Amsterdam Exchange Index (AEX) – This index comprises a maximum of 25 of the most liquid Dutch stocks on Euronext Amsterdam (formerly known as the Amsterdam Stock Exchange).
Baltic Dry Index (BDI) – This index, reported daily by the London-based Baltic Exchange, provides a benchmark for the price of moving major raw materials by sea. The BDI takes into account 23 different shipping routes carrying coal, iron ore, grains and many other commodities.
Barclays Backwardation Tilt Multi-Strategy Index – This index seeks to capture two potential sources of outperformance in commodity markets: curve carry returns from opportunistically taking positions in longer-tenor futures and carry returns from overweighting commodities expected to have a lower cost of carry over commodities expected to have a higher cost of carry.
Barclays Capital U.S. CMBS (ERISA Only) Total Return Index – This index measures on a total return basis the performance of investment grade commercial mortgage-backed securities (CMBS). The index includes only CMBS that are compliant with the Employee Retirement Income Security Act of 1974, which will deem ERISA eligible the certificates with the first priority of principal repayment as long as certain conditions are met, including that the certificates be rated in one of the three highest categories by Fitch, Moody’s or Standard & Poor’s.
BarclayHedge CTA Index – This index, which is equal weighted and rebalanced at the beginning of each year, is an industry benchmark of representative performance of commodity trading advisors. There were 416 programs included in the calculation of the Barclay CTA Index for 2021.
Barclays Cross Asset Trend Index – This index reflects the returns of a systematic trend-following strategy applied to a wide range of underlying instruments across multiple asset classes. The strategy uses the same signal mechanism for all instruments and is designed to generate return profiles similar to commodity trading advisor (CTA) funds.
Bloomberg Agriculture Spot Index – This index measures the price movements of agricultural commodities included in the Bloomberg Commodity Index and select subindexes.
Bloomberg Agriculture Subindex – This index, formerly known as the Dow Jones-UBS Agriculture Subindex, is a commodity group subindex of the Bloomberg Commodity Index. It comprises futures contracts on coffee, corn, cotton, soybeans, soybean oil, soybean meal, sugar and wheat. It reflects the return of underlying commodity futures price movements only and is quoted in U.S. dollars.
Bloomberg Commodity ex Agriculture and Livestock Capped Index – Derived from the Bloomberg Commodity Index (BCOM), excluding the commodities that make up the Bloomberg Agriculture and Bloomberg Livestock indexes. This index is calculated on an excess return basis and reflects the price movements of commodity futures. The roll period typically occurs from the sixth to 10th business day based on the roll schedule.
Bloomberg Commodity TR Index (BCOM) – This index is calculated on an excess return basis and reflects the price movements of commodity futures. It rebalances annually, weighted two-thirds by trading volume and one-third by world production, and weight caps are applied at the commodity, sector and group levels for diversification. The roll period typically occurs from the sixth to 10th business day based on the roll schedule.
Bloomberg Container Ship Index – This index tracks shipping activity through the number of overall vessels in a port’s anchorage area, the number of anchored or waiting ships, and the congestion rate of anchored ships waiting as a share of those in port.
Bloomberg Emerging Markets (EM) Local Currency Government TR Index – This index measures the performance of local currency emerging markets (EM) debt on a total return basis.
Bloomberg Emerging Markets (EM) USD Aggregate Sovereign Index – This index tracks fixed- and floating-rate, U.S. dollar-denominated debt issued by EM governments. Country eligibility and classification as an emerging market is rules-based and reviewed annually using World Bank income group and International Monetary Fund country classifications.
Bloomberg Euro Corporate Index – This index tracks fixed-rate, investment grade, euro-denominated bonds from industrial, utility and financial issuers only.
Bloomberg Euro High Yield Index – This index tracks fixed-rate, non-investment-grade, euro-denominated bonds.
Bloomberg European Aggregate Total Return Index – This fixed-rate, rules-based index includes all dated investment grade securities (treasuries, agencies, securitized, corporates, sovereigns and supranationals) denominated in euros and with a final maturity of one year or greater.
Barclays Fortune 500 Equal Weight Total Return Index – Takes the Fortune 500 list, which consists of the 500 largest companies in the United States based on revenue, and excludes: private companies (i.e., those without publicly listed equity securities) and those with equity securities not listed on the New York Stock Exchange or Nasdaq Composite Index; companies with listed equity securities that do not meet a minimum liquidity threshold or minimum listing period requirements; companies incorporated outside the U.S.; U.S. companies owned or controlled by other companies, domestic or foreign, that file with a government agency; and companies that failed to report full financial statements for at least three quarters of the current fiscal year. The index is reconstituted on an annual basis and rebalanced otherwise quarterly. Unlike most equity indices that are weighted by the market capitalizations of their component companies, the constituents of the index are equally weighted, meaning the index assigns each constituent the same weight at each reconstitution and quarterly rebalance, regardless of such constituent’s market cap.
Bloomberg Global Aggregate Index – This index is a flagship measure of global investment grade debt from 24 local currency markets. This multicurrency benchmark includes treasury, government-related, corporate and securitized fixed-rate bonds from both developed and emerging market issuers.
Bloomberg Global Aggregate Treasuries Index – This index tracks fixed-rate, local currency government debt of investment grade countries, including developed and emerging markets.
Bloomberg US Aggregate Bond Index – This index (the “Agg”) represents securities that are SEC registered, taxable and dollar denominated. It covers the U.S. investment grade, fixed-rate bond market, with components for government and corporate securities, mortgage pass-through securities and asset-backed securities. These major sectors are subdivided into more specific indexes that are calculated and reported on a regular basis.
Bloomberg US Aggregate Corporate Bond Index – This index tracks the corporate securities component of the Bloomberg US Aggregate Bond Index, a flagship measure of the U.S. investment grade, fixed-rate bond market.
Bloomberg US Aggregate Credit Average OAS Index – This index gauges the option-adjusted spread on the Bloomberg US Aggregate Bond Index.
Bloomberg US Aggregate 1-3 Year Index – This index is the one- to three-year component of the Bloomberg US Aggregate Bond Index.
Bloomberg US Asset-Backed Securities (ABS) Index – This index is the ABS component of the Bloomberg US Aggregate Bond Index, a flagship measure of the U.S. investment grade, fixed-rate bond market. The ABS index has three subsectors: credit and credit cards, autos and utility.
Bloomberg US CMBS (ERISA Only) Total Return Index – This index measures on a total return basis the performance of investment grade commercial mortgage-backed securities (CMBS). The index includes only CMBS that are compliant with the Employee Retirement Income Security Act of 1974, which will deem ERISA eligible the certificates with the first priority of principal repayment as long as certain conditions are met, including that the certificates be rated in one of the three highest categories by Fitch, Moody’s or Standard & Poor’s.
Bloomberg US CMBS Investment Grade Aaa: 1-3.5 Year Index – This index measures the AAA-rated market of the US Agency and US Non-Agency conduit and fusion CMBS deals with a minimum current deal size of $300, and securities with an average life of 1 to 3.4999 years. The index includes both US Aggregate eligible and non-US Aggregate eligible securities.
Bloomberg US Commercial Mortgage-Backed Securities (CMBS) ERISA Eligible Index – This index is a subindex of the Bloomberg US CMBS Index that tracks CMBS that are compliant with the Employee Retirement Income Security Act of 1974, which will deem ERISA eligible the certificates with the first priority of principal repayment as long as certain conditions are met, including that the certificates be rated in one of the three highest categories by Fitch, Moody’s or Standard & Poor’s.
Bloomberg US Commercial Mortgage-Backed Securities (CMBS) Index – This index measures the market of conduit and fusion CMBS deals with a minimum current deal size of $300 million.
Bloomberg US Commercial Mortgage-Backed Securities (CMBS) Investment Grade (IG) Index – This index measures the market of Agency and non-Agency conduit and fusion CMBS deals with a minimum current deal size of $300 million. The index has two components: the Bloomberg US Aggregate Bond Index-eligible component, which contains bonds that are ERISA eligible under the underwriter’s exemption, and the noneligible component, which contains bonds that are not ERISA eligible.
Bloomberg US Corporate Bond Index – This index measures the investment grade, fixed-rate taxable corporate bond market. It includes U.S. dollar-denominated securities publicly issued by U.S. and non-U.S. industrial, utility and financial issuers.
Bloomberg US Corporate High Yield (HY) Bond Index – This index measures the U.S. dollar-denominated, HY, fixed-rate corporate bond market. Securities are classified as HY if the respective middle ratings of Moody’s, Fitch and S&P are Ba1, BB+ or BB+ or below. The Bloomberg US HY Long Bond Index, including bonds with maturities of 10 years or greater, and the Bloomberg US HY Intermediate Bond Index, including bonds with maturities of 1 to 9.999 years, are subindexes of the Bloomberg US Corporate HY Bond Index.
