |
_{T02826} | _{Time series of quarterly total returns combining capital growth and cash yield.} |
_{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.} |
_{T02827} | _{Annualised total return over a specified period, current quarter, 1Y, 3Y, 5Y, 10Y, or since inception} |
_{T02828} | _{It is calculated as a weighted average of the excess return of the underlying constituents of the index after substracting the risk-free rate of their jurisdiction from their total returns.} |
_{T02829} | _{Volatility as measured by standard deviation over a specified period, current quarter, 1Y, 3Y, 5Y, 10Y, or since inception} |
_{T02830} | _{Sharpe Ratio reflects the risk-adjusted return of the index over a specified period (current quarter, 1Y, 3Y, 5Y, 10Y, Inception)} |
_{T02831} | _{Value at risk of the index at 99.5% confidence interval calculated using the monthly returns for the period of 3Y, 5Y, 10Y or Inception} |
_{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.} |
_{T02809} | _{Capital return over the last 12 months} |
_{T02810} | _{Cash yield (income return) over the last 12 months} |
_{T02832} | _{Moving average of the cash yield (income return) over a 5-year window} |
_{T02833} | _{Moving average of the cash yield (income return) over a 10-year window} |
_{T02834} | _{Time series of quarterly excess returns after subtracting company-specific risk free rates from the total returns} |
_{T02835} | _{Time series of quantiles of the expected returns (IRR) of the underlying constituents} |
_{T02853} | _{Percentiles and average Leverage factor exposure of the underlying companies} |
_{T02854} | _{Percentiles and average Size factor exposure of the underlying companies} |
_{T02855} | _{Percentiles and average Term Spread factor exposure of the underlying companies} |
_{T02856} | _{Percentiles and average Profitability factor exposure of the underlying companies} |
_{T02857} | _{Percentiles and average Investment factor exposure of the underlying companies} |
_{T02836} | _{Time series of average expected returns (IRR) of the underlying constituents} |
_{T02837} | _{Average yield-to-maturity of the index constituents.} |
_{T02838} | _{Duration-weighted IRR} |
_{T02839} | _{Duration-weighted yield-to-maturity} |
_{T02840} | _{Time series of average risk premium of the underlying companies} |
_{T02841} | _{Time series of average credit spread of the underlying debt instruments} |
_{T02842} | _{Time series of Sharpe Ratio of the index calculated over a moving 5-year and 10-year window} |
_{T02843} | _{Time series of Sharpe Ratio of the index calculated over a moving 5-year and 10-year window and adjusted for the skewness and kurtosis in the distribution of the return} |
_{T02844} | _{Average price-to-sales ratio of the underlying companies} |
_{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} |
_{T02845} | _{Time series of value at risk assuming a Gaussian distribution with a 99.5% confidence interval calculated using a moving window of 5Y, 10Y} |
_{T02846} | _{Time series of value at risk assuming a Gaussian distribution with a 95% confidence interval calculated using a moving window of 5Y, 10Y} |
_{T02847} | _{Time series of value at risk assuming a Gaussian distribution adjusted for Skewness and Kurtosis (Cornish-Fisher approximation) with a 99.5% confidence interval calculated using a moving window of 5Y, 10Y} |
_{T02848} | _{Time series of value at risk assuming a Gaussian distribution adjusted for Skewness and Kurtosis (Cornish-Fisher approximation) with a 95% confidence interval calculated using a moving window of 5Y, 10Y} |
_{T02849} | _{Time series of the average duration (sensitivity to discount rates) of the index constituents} |
_{T02850} | _{Average maturity of the index constituents} |
_{T02851} | _{Breakdown of the maturity of index constituents by pre-defined buckets} |
_{T02852} | _{It is the maximum drawdown in the value of the index calculated as the difference between a peak to a trough if the index before a new peak is achieved} |