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 Climate Risk-Adjusted Government Bond Index Series is designed to measure the performance of fixed-rate, local currency, investment-grade sovereign bonds in the FTSE World Government Bond Index (WGBI) or FTSE EMU Goverment Bond Index (EGBI) incorporating a tilting methodology that adjusts index weights according to each countries’ relative climate risk performance.
- The index series aims to maximize the carry and roll down of the index subject to duration and country weight constraints of the Climate WGBI, supporting global fixed income investors to incorporate climate risk considerations while providing flexibility on optimizing factor variants.
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
Debt Securities.
FTSE Time-Weighted US Fallen Angel
Bond Index
- 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 RAFI Sovereign Emerging
Markets Local Currency Bond Index
- The index seeks to reflect exposure to the government securities of
a universe of emerging markets. By weighting components by their
fundamentals, the index aims to represent each country’s economic
footprint, which is correlated to the country’s ability to service its debt.
FTSE RAFI World Corporate
Investment-Grade Bond Index
- The index weights a company’s debt according to fundamental measures
of the company’s debt service capacity rather than solely on the amount
of debt outstanding, providing an alternative approach to investable fixed
income indexes.
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 Sukuk Index
- The FTSE IdealRatings Sukuk Index measures the performance of global Islamic fixed income securities, also known as sukuk. The index covers US Dollar denominated, investment-grade sukuk that are Sharia-compliant and issued in the global markets. Screening of the shariah compliance of global Sukuk is based on the methodology of IdealRatings.