Bloomberg US Credit Index – This index is the U.S. credit component of the Bloomberg US Government/Credit Index. It consists of publicly issued U.S. corporate and specified foreign debentures and secured notes that meet the specified maturity, liquidity and quality requirements. To qualify, bonds must be SEC registered. The US Credit Index is the same as the former US Corporate Index.
Bloomberg US Generic Government 10-Year Index – The 10-year U.S. Treasury rate is the yield received for investing in a U.S. government-issued Treasury security that has a maturity of 10 years. This index is measured by over-the-counter interbank yield quotes for this government bond maturity.
Bloomberg US Generic Government 2-Year Index – The two-year U.S. Treasury rate is the yield received for investing in a U.S. government-issued Treasury security that has a maturity of two years. This index is measured by over-the-counter interbank yield quotes for this government bond maturity.
Bloomberg US Government Bond Index – This index is the U.S. government securities component of the Bloomberg US Government/Credit Index. It includes investment grade, U.S. dollar-denominated, fixed-rate U.S. Treasuries and government-related securities.
Bloomberg US Government/Credit Index – This index is a broad-based flagship benchmark that measures the nonsecuritized component of the Bloomberg US Aggregate Bond Index. It includes investment grade, U.S. dollar-denominated, fixed-rate U.S. Treasuries, and government-related and corporate securities.
Bloomberg US High Yield (HY) Very Liquid Index – This index is a component of the Bloomberg US Corporate High Yield Index and is designed to track a more-liquid component of the U.S. dollar-denominated, high yield, fixed-rate corporate bond market.
Bloomberg US Long Credit Index – This index is a specially weighted version of the Bloomberg US Credit Index, tracking the component of bonds with a maturity of 10 years or longer.
Bloomberg US Long Government Bond Index – This index is a specially weighted version that tracks bonds with a maturity of 10 years or longer within the Bloomberg US Government Bond Index. It includes investment grade, U.S. dollar-denominated, fixed-rate U.S. Treasuries and government-related securities.
Bloomberg US Long Government/Credit Index – This index tracks the market for investment grade, U.S. dollar-denominated, fixed-rate U.S. Treasuries, and government-related and corporate securities.
Bloomberg US Long Treasury Index – This index includes all publicly issued U.S. Treasury securities that have a remaining maturity of 10 or more years, are rated investment grade, and have $250 million or more of outstanding face value.
Bloomberg US Mortgage-Backed Securities (MBS) Index – This index measures the performance of investment grade, fixed-rate, mortgage-backed, pass-through securities of the government-sponsored enterprises (GSEs): Federal Home Loan Mortgage Corp. (Freddie Mac), Federal National Mortgage Association (Fannie Mae) and Government National Mortgage Association (Ginnie Mae).
Bloomberg US Municipal Bond Index – This index covers the U.S. dollar-denominated, long-term tax-exempt bond market. The index has four main sectors: state and local general obligation bonds, revenue bonds, insured bonds and pre-refunded bonds.
Bloomberg US 1-3 Year Credit Index – This index represents the one- to three-year component of the Bloomberg US Credit Index.
Bloomberg US Treasury Index – This index measures U.S. dollar-denominated, fixed-rate nominal debt issued by the U.S. Treasury with a remaining maturity of one year or more. Treasury bills are excluded by the maturity constraint but are part of a separate Short Treasury Index.
Bloomberg US Treasury Inflation-Protected Securities (TIPS) Index – This index comprises all publicly issued U.S. Treasury inflation-protected securities (TIPS) denominated in U.S. dollars and traded intraday.
Bloomberg US Treasury 10-Year Index – This index is the 10-year component of the Bloomberg US Treasury Index.
Bloomberg US Treasury 30-Year Index – This index is the 30-year component of the Bloomberg US Treasury Index.
Bloomberg US Treasury Total Return Unhedged Index – This index measures the performance of the Bloomberg US Treasury Index on a total return unhedged basis.
Bloomberg Commodity (BCOM) Index – This index (formerly the Dow Jones-UBS Commodity Index) is calculated on an excess return basis and reflects the price movements of commodity futures. It rebalances annually, weighted two-thirds by trading volume and one-third by world production, and weight caps are applied at the commodity, sector and group levels for diversification. The roll period typically occurs from the sixth to 10th business day based on the roll schedule.
Bloomberg Commodity Total Return Index – This index tracks the Bloomberg Commodity (BCOM) Index on a total return basis.
Bloomberg Dollar Spot Index (BBDXY) – This index tracks the performance of a basket of 10 leading global currencies versus the U.S. dollar: the euro, Japanese yen, British pound, Canadian dollar, Mexican peso, Australian dollar, Chinese yuan, Swiss franc, South Korean won and Indian rupee.
Bloomberg Economic China Credit Impulse 12-Month Change Index – This index measures the 12-month change in the China credit impulse, which tracks the fluctuation in the growth rate of aggregate credit as a percentage of China’s gross domestic product.
Bloomberg U.S. Financial Conditions Index (FCI) – This index tracks the overall level of financial stress in the U.S. money, bond and equity markets to help assess the availability and cost of credit. A positive value indicates accommodative financial conditions; a negative value indicates tighter financial conditions relative to pre-crisis norms.
Bloomberg World Interest Rate Probability (WIRP) Function – Statistical function developed by Bloomberg that uses fed funds futures and options to assess the probability of future Federal Open Market Committee (FOMC) decisions. It seeks to calculate the chances of a rate hike at each of the FOMC meetings using futures trading data.
BNP Paribas Multi-Asset Trend Index – This index has been designed to seek investment exposure to trends in price movements of a broad universe of assets across different markets, including domestic, foreign and emerging markets equities; sovereign bonds and other debt securities; interest rates; currencies; and commodities (e.g., energy and metals). The index was selected, in significant part, because it reflects trend-following strategies using a broadly diversified set of investments.
BNP Paribas US Equity Futures Index – This index aims to provide continuous exposure to the E-mini S&P 500 Index Futures Contract, with the nearest expiration month for which the last trading day has not occurred. The BNP Paribas US Equity Futures Index level is intended to reflect the performance of the first near futures contract.
BNP Paribas USD 10Y Futures Index – This index aims to provide continuous exposure to the 10-Year T-Note Futures Contract. The BNP Paribas USD 10Y Futures Index level is intended to reflect the performance of the first near futures contract based on a daily volume-weighted average price, subject to certain trade filters.
Caixin China General Manufacturing Purchasing Managers’ Index – This index, published monthly by IHS Markit, is compiled from responses to questionnaires sent to purchasing managers on a panel of around 500 private and state-owned manufacturers. The panel is stratified by detailed sector and company workforce size as measured by contribution to GDP.
Caixin China General Services Purchasing Managers’ Index – This index, published monthly by IHS Markit, is compiled from responses to questionnaires sent to purchasing managers in a panel of around 400 private and state-owned services companies. The panel is stratified by detailed sector and company workforce size as measured by contribution to GDP.
CBOE Volatility Index (VIX) – This real-time market index represents the market’s expectation of 30-day forward-looking volatility and is derived from the price inputs of S&P 500 Index options. Calculated and published by the Chicago Board Options Exchange (CBOE), the index is also known by such names as the “Fear Gauge” or “Fear Index.”
China Manufacturing Purchasing Managers Index (PMI) – This index, compiled by the China Federation of Logistics & Purchasing (CFLP) and China Logistics Information Center (CLIC), provides an early indication each month of economic activities in the Chinese manufacturing sector. Every month, questionnaires are sent to over 700 manufacturing enterprises all over China. A reading above 50 indicates an expansion of the sector, a reading below 50 represents a contraction, and 50 indicates no change.
China Services Purchasing Managers Index (PMI) – This index, compiled by the China Federation of Logistics & Purchasing (CFLP) and China Logistics Information Center (CLIC), provides an early indication each month of economic activities in the Chinese services sector. Every month, questionnaires are sent to services enterprises all over China.
Citigroup Economic Surprise Index – This index tracks how economic data compared with expectations in selected countries or regions. The index rises when economic data exceeds economists’ consensus estimates, as tallied by the Bloomberg economist survey, and falls when data is below forecasts.
ClarkSea Index – This weighted-average index published by Clarksons tracks earnings for the main vessel types in which weighting is based on the number of vessels in each fleet sector.
