1.6 Index Analytics

All the indices analytics are constructed in total returns methodology, taking into account price changes and income generated by the asset, giving a more accurate representation of an investor’s actual gains or losses.

1.6.1 Historical Volatility

1.6.2 Cross-Sectional (Model) Volatility

1.6.3 Excess Returns

1.6.4 Sharpe Ratio

1.6.5 Index VaR

1.6.6 Index Duration

1.6.7 Index Yield to Maturity (IRR)

1.6.8 Price Return

1.6.9 Income return

1.6.10 Free cash flow yield

1.6.11 Maximum Drawdown

1.6.12 Risk Premium Contribution

1.6.13 Weighted-average yield curve

1.6.14 Price-to-Sales

1.6.15 Effective number of TICCS

1.6.16 TICCS Contributions

1.6.17 Price and cash returns contribution

1.6.18 Factor Returns

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