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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

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