CMBX Index – This index, or, more accurately, this series of indexes, is designed to reflect the creditworthiness of commercial mortgage-backed securities (CMBS). It is published by IHS Markit.
Colony Capital Fundamental U.S. Real Estate Index – This rules-based index incorporates fundamental criteria originally developed by Colony Capital Inc. It is rebalanced and reconstituted quarterly by applying a systematic methodology to the universe of real estate investment trusts (REITs).
Conference Board Consumer Confidence Index (CCI) – This index (published the last Tuesday of every month) measures U.S. consumers’ optimism in the economy based on their saving and spending activity.
Conference Board Global Consumer Confidence Index (CCI) – This index is based on data from the Conference Board Global Consumer Confidence Survey, an online survey of more than 30,000 respondents across countries in Africa, Asia-Pacific, Europe, Latin America, the Middle East and North America. A reading above 100 means that there are more optimistic consumers than pessimistic consumers in a survey region; a reading below 100 means the opposite.
Conference Board Leading Economic Index (LEI) – This index tracks a group of composite indexes (manufacturers’ orders, initial unemployment insurance claims, et al.) as a means of gauging the strength of a particular industry or the economy.
Conference Board Measure of CEO Confidence – This quarterly report, based on a survey of approximately 100 CEOs in a wide variety of industries, details chief executives’ attitudes and expectations regarding the overall state of the economy as well as their own industry.
Consumer Discretionary Select Sector Total Return Index – This cap-weighted index is designed to track the companies in the S&P 500 Index and are involved in consumer cyclical or transportation industries. All components of the S&P 500 are assigned to one of the 11 Select Sector indexes. Stock classifications are based on the Global Industry Classification Standard.
Consumer Price Index (CPI) – This index, compiled by the U.S. Bureau of Labor Statistics, examines the weighted average of the prices of a basket of consumer goods and services, such as transportation, food and medical care. It is calculated by averaging price changes for each item in the basket. Changes in the CPI are used to assess price changes associated with the cost of living. The CPI is one of the most frequently used statistics for identifying periods of inflation or deflation.
Core Personal Consumption Expenditures (PCE) Price Index – This index, published by the U.S. Bureau of Economic Analysis, measures prices paid by consumers for goods and services, excluding the volatility of food and energy prices, to gauge underlying inflation trends. It is the Federal Reserve’s preferred index for tracking inflation.
Cotation Assistee en Continu (CAC) 40 – This stock market index tracks the 40 largest French stocks based on Euronext Paris market capitalization.
CPI Shelter Index – This index tracks the shelter component of the Consumer Price Index, which measures the prices of a basket of consumer goods and services.
Credit Default Swap Index (CDX) – Formerly the Dow Jones CDX, this is a financial instrument made up of credit securities that have been issued by North American or emerging markets (EM) companies. The CDX is itself a tradable security – a credit market derivative.
Credit Suisse Emerging Market Corporate Index (EMCI) – This index provides a benchmark for corporate debt from emerging markets (EM) that represents the characteristics, pricing and total return performance of different asset classes within the EM corporate universe.
Credit Suisse Leveraged Loan Index – This index tracks the investable market of the U.S. dollar-denominated leveraged loan market. It consists of issues rated 5B or lower, meaning that the highest-rated issues in the index are Moody’s/S&P ratings of Baa1/BB+ or Ba1/BBB+. All loans are funded-term loans with a tenor of at least one year and are made by issuers based in developed countries.
Credit Suisse Liquid Leveraged Loan Index (LELI) – This index is a subindex of the Credit Suisse Leveraged Loan Index, which, with over 1,664 fully funded term loan facilities as of December 2018, is designed to mirror the investable universe of the U.S. dollar-denominated leveraged loan market. LELI contains about 284 term loan facilities as of December 2018 and seeks to track the liquid segment of the loan market. LELI includes only large loan facilities, over $1 billion in face value, in order to sample loans that are actively traded in the secondary market.
Credit Suisse Liquid U.S. Corporate Index (LUCI) – This index is a composite universe of liquid, tradable, U.S. dollar-denominated high-grade issues. The index is calculated each trading day and tracks only the liquid, tradable portion of the U.S. corporate bond market. The securities are priced by an independent vendor at the close of business each day.
Credit Suisse Liquid U.S. High Yield Index (LUHY) – This index is a market capitalization-weighted benchmark index that tracks the liquid universe of the U.S. dollar-denominated, high yield (HY) debt market. The LUHY only includes the liquid, tradable portion of the HY bond market.
Credit Suisse Managed Futures Liquid Total Return U.S. Dollar Index – This index measures on a total return, U.S. dollar-denominated basis the performance of the Credit Suisse Managed Futures Liquid Index, which is designed to provide exposure to both up and down price trends in four broad asset classes: equities, fixed income, commodities and currencies.
DB Cross Asset CTA Trend Index – This index comprises 16 subindexes that are each intended to reflect the weighted, foreign exchange (FX)-hedged excess return of a number of indexes covering the following asset classes: equities, interest rates, commodities and FX.
Deutsche Aktien Index (DAX) – This blue-chip stock market index comprises the 30 major German companies trading on the Frankfurt Stock Exchange.
Deutsche Bank Cross Asset Trends Index – This index, which is rebalanced monthly, comprises four subindexes that are intended to reflect the weighted, foreign exchange (FX)-hedged excess return performance of a number of indexes that track one of the following asset classes: equities, interest rates, commodities and FX.
DigitalBridge Fundamental US Real Estate Index ─ This rules-based index incorporates fundamental criteria originally developed by DigitalBridge Global Inc. (which was then doing business under a different name). It is rebalanced and reconstituted quarterly by applying a systematic methodology to the universe of real estate investment trusts (REITs).
Dow Jones Industrial Average (DJIA) – This index tracks 30 large publicly owned companies trading on the New York Stock Exchange and the Nasdaq.
Dow Jones Transportation Average (DJTA) – This index, sometimes called “Dow Transports,” is a price-weighted average of 20 transportation stocks traded in the United States.
Dow Jones U.S. Select Real Estate Investment Trust (REIT) Total Return Index – This index tracks the performance of publicly traded REITs and REIT-like securities. It is designed to serve as a proxy for direct real estate investment, in part by excluding companies whose performance might be driven by factors other than the value of real estate.
Employment Cost Index (ECI) – Survey of employer payrolls conducted by the U.S. Bureau of Labor Statistics that measures the change in total employee compensation each quarter. It is used by a wide variety of stakeholders – economists, investors, employers – to track the state of the economy or set pay scales for their employees.
Euro Stoxx 50 Index – This index of 50 eurozone stocks provides a blue-chip representation of supersector leaders in the eurozone.
Euro Stoxx 600 Index – This index has a fixed number of 600 stocks representing large-, mid- and small-cap companies among 17 European countries, covering approximately 90% of the free-float market capitalization of the European stock market (not limited to the eurozone).
European Commission Consumer Confidence Indicator Eurozone – This measure, published by the European Commission, tracks sentiment among households and/or consumers based on surveys among a random sample of households in the eurozone.
Fannie Mae Home Purchase Sentiment Index (HPSI) – This composite index tracks consumers’ housing-related attitudes, intentions and perceptions using six questions from the Fannie Mae National Home Survey. The survey is a nationally representative telephone survey polling 1,000 consumers a month about owning and renting a home, home and rental price changes, the economy, household finances and overall consumer confidence. Respondents are asked more than 100 questions, six of which are distilled into a single indicator – the Home Purchase Sentiment Index – designed to provide signals on future housing outcomes.
Federal Housing Finance Agency (FHFA) House Price Index (HPI) – Broad measure of the movement of single-family house prices. The FHFA HPI is the nation’s only collection of public, freely available house price indexes that measure changes in single-family home values based on data from all 50 states and over 400 American cities that extend back to the mid-1970s. The FHFA HPI incorporates tens of millions of home sales and offers insights about house price fluctuations at the national, census division, state, metro area, county, ZIP code and census tract levels.
Five Year/Five Year Forward Inflation Expectation Rate – This rate measures expected inflation (on average) over the five-year period that begins five years from today.
Freddie Mac U.S. Mortgage Market Survey 30-Year Homeowner Commitment National Index – This index tracks the 30-year fixed-rate mortgages component of the Freddie Mac Primary Mortgage Market Survey (PMMS), which tracks the most-popular 30- and 15-year fixed-rate mortgages, and 5-1 hybrid amortizing adjustable-rate mortgage products among a mix of lender types.
Freightos Baltic Index (FBX) – This oceanic freight index, produced by Freightos and the Baltic Exchange, tracks market rates for 40-foot containers in eight regions: China/East Asia, North America West Coast, North America East Coast, Europe, North Europe, South America East Coast, South America West Coast and Mediterranean.
