1.6 Index Analytics

All of the indices' analytics are constructed using total returns methodology, taking into account price changes and income generated by the asset, giving a more accurate representation of an investor’s actual gains or losses.

1.6.1 Historical volatility

1.6.2 Cross-sectional (model) volatility

1.6.3 Excess returns

1.6.4 Sharpe ratio

1.6.5 Index Value at Risk (VaR)

1.6.6 Index duration

1.6.7 Index yield to maturity

1.6.8 Price return

1.6.9 Cash return

1.6.10 Free cash flow yield

1.6.11 Maximum drawdown

1.6.12 Risk premium contribution

1.6.13 Weighted-average yield curve

1.6.14 Price-to-sales

1.6.15 Effective number of TICCS®

1.6.16 TICCS® contributions

1.6.17 Price and cash returns contribution

1.6.18 Factor returns

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