TERMINOLOGY GLOSSARY

Annualized Return

A geometric average of a cumulative return over a specified time period, expressed as a return per year assuming annual compounding. Source: https://indices.cib.barclays

Annualized Volatility

A statistical measure of the degree of movement of the price or level of an asset or index over the course of a year, commonly used as a tool to measure the riskiness of the asset or index. Source: https://indices.cib.barclays

Cumulative Return

The overall return of an asset or index over a specified time period. Source: https://indices.cib.barclays

Excess Return

Excess return is the return of an asset or index above an assumed borrowing cost (if applicable). An “excess return” index is an index that represents an investment in the index components using borrowed funds, or in index components that are “unfunded”, eg futures contracts. In the former case, the calculation of the index level will include a daily deduction for the relevant borrowing cost (which may be, for example, LIBOR in a specific currency for a specific duration). The level of an “excess return” equity index will reflect price changes in its underlying component stocks as well as notional reinvestment of dividends paid to holders of those stocks, unless the index is also a “price return” index, in which case the index level will reflect only price changes in the underlying index components. Source: https://indices.cib.barclays

Index Base Date

The first date for which the level of an index has been calculated (typically on a hypothetical back-tested basis). Source: https://indices.cib.barclays

Index Launch Date

The first date on which the level of an index is actually calculated and published to public pricing sources (such as this website or Bloomberg). Source: https://indices.cib.barclays

Market Hedged

A “market hedged” index is an index that takes a notional long position in its index components and takes a notional short position in a market benchmark (for example, a broad-based equity index representing the equity market in a particular country). Source: https://indices.cib.barclays

Maximum Drawdown Duration

A drawdown is defined as the loss from a peak to a trough over a specified time period. The maximum drawdown duration is the number of days from the peak to the trough and back to the level of the peak of the greatest such drawdown, assuming the peak is re-attained (if not, then no value is given). Source: https://indices.cib.barclays

Maximum Drawdown Percentage

A drawdown is defined as the loss from a peak to a trough over a specified time period. The maximum drawdown percentage is the loss of the greatest such drawdown, expressed as a percentage of the peak level. Source: https://indices.cib.barclays

Maximum Drawdown Time To Trough

A drawdown is defined as the loss from a peak to a trough over a specified time period. The maximum drawdown time to trough is the number of days from the peak to the trough of the greatest such drawdown. Source: https://indices.cib.barclays

Maximum Drawdown Time To Recovery

A drawdown is defined as the loss from a peak to a trough over a specified time period. The maximum drawdown time to recovery is the number of days from the trough of the greatest such drawdown back to the level of the peak. Source: https://indices.cib.barclays

Momentum

A strategy that selects index components that have performed well in the past on the theory that assets that have performed well in the past will continue to outperform assets that have performed poorly over the same period. Source: https://indices.cib.barclays

Positive Months Percentage

The number of months with positive returns over a specified time period, expressed as a percentage of the total number of months. Source: https://indices.cib.barclays

Price Return

A “price return” index is an equity index that reflects price changes in its underlying component stocks but does not include notional reinvestment of dividends paid to holders of those stocks. Source: https://indices.cib.barclays

Sharpe Ratio

A formula used to calculate risk-adjusted returns of an asset or index, and calculated on this website by measuring the excess return of an index over a time period and dividing that return by the annualised volatility of the index over the same period. Source: https://indices.cib.barclays

Smart Beta Strategies

Smart beta strategies are designed to add value by systematically selecting, weighting and rebalancing portfolio holdings on the basis of characteristics other than market capitalization or industry-standard benchmark weighting. Source: https://indices.cib.barclays

Total Return

A “total return” index is an index that represents a fully funded investment in the index components. The level of a “total return” equity index reflects price changes in its underlying component stocks as well as notional reinvestment of dividends paid to holders of those stocks. Source: https://indices.cib.barclays

Value

A risk premium based on the outperformance of undervalued securities (relative to a metric) vs. overvalued securities (relative to the same metric). Source: https://indices.cib.barclays

Volatility

A statistical measure of the degree of movement of the price or level of an asset or index over a period of time, commonly used as a tool to measure the riskiness of the asset or index. Source: https://indices.cib.barclays

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