FTSE Milano Indice di Borsa (FTSE MIB) – This benchmark index for the Borsa Italian, the Italian stock exchange, comprises the 40-most traded stock classes on the exchange.
FTSE 100 Index – This index tracks the 100 companies with the highest market capitalization on the London Stock Exchange.
FTSE World Government Bond Index (FTSE WGBI) – This broad index measures the performance of fixed-rate, local currency, investment grade sovereign bonds. It is a widely used benchmark comprising sovereign debt from more than 20 countries that is denominated in a variety of currencies.
Giliberto-Levy Commercial Mortgage Performance Index – This index tracks fixed-rate, fixed-term senior loans that are made and held by institutional lenders such as life insurance companies and pension funds.
Global Supply Chain Pressure Index (GSCPI) – This index, published by the Federal Reserve Bank of New York, draws upon shipping, air freight and purchasing managers’ index data to track supply chain pressure and its impact on economic outcomes.
Green Street’s Commercial Property Price Index – This index is a time period-specific series of unleveraged U.S. commercial property values that capture the prices at which commercial real estate transactions are being negotiated and contracted.
Hang Seng China Enterprises Index (HSCEI) – This capitalization-weighted index, operated by Hang Seng Indexes Co., tracks the performance of major H-shares on the Hong Kong Stock Exchange (HKEX). H-shares are renminbi-denominated shares from People’s Republic of China (PRC) issuers under PRC law and listed on the HKEX, the par values of which are denominated in renminbi, and subscribed for and traded in Hong Kong dollars.
Hang Seng Index – This free-float capitalization weighted index tracks a selection of companies on the Stock Exchange of Hong Kong. The index has four subindexes: finance, utilities, properties, finance, and commerce and industry.
Harmonized Index of Consumer Prices (HICP) – This index comprises consumer price indexes produced by each European Union member state to measure inflation and to guide the European Central Bank in formulating monetary policy. Each country’s HICP measures the change over time in the prices of a basket of goods and services acquired, used or paid for by households within that country.
Hedge Fund Research HFRX Macro Systematic Diversified CTA Index – This index, published by Hedge Fund Research Inc., track hedge funds that use a systematic diversified strategy. The index is periodically rebalanced to reflect the current universe of hedge funds that rely on such strategies.
Housing Affordability Index – This index, published by the National Association of Realtors, measures whether a typical family earns enough income to qualify for a mortgage loan on a typical home at the national and regional levels based on the most-recent price and income data.
Ibovespa Index – This gross-return index is weighted by trade volume and comprises the most-liquid stocks on Brazil’s Sao Paulo Stock Exchange.
ICE BofA Eurodollar Index – This index tracks the performance of U.S. dollar-denominated, investment grade, quasi-government, corporate, securitized and collateralized debt publicly issued in the eurobond markets.
ICE BofA Global High Yield (HY) Index – This index tracks the performance of U.S. dollar-, Canadian dollar-, British pound- and euro-denominated below-investment-grade (IG) corporate debt publicly issued in the major domestic or eurobond markets. Qualifying securities must have a below-IG rating (based on an average of Moody’s, S&P and Fitch), at least 18 months to final maturity at the time of issuance, at least one year remaining to final maturity as of the rebalancing date, a fixed coupon schedule and a minimum amount outstanding of 250 million U.S. dollars, 250 million euros, 100 million pounds or 100 million Canadian dollars.
ICE BofA International Government Index – This index tracks the performance of Australian, Canadian, French, German, Japan, Dutch, Swiss and U.K. investment grade (IG) sovereign debt publicly issued and denominated in the issuer’s own domestic market and currency. Qualifying securities must have at least one year remaining to final maturity, a fixed coupon schedule and a minimum amount outstanding.
ICE BofA Mortgage-Backed Securities (MBS) Index – This index tracks the performance of U.S. dollar-denominated, fixed-rate and hybrid residential mortgage pass-through securities publicly issued by U.S. Agencies in the domestic market. 30-year, 20-year, 15-year and interest-only, fixed-rate mortgage pools are included in the index provided they have at least one year remaining to final maturity and a minimum amount outstanding of at least $5 billion per generic coupon and $250 million per production year within each generic coupon.
ICE BofA MOVE Index – This index is a measure of U.S. interest-rate volatility that tracks the movement in U.S. Treasury yield volatility implied by current prices of one-month over-the-counter options on two-, five-, 10- and 30-year Treasuries.
ICE BofA 1-3 Year Eurodollar Index – This index includes all securities with a remaining term to final maturity of three years or less on the ICE BofA Eurodollar Index, which tracks the performance of U.S. dollar-denominated, investment grade, quasi-government, corporate, securitized and collateralized debt publicly issued in the eurobond markets.
ICE BofA 1-3 Year U.S. Treasury Index – An unmanaged index that tracks the performance of the direct sovereign debt of the U.S. government having a maturity of at least one year and less than three years.
ICE BofA SOFR Overnight Rate Index – This index tracks the performance of a synthetic asset paying the Secured Overnight Financing Rate (SOFR) to a stated maturity. The index is based on the assumed purchase at par of a synthetic instrument having exactly its stated maturity and with a coupon equal to that day’s fixing rate. That issue is assumed to be sold the following business day (priced at a yield equal to the current day fixing rate) and rolled into a new instrument.
ICE BofA 3-Month U.S. Treasury Bill Index – This unmanaged index comprises a single U.S. Treasury issue with approximately three months to final maturity, purchased at the beginning of each month and held for one full month.
ICE BofA U.S. Agency Collateralized Mortgage Obligation (CMO) Index – This index tracks the performance of U.S. dollar-denominated, fixed-rate Agency CMOs publicly issued in the U.S. domestic market. Qualifying securities must have at least one year remaining to final maturity, a fixed coupon schedule, an original deal size for the collateral group of at least $250 million and a current outstanding deal size for the collateral group that is greater than or equal to 10% of the original deal size.
ICE BofA U.S. Corporate Index – This index tracks the performance of U.S. dollar-denominated, investment grade corporate debt publicly issued in the U.S. domestic market. Qualifying securities must have an investment grade rating (based on an average of Moody’s, S&P and Fitch) and an investment grade-rated country of risk (based on an average of Moody’s, S&P and Fitch foreign currency, long-term sovereign debt ratings). Securities must also have at least one year remaining to final maturity, a fixed coupon schedule and a minimum amount outstanding of $250 million.
ICE BofA U.S. Dollar Emerging Markets (EM) Sovereign Plus Index – This index tracks the performance of U.S. dollar-denominated EM and crossover sovereign debt publicly issued in the eurozone or U.S. domestic market. Qualifying countries must have a BB1 or lower foreign currency long-term sovereign debt rating (based on an average of Moody’s, S&P and Fitch).
ICE BofA U.S. 15+ Year Treasury Index – This index is a subset of the ICE Bank of America (BofA) U.S. Treasury Index, including all securities with a remaining final maturity greater than 15 years.
ICE BofA U.S. Fixed-Rate Asset-Backed Securities (ABS) Index – This index tracks the performance of U.S. dollar-denominated, investment grade (IG), asset-backed securities publicly issued in the U.S. domestic market. Qualifying securities must have an IG rating based on an average of Moody’s, S&P and Fitch.
ICE BofA U.S. Fixed-Rate Commercial Mortgage-Backed Securities (CMBS) Index – This index tracks the performance of U.S. dollar-denominated, investment grade (IG), fixed-rate commercial mortgage-backed securities (CMBS) publicly issued in the U.S. domestic market. Qualifying securities must have an IG rating (based on an average of Moody’s, S&P and Fitch), a fixed coupon schedule, at least one year remaining to final maturity and at least one month to the last expected cash flow.
ICE BofA U.S. Fixed-Rate Miscellaneous Asset-Backed Securities (ABS) Index – A subset of the ICE BofA U.S. Fixed-Rate ABS Index, including all ABS collateralized by anything other than auto loans, home equity loans, manufactured housing, credit card receivables and utility assets.
ICE BofA U.S. Government Index – This index tracks the performance of U.S. government debt such as Treasuries.
ICE BofA U.S. High Yield (HY) Cash Pay Index – This index tracks the performance of U.S. dollar-denominated, below-investment-grade corporate debt that is publicly issued in the U.S. domestic market. Qualifying securities must have a below-investment-grade rating (based on an average of Moody’s, S&P and Fitch) and an investment grade-rated country of risk (based on an average of Moody’s, S&P and Fitch foreign currency, long-term sovereign debt ratings). Securities must also have more than one year remaining to final maturity, a fixed coupon schedule and a minimum outstanding amount of $100 million.
