1. File Descriptions (v1)
Data Item | File Name | File Header | Unit |
Index Value | <INDEX_ID>_index_value_ts_<YYYY-MM-DD>.csv | Date,IndexValue |
|
Total Return | <INDEX_ID>_total_return_ts_<YYYY-MM-DD>.csv | Date,TotalReturn | % |
Index Constituents and Weights | <INDEX_ID>_index_constituents_<YYYY-MM-DD>.csv | NumberOfInstruments,CompanyCode,CompanyName,CountryName,CreditRating,LatestWeight,IndustrialSubclass,IndustrialClass,IndustrialSuperclass (Debt index) CompanyCode,CompanyName,CountryName,LatestWeight,IndustrialSubclass,IndustrialClass,IndustrialSuperclass (Equity index) |
|
Constituent breakdown by TICCS and geography classification segments | <INDEX_ID>_business_model_breakdown_ts_<YYYY-MM-DD>.csv | Date,Contracted,Merchant,Regulated | % |
Constituent breakdown by TICCS and geography classification segments | <INDEX_ID>_corporate_breakdown_ts_<YYYY-MM-DD>.csv | Date,Corporate,Project Company | % |
Constituent breakdown by TICCS and geography classification segments | <INDEX_ID>_country_breakdown_ts_<YYYY-MM-DD>.csv | Date,Australia,Austria,Brazil,Chile,Germany,Spain,Finland,France,United Kingdom,Ireland,Italy,Malaysia,Netherlands,Norway,New Zealand,Philippines,Poland,Portugal,Singapore,Slovakia,Sweden,United States | % |
Constituent breakdown by TICCS and geography classification segments | <INDEX_ID>_region_breakdown_ts_<YYYY-MM-DD>.csv | Date,Americas,Asia,Europe,Oceania | % |
Constituent breakdown by TICCS and geography classification segments | <INDEX_ID>_sector_breakdown_ts_<YYYY-MM-DD>.csv | Date,Airport Companies,Car Park Companies,Convention, Entertainment, and Recreational Facilities,Data Transmission,Defence Services,District Cooling/Heating Companies,Education Services,Electricity Distribution Companies,Electricity Transmission Companies,Energy Resource Processing Companies,Energy Resource Storage Companies,Gas Distribution Companies,Government Services,Health and Social Care Services,Hydroelectric Power Generation,Independent Power Producers,Independent Water and Power Producers,Other Renewable Power Generation,Pipeline Companies,Port Companies,Rail Companies,Road Companies,Solar Power Generation,Solid Waste Treatment,Urban Commuter Companies,Wastewater Treatment,Water and Sewerage Companies,Water Supply and Treatment,Wind Power Generation | % |
Constituent breakdown by TICCS and geography classification segments | <INDEX_ID>_sector_group_breakdown_ts_<YYYY-MM-DD>.csv | Date,Data Infrastructure,Energy and Water Resources,Environmental Services,Network Utilities,Power Generation x-Renewables,Renewable Power,Social Infrastructure,Transport | % |
Summary Annualised Risk-Adjusted Performance Metrics | <INDEX_ID>_performance_metrics_<YYYY-MM-DD>.csv | Metric,current quarter, current annualised, 1-year, 3-year, 5-year, 10-year, Inception |
|
Currency breakdown | <INDEX_ID>_ccy_pie_<YYYY-MM-DD>.csv | CurrencyName,Share | % |
| |||
Index year-on-year weighted-average total return | <INDEX_ID>_yoy_total_return_ts_<YYYY-MM-DD>.csv | Date,YoYWeightedAverageTotalReturn | % |
Index year-on-year weighted-average price return | <INDEX_ID>_yoy_price_return_ts_<YYYY-MM-DD>.csv | Date,YoYWeightedAveragePriceReturn | % |
Contributions price and cash returns | <INDEX_ID>_yoy_cash_price_return_contribution_ts_<YYYY-MM-DD>.csv | Date,PriceReturnContribution,CashReturnContribution | % |
Effective number of TICCS | <INDEX_ID>_effective_number_of_ticcs_<YYYY-MM-DD>.csv | IndexID,EffectiveNumberBusinessModel,EffectiveNumberIndustrialclass,EffectiveNumberIndustrialSuperclass,EffectiveNumberCountry,EffectiveNumberRegion,EffectiveNumberCorp |
|
Index year-on-year weighted-average cash yield moving averages with 5 year and 10 year windows | <INDEX_ID>_yoy_cash_yield_horizons_ts_<YYYY-MM-DD>.csv | Date,YoYWeightedAverageCashYield5,YoYWeightedAverageCashYield10 | % |
Index internal rate of return | <INDEX_ID>_irr_ts_<YYYY-MM-DD>.csv | Date,IRR | % |
Index duration-weighted internal rate of return | <INDEX_ID>_duration_weighted_irr_ts_<YYYY-MM-DD>.csv | Date,DurationWeightedIRR | % |
Index year-on-year weighted-average excess return | <INDEX_ID>_yoy_excess_return_ts_<YYYY-MM-DD>.csv | Date,YoYWeightedAverageExcessReturn | % |
