Live index constituents are required to meet a minimum size condition (see methods section below).
Returns are time-weighted. Volatility is the standard deviation of returns. The Sharpe ratio is equal to excess returns divided by return volatility. In some years, the risk-free rate used to compute excess returns can be negative.
Maximum drawdown is the worst peak to through drop in value in any given year.
The public equity market reference index uses an identical weighing scheme as the index.
The IRR is a "money-weighted" measure i.e. always value-weighted.
VaR is the 99.5%, one-year Value-at-Risk. Volatility is the standard deviation of returns. Maximum drawdown is the worst peak to through drop in value in any given year. Duration expresses asset price sensitivity to interest rate risk and is the option-adjusted (effective) duration. It is not avaiable for the public equity reference index
In each reporting period, we estimate the sensitivity of individual constituent excess returns to year-on-year changes in interest rate level, term structure slope and convexity, as well as cash flow volatility changes. Unexplained variability is attributed to current 'market conditions', including the evolution of investor preferences and country specific factors e.g. regulatory changes in certain constituent countries in the index.
Changes in these factors can have a positive (negative) effect, meaning that a positive change increases (decreases) excess returns. The net effect is always equal to 1.
This map represents the physical infrastructure corresponding to the firms in each index. Large colored areas indicate the service area of a utility or distribution/transmission business.
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