ICE BofA U.S. High Yield (HY) Index – This index tracks the performance of U.S. dollar-denominated, below-investment-grade corporate debt, currently in a coupon paying period, that is publicly issued in the U.S. domestic market. Qualifying securities must have a below-investment-grade rating (based on an average of Moody’s, S&P and Fitch foreign currency, long-term sovereign debt ratings). They must also have one year remaining to maturity and a minimum outstanding amount of $100 million.
ICE BofA U.S. 10-15 Year Treasury Index – This index tracks the performance of U.S. dollar-denominated, 10- to 15-year sovereign debt publicly issued by the U.S. government in its domestic market. It is a subset of the ICE BofA U.S. Treasury Index.
ICE BofA U.S. Treasury & Agency Index – This index tracks the performance of U.S. dollar-denominated U.S. Treasury and nonsubordinated U.S. Agency debt issued in the U.S. domestic market. Qualifying securities must have an investment grade (IG) rating (based on an average of Moody’s, S&P and Fitch). In addition, qualifying securities must have at least one year remaining to final maturity, at least 18 months to maturity at time of issuance, a fixed coupon schedule and a minimum amount outstanding of $1 billion for sovereigns and $250 million for Agencies.
ICE BofA U.S. Treasury Index – This index tracks the performance of U.S. dollar-denominated sovereign debt publicly issued by the U.S. government in its domestic market. Qualifying securities must have at least one year remaining to final maturity, a fixed coupon schedule and a minimum amount outstanding of $1 billion.
ICE U.S. Broad Municipal Index (MUNI) – This index tracks the performance of U.S. dollar-denominated, investment grade (IG), tax-exempt debt publicly issued by U.S. states and territories, and their political subdivisions, in the U.S. domestic market. Qualifying securities must have at least one day remaining to final maturity, at least 18 months to final maturity at the time of issuance, a fixed coupon schedule and an IG rating (based on an average of Moody’s, S&P and Fitch). Minimum size requirements vary based on the initial term to final maturity at time of issuance.
IHS Markit CDX North American High Yield Index (US 5Y HY) – This index tracks the five-year-maturity component of the IHS Markit CDX North American High Yield Index, which comprises the 100 most liquid North American entities with high yield (HY) credit in the credit swap default market.
IHS Markit CDX North American Index (US 5Y IG) – This index tracks the five-year-maturity component of the IHS Markit CDX North American Index, which comprises the 125 most liquid North American entities with investment grade (IG) credit in the credit swap default market.
IHS Markit iTraxx Crossover Index (EUR 5Y HY) – This index tracks the five-year-maturity component of the IHS Markit iTraxx Crossover Index, which comprises the 75 most liquid Euro entities with high yield (HY) credit in the credit swap default market.
IHS Markit iTraxx Europe Main Index (EUR 5Y IG) – This index tracks the five-year-maturity component of the IHS Markit iTraxx Europe Main Index, which comprises the 125 most liquid Euro entities with investment grade (IG) credit in the credit swap default market.
Indice Bursatil Espanol (IBEX) – This official index of the Spanish Continuous Market comprises the 35 most-liquid stocks traded on the market.
Inflation Nowcasting Consumer Price Index MoM – The Federal Reserve Bank of Cleveland provides daily “nowcasts” of inflation for the Consumer Price Index (CPI) based on a model that uses a small number of available data series at different frequencies, including daily oil prices, weekly gasoline prices and monthly CPI. Nowcasts are estimates or forecasts of present inflation in a given month (MoM) or quarter (QoQ) before the official CPI print is released.
Investment Grade – Rating that signifies a municipal or corporate bond presents a relatively low risk of default. Bonds below this designation are considered to have a high risk of default and are commonly referred to as “junk bonds.” The higher the bond rating the more likely the bond will return 100 cents on the U.S. dollar.
ISM Manufacturing PMI – This index (which used to be called the ISM Manufacturing Purchasing Managers Index) is compiled by the Institute for Supply Management and tracks the economic health of the manufacturing sector. The index is based on five major indicators: new orders, inventory levels, production, supplier deliveries and employment environment.
ISM New Orders Index – This index is compiled by the Institute for Supply Management and is one of the major indicators used by the ISM Manufacturing Purchasing Managers Index to gauge the economic health of the manufacturing sector.
ISM Non-Manufacturing Index (NMI) – This index is compiled by the Institute of Supply Management based on surveys of more than 400 non-manufacturing (or services) firms’ purchasing and supply executives within 60 sectors across the nation. A composite diffusion index that monitors economic conditions of the nation is created based on the data from these surveys.
ISM Prices Paid Index –This index is a subindex of the ISM Manufacturing PMI, which is compiled by the Institute for Supply Management and tracks the economic health of the manufacturing sector. The index is based on five major indicators: new orders, inventory levels, production, supplier deliveries and employment environment. The Prices Paid Index is a diffusion index calculated by adding the percent of responses indicating managers paid more for inputs plus one-half of those responding that they paid the same for inputs. The resulting single index number is then seasonally adjusted.
ISM Services PMI – This index (which used to be called the ISM Non-Manufacturing Purchasing Managers Index) is compiled by the Institute for Supply Management and tracks the economic health of the services (formerly nonmanufacturing) sector.
J.P. Morgan Collateralized Loan Obligation (CLO) All Rate Index – This index tracks the U.S. dollar-denominated CLO market, representing over 3,000 instruments at a total par value of $236.1 billion.
J.P. Morgan Collateralized Loan Obligation Index (CLOIE) – This market value-weighted index comprises U.S. dollar-denominated collateralized loan obligations (CLOs).
J.P. Morgan Collateralized Loan Obligation (CLO) Total Return Index – This index is a total return subindex of the J.P. Morgan Collateralized Loan Obligation Index (CLOIE), which is a market value-weighted index consisting of U.S. dollar-denominated CLOs.
J.P. Morgan Corporate Emerging Markets Bond Index (CEMBI) – This index is a market capitalization-weighted index consisting of U.S. dollar-denominated emerging markets corporate bonds. The CEMBI is a liquid global corporate benchmark representing Asia, Latin America, Europe and the Middle East/Africa.
J.P. Morgan Corporate Emerging Markets Bond Index Broad Diversified (CEMBI BD) – This index is a uniquely weighted version of the CEMBI, which is a market capitalization-weighted index consisting of U.S. dollar-denominated emerging markets corporate bonds. The CEMBI BD limits the weights of index countries with larger debt stocks by only including specified portions of those countries’ eligible current face amounts of debt outstanding.
J.P. Morgan Corporate Emerging Markets Bond Index Broad Diversified (CEMBI BD) 1-3 Year – This index tracks corporate bonds with a maturity of one to three years and includes smaller issues and a wider array of bonds than the CEMBI, which is a market capitalization-weighted index consisting of U.S. dollar-denominated corporate bonds from emerging markets. The CEMBI is a liquid global corporate benchmark representing Asia, Latin America, Europe and the Middle East/Africa.
J.P. Morgan Emerging Markets Bond Index (EMBI) – This index tracks emerging markets (EM) bonds and comprises sovereign debt and EM corporate bonds.
J.P. Morgan Emerging Markets Bond Index (EMBI) Global – The EMBI Global is considered the “expanded” version of the EMBI+. It differs from the EMBI+ by including U.S. dollar-denominated Brady bonds, eurobonds and loans. The EMBI Global is still required to meet the minimum face value of $500 million but does not need to follow strict criteria for secondary-market trading liquidity. It is essentially a combination of the regular EMBI and EMBI+.
J.P. Morgan Emerging Markets Bond Index Global Diversified (EMBI GD) – This index is a uniquely weighted version of the EMBI. The EMBI tracks bonds from emerging markets (EM), and comprises sovereign debt and EM corporate bonds. The EMBI GD limits the weights of index countries with larger debt stocks by only including specified portions of those countries’ eligible current face amounts of debt outstanding.
J.P. Morgan Emerging Markets Bond Index+ (EMBI+) – The EMBI+ Index measures total returns for traded foreign debt instruments in emerging markets (EM). The index provides investors with definitive EM external currency debt information, a compilation of the instruments traded within the market and their agreed terms. The regular EMBI differs from the EMBI+ due to the former’s inclusion of U.S. dollar-denominated Brady bonds, eurobonds and loans. Financial instruments within the EMBI+ are required to meet strict criteria for secondary-market trading liquidity and must possess a minimum face value of $500 million.