Index sharpe ratio | <INDEX_ID>_sharpe_ratio_ts_<YYYY-MM-DD>.csv | Date,SharpeRatio10YearWindow,SharpeRatio5YearWindow |
|
Index price-to-sales ratio | <INDEX_ID>_price_to_sales_ts_<YYYY-MM-DD>.csv | Date,Price-to-sales Ratio |
|
Index Value-at-Risk | <INDEX_ID>_var_ts_<YYYY-MM-DD>.csv | Date,VaR95CornishFisher10yearWindow,VaR95CornishFisher5yearWindow,VaR95Gaussian10yearWindow,VaR95Gaussian5yearWindow,VaR99.5CornishFisher10yearWindow,VaR99.5CornishFisher5yearWindow,VaR99.5Gaussian10yearWindow,VaR99.5Gaussian5yearWindow | % |
Index duration | <INDEX_ID>_duration_ts_<YYYY-MM-DD>.csv | Date,Duration | years |
Index expected loss | <INDEX_ID>_expected_loss_ts_<YYYY-MM-DD>.csv | Date,ExpectedLoss (Debt index only) |
|
Index weighted-average credit spread | <INDEX_ID>_credit_spread_ts_<YYYY-MM-DD>.csv | Date,CreditSpread (Debt index only) | basis points |
Index weighted-average risk premium | <INDEX_ID>_equity_premium_ts_<YYYY-MM-DD>.csv | Date,RiskPremium (Equity index only) | % |
Internal rate of return/ Yield to maturity quantiles | <INDEX_ID>_irr_quantiles_ts_<YYYY-MM-DD>.csv | Date,2.5%,25%,50%,75%,97.5% | % |
Breakdown of loss given default | <INDEX_ID>_loss_given_default_breakdown_ts_<YYYY-MM-DD>.csv | Date,0-25 %,25-50 %,50-75 %,>75 % (Debt index only) | % |
Max drawdown cumulative since inception | <INDEX_ID>_max_drawdown_since_inception_<YYYY-MM-DD>.csv | Date,MaxDrawdownSinceInception | % |
Probability of default within next one year breakdown | <INDEX_ID>_probability_default_next_one_year_breakdown_ts_<YYYY-MM-DD>.csv | Date,0-0.5 %,0.5-1.8 %,>1.8 % (Debt index only) | % |
Quartiles of investment factor | <INDEX_ID>_investment_quantiles_ts_<YYYY-MM-DD>.csv | Date,2.5%,25%,50%,75%,97.5% (Equity index only) | % |
Quartiles of profitability factor | <INDEX_ID>_profitability_quantiles_ts_<YYYY-MM-DD>.csv | Date,2.5%,25%,50%,75%,97.5% (Equity index only) | % |
Quartiles of size factor | <INDEX_ID>_size_quantiles_ts_<YYYY-MM-DD>.csv | Date,2.5%,25%,50%,75%,97.5% (Equity index only) | USD |
Quartiles of leverage factor | <INDEX_ID>_leverage_quantiles_ts_<YYYY-MM-DD>.csv | Date,2.5%,25%,50%,75%,97.5% (Equity index only) | % |
Performance contribution of business models | <INDEX_ID>_yoy_performance_contribution_business_model_ts_<YYYY-MM-DD>.csv | Date,Contracted,Merchant,Regulated | % |
Performance contribution of corporate structures | <INDEX_ID>_yoy_performance_contribution_corporate_governance_ts_<YYYY-MM-DD>.csv | Date,Corporates,Projects | % |
Performance contribution of sector groups | <INDEX_ID>_yoy_performance_contribution_sector_group_ts_<YYYY-MM-DD>.csv | Date,Data Infrastructure,Energy and Water Resources,Environmental Services,Network Utilities,Power Generation x-Renewables,Renewable Power,Social Infrastructure,Transport | % |
Expected loss percentiles and mean | <INDEX_ID>_expected_loss_percentiles_and_mean_<YYYY-MM-DD>.csv | ,This quarter,1 year ago,5 year ago,10 year ago (Debt index only) | % |
Loss given default percentiles and mean | <INDEX_ID>_loss_given_default_percentiles_and_mean_<YYYY-MM-DD>.csv | ,This quarter,1 year ago,5 year ago,10 year ago (Debt index only) | % |
Max drawdown computed over 5 year rolling window | <INDEX_ID>_max_drawdown_rolling_window_<YYYY-MM-DD>.csv | Date,MaxDrawdown5 | % |
Probability of default percentiles percentiles and mean | <INDEX_ID>_pd1_percentiles_and_mean_<YYYY-MM-DD>.csv | Date,Mean probability of default,Probability of default 85th percentile,Probability of default 90th percentile,Probability of default 95th percentile (Debt index only) | % |
Probability of default percentiles percentiles and mean by age | <INDEX_ID>_pd1_percentiles_and_mean_by_age_<YYYY-MM-DD>.csv | Age,Mean probability of default,Probability of default 85th percentile,Probability of default 90th percentile,Probability of default 95th percentile (Debt index only) | % |
Factor marginal contribution to risk premia | <INDEX_ID>_percentage_factor_marginal_contribution_ts_<YYYY-MM-DD>.csv | Date,Investment,Leverage,Profits,Size,Term Spread (Equity index only) | % |