Thematic and Alternatively Weighted Fixed Income Indexes
FTSE Russell offers a variety of fixed income indexes that are designed to capture particular investment
themes. In some cases, the indexes are calculated using alternative weighting methodologies. This includes
weighting by the market capitalization of an issuer’s outstanding debt, “fallen angels” weightings and weighting
index constituents based on fundamental measures.
- The FTSE Fixed Income Core Infrastructure Index Series is comprised of broad market multi-currency indexes designed to reflect the performance of infrastructure debt securities issued by corporate and quasi-government issuers worldwide. The indexes track investment-grade and high-yield markets across several major currencies, diversified across the three FTSE Russell-defined “core” infrastructure sectors.
FTSE Debt Capacity World Government
Bond Index (DCWGBI)
- The index measures the performance of fixed-rate, local currency
investment-grade sovereign bonds with a focus on countries with lower
debt issuance relative to their GDP and stronger debt servicing capabilities.
Comprising sovereign debt from over 20 countries, it is denominated in a
variety of currencies.
FTSE MPF World Government Bond
Index (MPF WGBI)
- The FTSE MPF World Government Bond Index is designed to help users
meet the regulatory requirements governing investments in debt securities
by Hong Kong Mandatory Provident Fund schemes. The index is based
on the FTSE World Government Bond Index (WGBI), which measures the
performance of fixed-rate, local currency investment-grade sovereign bonds.
The index incorporates additional criteria as stipulated by the Mandatory
Provident Fund Schemes (General) Regulation and Guidelines on
FTSE Time-Weighted US Fallen Angel
- The index measures the performance of “fallen angels” — bonds that were
previously rated investment-grade but were subsequently downgraded to
high yield. It includes US dollar-denominated bonds issued by corporations
domiciled in the US or Canada. The index’s constituent weights are
determined based on the time from inclusion in the index.
FTSE RAFI Sovereign Developed
Markets Bond Index Series
- The index series seeks to reflect exposure to the government securities
of a universe of developed markets. By weighting components by their
fundamentals, the indexes aim to represent each country’s economic
footprint, which is correlated to the country’s ability to service its debt.
FTSE Pension Liability Index
- The index represents the single discount rate that would produce the same
present value as calculated by discounting a standardized set of liabilities
using the FTSE Pension Discount Curve. Monthly returns and durations for
the FTSE Pension Liability Index liabilities are also made available.
FTSE IdealRatings Broad US Dollar Sukuk Index Series
- The FTSE IdealRatings Broad US Dollar Sukuk Index Series provides a broad measure of the performance of US Dollar denominated Sukuk issued in the global markets with at least one year to maturity. Screening of the Shariah compliance of global Sukuk is based on the methodology of IdealRatings. The series comprises the FTSE IdealRatings Broad US Dollar Sukuk Index, measuring investment-grade, high-yield and non-rated Sukuk, and the FTSE IdealRatings Sukuk Index, capturing investment-grade sukuk.