J.P. Morgan Global Manufacturing Purchasing Managers’ Index (PMI) – This index is compiled from IHS Markit surveys of purchasing managers in over 40 countries. The PMI is a weighted average of five global indexes: new orders (30%), output (25%), employment (20%), suppliers’ delivery times (15%) and stocks of purchases (10%).
J.P. Morgan Government Bond Index Emerging Markets (GBI-EM) – This index is the first comprehensive global emerging markets index and consists of regularly traded, liquid, fixed-rate, domestic currency government bonds to which international investors can gain exposure.
J.P. Morgan Government Bond Index Emerging Markets Global Diversified (GBI-EM GD) – This custom-weighted index tracks local currency bonds issued by emerging market governments, excluding China and India, and has a broader roster of countries than the base GBI-EM, which limits inclusion to countries that are readily accessible and where no impediments exist for foreign investors.
J.P. Morgan Investment Grade (IG) Corporate Index – This index tracks the performance of U.S. dollar-denominated, IG corporate debt publicly issued in the U.S. domestic market. Qualifying securities must have an IG rating (based on an average of Moody’s, S&P and Fitch) and an IG-rated country of risk (based on an average of Moody’s, S&P and Fitch foreign currency, long-term sovereign debt ratings). Securities must have at least one year remaining to final maturity, a fixed coupon schedule and a minimum amount outstanding of $250 million.
KBW Bank Index – Benchmark stock index of the banking sector that includes a weighting of 24 banking stocks selected as indicators of this industry group.
Korean Composite Stock Price Index (KOSPI) – This index comprises all common stocks traded on the stock market division of the Korea Exchange. It is the representative stock market index in South Korea, like the S&P 500 Index in the U.S.
Manheim Used Vehicle Value Index – Measurement, published monthly by Manheim, gauges wholesale auction prices for used cars.
Markit iBoxx U.S. Non-Agency Residential Mortgage-Backed Securities (RMBS) Index – This index comprises 27 subindexes referencing approximately 350 senior bonds from a portfolio of 22,000 RMBS issued between 2005 and 2007. The subindexes’ selection criteria include deal size, pricing date and the type/quality of the mortgages referenced in each deal. Index pricing is based on Markit’s bond pricing service, which sources quotes from a panel of dealers.
Median CPI – Calculated by the Federal Reserve Bank of Cleveland, the median CPI (Consumer Price Index) and the 16% trimmed-mean CPI based on data released in the Bureau of Labor Statistics’ monthly CPI report. Median CPI is the one-month inflation rate of the component whose expenditure weight is in the 50th percentile of price changes. The 16% trimmed-mean CPI is a weighted average of one-month inflation rates of components whose expenditure weights fall below the 92nd percentile and above the eighth percentile of price changes. By omitting outliers (small and large price changes) and focusing on the interior of the distribution of price changes, the median CPI and the 16% trimmed-mean CPI can provide a better signal of the underlying inflation trend than the CPI or core CPI (excluding food and energy).
Mobility and Engagement Index (MEI) – This index, published by the Federal Reserve Bank of Dallas and formerly known as the “Social Distancing Index,” summarizes the information in seven different variables based on geolocation data collected from a large sample of mobile devices to gain insight into the economic impact of the pandemic. The MEI measures the deviation from normal mobility behaviors induced by COVID-19.
Monetary Union Index of Consumer Prices (MUICP) – This index is calculated by taking the weighted average of the Harmonized Indices of Consumer Prices (HICPs) from each country within the eurozone. It is published monthly by Eurostat, the statistical office of the European Union. Each country’s HICP measures the change over time in the prices of a basket of goods and services acquired, used or paid for by households within that country.
Morgan Stanley Backwardation Focused Multi-Commodity Index (MS BFMCI) – This index comprises futures contracts selected based on the contracts’ historical backwardation relative to other commodity-related futures contracts and the contracts’ historical liquidity. The sectors represented in the index (industrial metals, energy and agricultural/livestock) have been selected to provide diversified exposure. The index is typically rebalanced annually in January.
Morgan Stanley Capital International All Country Asia Pacific (MSCI ACAP) Index – This index captures large- and midcap representation across five developed markets countries and nine emerging markets countries in the Asia Pacific region. With 1,555 constituents, the index covers approximately 85% of the free-float-adjusted market capitalization in each country.
Morgan Stanley Capital International All Country World Index (MSCI ACWI) – This market capitalization-weighted index is designed to provide a broad measure of stock performance throughout the world. It comprises stocks from 23 developed countries and 27 emerging markets.
Morgan Stanley Capital International All Country World Index (MSCI ACWI) ex U.S. – This market capitalization-weighted index is designed to provide a broad measure of stock performance throughout the world. It comprises stocks from 22 of 23 developed countries and 27 emerging markets.
Morgan Stanley Capital International (MSCI) Chile Index – This index measures the performance of the large- and midcap segments of the Chilean market. With 16 constituents, the index covers approximately 85% of the Chilean equity universe.
Morgan Stanley Capital International Emerging Markets (MSCI EM) Currency Index – This index measures the total return of 25 emerging markets currencies relative to the U.S. dollar where the weight of each currency is equal to its country weight in the MSCI EMI.
Morgan Stanley Capital International Emerging Markets Index (MSCI EMI) – This index captures large- and mid-cap representation across 26 emerging markets countries. With 1,385 constituents, the index covers approximately 85% of the free-float-adjusted market capitalization in each country.
Morgan Stanley Capital International (MSCI) Europe, Australasia and Far East (EAFE) Index – This index is designed to represent the performance of mid- and large-cap securities across 21 developed markets, including countries in Europe, Australasia and the Far East, excluding the U.S. and Canada. The index is available for a number of regions, market segments/sizes and covers approximately 85% of the free float-adjusted market capitalization in each of the 21 countries.
Morgan Stanley Capital International (MSCI) Europe Index – This index is U.S. dollar denominated and represents the performance of large- and mid-cap equities across 15 developed countries in Europe. It covers approximately 85% of the free float-adjusted market capitalization in each country.
Morgan Stanley Capital International (MSCI) Europe Index ex U.K. – This index captures large- and mid-cap representation across 14 developed market countries in Europe. With 348 constituents, the index covers approximately 85% of the free float-adjusted market capitalization across European developed markets excluding the United Kingdom.
Morgan Stanley Capital International (MSCI) Europe Net Total Return USD Index – This index is a component of the MSCI Europe Index and measures performance on a net total return basis.
Morgan Stanley Capital International (MSCI) India Index – This index measures the performance of the large- and midcap segments of the Indian market. The index covers approximately 85% of the Indian equity universe.
Morgan Stanley Capital International (MSCI) Russia Index – This index measures the performance of the large- and mid-cap segments of the Russian market. The index covers approximately 85% of the free-float-adjusted market capitalization in Russia.
Morgan Stanley Capital International (MSCI) USA Index – This index measures the performance of the large- and midcap segments of the U.S. market. With 627 constituents, the index covers approximately 85% of the free float-adjusted market capitalization in the U.S.
Morgan Stanley Capital International (MSCI) U.S. REIT Index – This free-float-adjusted, market capitalization-weighted index comprises of equity real estate investment trusts (REITs). The index is based on the MSCI USA Investable Market Index (IMI), which captures the large-, mid- and small-cap segments of the U.S. market.
Morgan Stanley Capital International (MSCI) World Index – This broad global equity index represents large- and midcap equity performance across 23 developed markets (DM) countries. It covers approximately 85% of the free float-adjusted market capitalization in each country.
Morningstar LSTA US Leveraged Loan PR USD – This index (formerly the S&P/LSTA Leveraged Loan Price Index) tracks the prices of institutional weighted loans based on market weightings, spreads and interest payments.
Morningstar LSTA US Leveraged Loan TR USD – This index (formerly the S&P/LSTA Leveraged Loan Index) tracks the market-weighted performance of institutional weighted loans based on market weightings, spreads and interest payments.
Mortgage Bankers Association (MBA) Purchase Index – This index, a component of the MBA’s Weekly Application Survey, includes all mortgage applications for purchases of single-family homes. The index covers the entire market, including all products, and conventional and government loans.
Mortgage Bankers Association (MBA) Refinance Index – This index, a component of the MBA’s Weekly Application Survey, tracks the number of mortgage refinance applications. The index is used to help predict mortgage activity and loan prepayments based on the number of mortgage refinance applications submitted.
Nasdaq Composite Index – This index (“the Nasdaq”) comprises the more than 3,000 common stocks and similar securities (e.g., American depository receipts (ADRs), tracking stocks, limited-partnership interests) listed on the Nasdaq exchange. The index, which includes U.S. and non-U.S. companies, is highly followed in the U.S. as an indicator of the stock performance of technology companies and growth companies.
Nasdaq 100 Index – This index comprises the 100 largest U.S. and non-U.S. nonfinancial securities based on market capitalization listed on the Nasdaq stock exchange. The index reflects companies across major industry groups including computer hardware and software, telecommunications, biotechnology and retail/wholesale trade.
New One Family Houses Sold Index – This index, published monthly by the U.S. Census Bureau and the U.S. Department of Housing and Urban Development, tracks the sales of new single-family homes.
NFIB Small Business Compensation Plan Index – This seasonally adjusted index, compiled by the National Federation of Independent Business (NFIB), is based on a survey of 800 companies and tracks the net percentage of business owners planning to increase compensation during the next three-month period.
NFIB Small Business Job Openings Hard to Fill Index – This index, compiled by the National Federation of Independent Business (NFIB), is based on the NFIB’s survey of 800 small companies and tracks the number of job openings that business owners are seeking to fill.
NFIB Small Business Optimism Index – This index compiled by the National Federation of Independent Business (NFIB) provides a monthly picture of small-business activity in the U.S. Analysts use the report to gauge domestic demand and extrapolate hiring and wage trends in the broader economy.
Nikkei 225 Index – This price-weighted index (“the Nikkei”) comprises Japan’s top 225 blue-chip companies on the Tokyo Stock Exchange. The Nikkei is equivalent to the Dow Jones Industrial Average Index in the U.S.
OMX Stockholm 30 (OMXS30) – This capitalization-weighted index tracks the 30 most liquid Swedish stocks on the Nasdaq Stockholm exchange (formerly known as the Stockholm Stock Exchange).
Palmer Square CLO AAA Total Return Index – This index tracks on a total return basis the AAA-rated component of the Palmer Square CLO (collateralized loan obligation) Senior Debt Index, which comprises CLOs rated AAA and AA (often referred to as the “senior tranches” of a CLO) that were issued after Jan. 1, 2009, and meet certain inclusion criteria.
Personal Consumption Expenditures (PCE) Price Index – This index, published by the U.S. Bureau of Economic Analysis, measures price changes in consumer goods and services exchanged in the U.S. economy to reveal underlying inflation trends.
Producer Price Index (PPI) – This index, published by the U.S. Bureau of Labor Statistics, uses a target set of goods and services to track the entire marketed output of U.S. producers. This includes goods, services and construction products purchased by other producers as inputs to their operations or as capital investment; goods and services purchased by consumers either directly from the service producer or indirectly from a retailer; and products sold as export and to government.
RCA Commercial Property Price Index (CPPI) – This index describes various nonresidential property types for the U.S. (10 monthly series from 2000). It is a periodic same-property round-trip investment price-change index of the U.S. commercial investment property market. The dataset contains 20 monthly indicators.
RCA U.S. All-Property Commercial Property Price Index (CPPI) – This index is a component of the suite of price indexes that comprise the RCA CPPI.
Relative Strength Index – A momentum indicator that measures the magnitude of recent price changes to evaluate overbought or oversold conditions in the price of a stock or other asset.
Return to Work Barometer – Data from real estate security firm Kastle Systems tracking office occupancy versus a pre-COVID-19 pandemic baseline. The 10 metro areas tracked in the barometer are: Austin; Chicago; Dallas; Houston; San Francisco; Los Angeles; New York; Philadelphia; San Jose; Washington, D.C.
Russell 1000 Growth (RLG) Index – This index measures the performance of the large-cap growth segment of the U.S. equity universe. It includes Russell 1000 Index companies with higher price-to-book ratios and higher forecasted growth values. Growth stocks are shares in a company that are anticipated to grow at a rate significantly above the average growth for the market.
Russell 1000 Index – This index typically comprises approximately 92% of the total market capitalization of all listed stocks in the U.S. equity market and is considered a bellwether index for large-cap investing.
Russell 1000 Value (RLV) Index – This index measures the performance of the large-cap value segment of the U.S. equity universe. It includes Russell 1000 Index companies with lower price-to-book ratios and lower expected growth values. Value stocks are shares of a company that appear to trade at a lower price relative to the company’s fundamentals.
Russell 3000 Index – This market capitalization-weighted index tracks the performance of the 3,000 largest U.S.-traded stocks, which represent about 98% of all U.S.-incorporated equity securities.
Russell 2000 Index – This market capitalization-weighted index comprises 2,000 small-cap U.S. companies and is considered a bellwether index for small-cap investing.
S&P/ASX 200 – This capitalization-weighted index tracks the 200 largest companies on the Australian Stock Exchange (ASX).
S&P Banks Select Industry Index – This index represents the banks segment of the S&P Total Market Index (S&P TMI), which is designed to track the broad U.S. equity market. The banks segment of the S&P TMI comprises the following subindustries: asset management and custody banks, diversified banks, regional banks, other diversified financial services, and thrifts and mortgage finance.
S&P CoreLogic Case-Shiller 20-City Composite Home Price NSA Index – This index measures the value of residential real estate in 20 major U.S. metropolitan areas: Atlanta; Boston; Charlotte; Chicago; Cleveland; Dallas; Denver; Detroit; Las Vegas; Los Angeles; Miami; Minneapolis; New York City; Phoenix; Portland, Oregon; San Diego; San Francisco; Seattle; Tampa; and Washington, D.C.
S&P CoreLogic Case-Shiller U.S. National Home Price NSA Index – This index tracks the value of single-family housing within the United States and is a composite of single-family price indexes for the nine Census Bureau divisions.
S&P 500 Equal Weight Index (EWI) – This index is the equal-weight version of the widely used S&P 500 Index. The S&P 500 EWI includes the same constituents as the capitalization-weighted parent index, but each company in the S&P 500 EWI is allocated a fixed weight, or 0.2% of the index, at each quarterly rebalance.
S&P 500 Growth Index – This index includes the stocks with growth characteristics from the S&P 500 Index. If a stock does not have pure value or pure growth characteristics, its market cap is distributed between the S&P 500 Growth and Value indexes.
S&P 500 Index – This unmanaged capitalization-weighted index of the stocks of the 500 largest publicly traded U.S. companies is designed to measure performance of the broad domestic economy through changes in the aggregate market value of the 500 stocks, which represent all major industries.
S&P 500 Value Index – This index includes the stocks with value characteristics from the S&P 500 Index. If a stock does not have pure value or pure growth characteristics, its market cap is distributed between the S&P 500 Value and Growth indexes.
S&P Global CMBX Index – This synthetic tradable index references a basket of 25 commercial mortgage-backed securities (CMBS).
S&P Global Developed Markets Manufacturing Purchasing Managers’ Index (PMI) – This index measures the developed markets component of the IHS Markit Global Purchasing Managers’ Index (PMI). The parent index is derived from responses to monthly questionnaires sent to companies in manufacturing and services sectors in over 40 countries, totaling around 28,000 companies. These countries account for 89% of global gross domestic product. A reading above 50 indicates an expansion of the sector, a reading below 50 represents a contraction, and 50 indicates no change.
S&P Global Eurozone Composite Purchasing Managers’ Index (PMI) – This index is based on survey data collected from a representative panel of around 5,000 companies based in the eurozone manufacturing and service sectors. National manufacturing data is included for Germany, France, Italy, Spain, the Netherlands, Austria, the Republic of Ireland and Greece. National services data is included for Germany, France, Italy, Spain and the Republic of Ireland.
S&P Global Eurozone Manufacturing Purchasing Managers’ Index (PMI) – This index measures the performance of the manufacturing sector derived from a survey of 3,000 manufacturing firms and includes national data for Germany, France, Italy, Spain, the Netherlands, Austria, the Republic of Ireland and Greece. The PMI is based on five individual indexes: new orders (30%), output (25%), employment (20%), suppliers’ delivery times (15%) and stock of items purchased (10%), with the delivery times index inverted to move in a comparable direction. A reading above 50 indicates an expansion of the sector, a reading below 50 represents a contraction, and 50 indicates no change.
S&P Global Eurozone Services Purchasing Managers’ Index (PMI) – This index is based on original survey data from a representative panel of around 2,000 private service sector firms. National data is included for Germany, France, Italy, Spain and the Republic of Ireland. These countries account for an estimated 78% of eurozone private-sector services output. A reading above 50 indicates an expansion of the sector, a reading below 50 represents a contraction, and 50 indicates no change.
S&P Global Flash Eurozone Composite Purchasing Managers’ Index (PMI) – This index is based on preliminary survey data collected from a representative panel of around 5,000 companies based in the eurozone manufacturing and service sectors. National manufacturing data is included for Germany, France, Italy, Spain, the Netherlands, Austria, the Republic of Ireland and Greece. National services data is included for Germany, France, Italy, Spain and the Republic of Ireland. The flash estimate is typically based on approximately 85% to 90% of total PMI survey responses each month and is designed to provide an accurate advance indication of the final PMI data.
S&P Global Flash U.K. Composite Purchasing Managers’ Index (PMI) – This “Flash” index is based on preliminary data compiled from monthly surveys of purchasing executives at over 600 industrial companies. The PMI is based on five individual indexes: new orders (30%), output (25%), employment (20%), suppliers’ delivery times (15%) and stock of items purchased (10%), with the delivery times index inverted to move in a comparable direction. A reading above 50 indicates an expansion of the sector, a reading below 50 represents a contraction, and 50 indicates no change.
S&P Global Global Manufacturing Purchasing Managers’ Index (PMI) – This index tracks the manufacturing component of the IHS Markit Global Purchasing Managers’ Index (PMI). The parent index is derived from responses to monthly questionnaires sent to companies in manufacturing and services sectors in over 40 countries, totaling around 28,000 companies. These countries account for 89% of global gross domestic product. A reading above 50 indicates an expansion of the sector, a reading below 50 represents a contraction, and 50 indicates no change.
S&P Global Global Purchasing Managers’ Index (PMI) – This index is derived from responses to monthly questionnaires sent to companies in manufacturing and services sectors in over 40 countries, totaling around 28,000 companies. These countries account for 89% of global gross domestic product. A reading above 50 indicates an expansion of the sector, a reading below 50 represents a contraction, and 50 indicates no change.
S&P Global U.K. Manufacturing Purchasing Managers’ Index (PMI) – This index is based on data compiled from monthly surveys of purchasing executives at over 600 industrial companies. The PMI is based on five individual indexes: new orders (30%), output (25%), employment (20%), suppliers’ delivery times (15%) and stock of items purchased (10%), with the delivery times index inverted to move in a comparable direction. A reading above 50 indicates an expansion of the sector, a reading below 50 represents a contraction, and 50 indicates no change.
S&P GSCI – This index (formerly the Goldman Sachs Commodity Index) measures investment in the commodity markets and commodity market performance over time.
S&P/TSX 60 Index – This capitalization-weighted index consists of 60 of the largest and most liquid stocks on the Toronto Stock Exchange (TSX).
Shanghai Containerized Freight Index (SCFI) – This index, produced by the Shanghai Shipping Exchange, reflects the spot ocean freight costs and associated seaborne surcharges of individual shipping routes from Shanghai.
Shanghai Stock Exchange Composite Index – This capitalization-weighted index, developed in December 1990 with a base value of 100, tracks the daily performance of all A shares and B shares listed on the Shanghai Stock Exchange.
Shiller Barclays CAPE® Europe Sector Net TR NoC USD Index (European CAPE Index) – The index incorporates the principles of long-term investing distilled by Dr. Robert Shiller and expressed through the CAPE® (Cyclically Adjusted Price Earnings) Ratio (the “CAPE® Ratio”). The classic CAPE® Ratio assesses equity market valuations and averages 10 years of inflation-adjusted earnings to account for earnings and market cycles.
Shiller Barclays CAPE® U.S. Sector Total Return Index – An index that takes a long position in 4 favored sectors that are undervalued and possess relatively stronger price momentum over the past 12 months. Each month, the index ranks the 10 U.S. sectors based on modified CAPE ratio and 12-month price momentum, equally allocating across the top 4 ranked sectors.
Shiller Barclays CAPE® U.S. Sector Total Return USD Index – This index incorporates the principles of long-term investing distilled by Dr. Robert Shiller and expressed through the CAPE® (cyclically adjusted price-to-earnings) ratio (the “CAPE® ratio”). It aims to identify undervalued sectors based on a modified CAPE® ratio and then uses a momentum factor to seek to mitigate the effects of potential value traps.
Sticky-Price CPI – This index, published by the Federal Bank of Atlanta, sorts the components of the Consumer Price Index (CPI) into either flexible (prices change relatively frequently) or sticky (slow to change) categories based on the frequency of their price adjustment.
Stoxx Banks Price EUR Index – This index tracks stock prices in the eurozone banking sector.
Swiss Market Index (SMI) – This index is Switzerland’s blue-chip stock index and tracks 20 (19 large-capitalization and one midcap companies) from the SIX Swiss Exchange.
TAIEX Index – This index tracks companies traded on the Taiwan Stock Exchange. The index covers all listed stocks excluding preferred, full-delivery and newly listed stocks, which are listed for less than one calendar month.
Tokyo Stock Exchange Price Index (TOPIX) – This index tracks all domestic companies of the exchange’s first section and includes 33 industries.
Tokyo Stock Exchange TOPIX Banks Index – Capitalization-weighted index of all the banks listed on the First Section of the Tokyo Stock Exchange and is one of the 33 industry sectors of the Tokyo Stock Exchange Price Index (TOPIX), which tracks all domestic companies of the exchange’s First Section.
Trade-Weighted U.S. Dollar Index – This index, created by the Federal Reserve, measures the value of the U.S. dollar based on its competitiveness versus trading partners.
Trimmed Mean PCE Inflation Rate – Alternative measure of core inflation in the Personal Consumption Expenditures (PCE) Price Index. The data series is calculated by the Federal Reserve Bank of Dallas using data from the Bureau of Economic Analysis. Calculating the trimmed mean PCE inflation rate for a given month involves looking at the price changes for each of the individual components of the PCE. The individual price changes are sorted in ascending order from “fell the most” to “rose the most,” and a certain fraction of the most extreme observations at both ends of the spectrum are thrown out or trimmed. The inflation rate is then calculated as a weighted average of the remaining components. The resulting inflation measure has been shown to outperform the more conventional “excluding food and energy” measure as a gauge of core inflation.
Underlying Inflation Gauge (UIG) – This gauge, compiled and published by the Federal Reserve Bank of New York, measures sustained movements in inflation using information contained in a broad set of price, real activity and financial data. The “prices-only” UIG is derived from a large number of disaggregated price series in the Consumer Price Index (CPI). The “full data set” incorporates additional macroeconomic and financial variables.
University of Michigan Consumer Sentiment Index – This index rates the relative level of current and future economic conditions through monthly surveys of about 500 U.S. households (ex Alaska and Hawaii). There are two versions of this data released two weeks apart, preliminary and revised. The preliminary data tends to have greater impact. A higher-than-expected reading should be taken as positive/bullish for the U.S. dollar; a lower-than-expected reading should be taken as negative/bearish.
U.S. Dollar Index (DXY) – A weighted geometric mean of the U.S. dollar’s value relative to a basket of six major foreign currencies: the euro, Japanese yen, British pound, Canadian dollar, Swedish krona and Swiss franc.
U.S. Existing-Home Sales Index – This index, published by the National Association of Realtors, reflects the total unit sales of homes that are already built in the United States. This is a lagging indicator tracking the U.S. housing market, which is impacted by a change in mortgage rates.
U.S. National All-Property Price Index – This transaction-based index, a component of the RCA Commercial Property Price Index (CPPI) suite, measures commercial real estate price movement in the United States using repeat-sales regression methodology.
U.S. New One Family Houses Sold Index – This data, published by the U.S. Census Bureau, tracks the total unit sales of newly built homes in the United States. The index serves as a lagging indicator for U.S. market demand for houses and is impacted by the mortgage rate.
Wage Growth Tracker – Measure of the nominal wage growth of individuals published by the Federal Reserve Bank of Atlanta. It is constructed using microdata from the Current Population Survey and is the median percent change in the hourly wage of individuals observed 12 months apart.
Weekly Economic Index (WEI) – This index, compiled and published by the Federal Reserve Bank of New York, tracks 10 indicators of real economic activity and is scaled to align with the four-quarter GDP growth rate. It represents the common component of series covering consumer behavior, the labor market and production.
Weekly Forbearance and Call Volume Survey – This survey, published by the Mortgage Bankers Association, was initiated the week of April 1, 2020, to track forbearance and call center activity against a baseline of early March 2020. Survey data includes total loans in forbearance as a percent of servicing portfolio volume, forbearance requests as a percent of servicing portfolio volume and call center volume as a percent of servicing portfolio volume.
Zillow Rent Index – This U.S. dollar-valued index tracks typical market rent for a given segment (i.e., multifamily or single-family units) and/or geography (i.e., a given ZIP code, city, county, state or metro) by leveraging Zillow rental estimates.
You cannot invest directly in an index.
