Important Risk Considerations
LoCorr Macro Strategy Fund
LoCorr Long/Short Commodities Strategy Fund
LoCorr Dynamic Opportunity Fund
LoCorr Spectrum Income Fund
LoCorr Market Trend Fund
Definitions:
Investment Terms
Portfolio Characteristics Definitions
Index Definitions
Sector Definitions
Opinions expressed are subject to change at any time, are not guaranteed, and should not be considered investment advice.
Mutual fund investing involves risk. Principal loss is possible. The Fund invests in foreign investments and foreign currencies which involve greater volatility and political, economic and currency risks and differences in accounting methods. The Fund may make short sales of securities, which involves the risk that losses may exceed the original amount invested. Investing in commodities may subject the Fund to greater risks and volatility as commodity prices may be influenced by a variety of factors including unfavorable weather, environmental factors, and changes in government regulations. The Fund may invest in derivative securities, which derive their performance from the performance of an underlying asset, index, interest rate or currency exchange rate. Derivatives can be volatile and involve various types and degrees of risks, and, depending upon the characteristics of a particular derivative, suddenly can become illiquid. Derivative contracts ordinarily have leverage inherent in their terms which can magnify the Fund’s potential for gains or losses through increased long and short position exposure. The Fund may access derivatives via a swap agreement. A risk of a swap agreement is the risk that the counterparty to the agreement will default on its obligation to pay the Fund. Investments in debt securities typically decrease in value when interest rates rise. This risk is usually greater for longer-term debt securities. Investments in Asset-Backed, Mortgage-Backed, and Collateralized Mortgage-Backed Securities include additional risks that investors should be aware of such as credit risk, prepayment risk, possible illiquidity and default, as well as increased susceptibility to adverse economic developments.
Mutual fund investing involves risk. Principal loss is possible. The Fund invests in foreign investments and foreign currencies which involve greater volatility and political, economic and currency risks and differences in accounting methods. The Fund may make short sales of securities, which involves the risk that losses may exceed the original amount invested. Investing in commodities may subject the Fund to greater risks and volatility as commodity prices may be influenced by a variety of factors including unfavorable weather, environmental factors, and changes in government regulations. The Fund may invest in derivative securities, which derive their performance from the performance of an underlying asset, index, interest rate or currency exchange rate. Derivatives can be volatile and involve various types and degrees of risks, and, depending upon the characteristics of a particular derivative, suddenly can become illiquid. Derivative contracts ordinarily have leverage inherent in their terms which can magnify the Fund’s potential for gains or losses through increased long and short position exposure. The Fund may access derivatives via a swap agreement. A risk of a swap agreement is the risk that the counterparty to the agreement will default on its obligation to pay the Fund. Investments in debt securities typically decrease in value when interest rates rise. This risk is usually greater for longer-term debt securities. Investments in Asset-Backed, Mortgage-Backed, and Collateralized Mortgage-Backed Securities include additional risks that investors should be aware of such as credit risk, prepayment risk, possible illiquidity and default, as well as increased susceptibility to adverse economic developments.
Effective December 2, 2022, the Dynamic Equity Fund was renamed to Dynamic Opportunity Fund.
Mutual fund investing involves risk. Principal loss is possible. The Fund invests in foreign investments and foreign currencies which involve greater volatility and political, economic and currency risks and differences in accounting methods. This risk is greater for investments in Emerging Markets. The Fund may make short sales of securities, which involves the risk that losses may exceed the original amount invested. Investing in commodities may subject the Fund to greater risks and volatility as commodity prices may be influenced by a variety of factors including unfavorable weather, environmental factors, and changes in government regulations. The Fund may invest in derivative securities, which derive their performance from the performance of an underlying asset, index, interest rate or currency exchange rate. Derivatives can be volatile and involve various types and degrees of risks, and, depending upon the characteristics of a particular derivative, suddenly can become illiquid. Derivative contracts ordinarily have leverage inherent in their terms which can magnify the Fund’s potential for gains or losses through increased long and short position exposure. The Fund may access derivatives via a swap agreement. A risk of a swap agreement is the risk that the counterparty to the agreement will default on its obligation to pay the Fund. Investments in debt securities typically decrease in value when interest rates rise. This risk is usually greater for longer-term debt securities. The Fund is non-diversified, meaning it may concentrate its assets in fewer individual holdings than a diversified fund. Therefore, the Fund is more exposed to individual stock volatility than a diversified fund. Investments in small – and medium-capitalization companies involve additional risks such as limited liquidity and greater volatility.
Mutual fund investing involves risk. Principal loss is possible. The Fund invests in foreign investments and foreign currencies which involve greater volatility and political, economic and currency risks and differences in accounting methods. These risks are greater for emerging markets. Investments in debt securities typically decrease in value when interest rates rise. This risk is usually greater for longer-term debt securities. Investments in small – and medium-capitalization companies involve additional risks such as limited liquidity and greater volatility. Investments in lower-rated and nonrated securities presents a greater risk of loss to principal and interest than higher rated securities. The Fund may make short sales of securities, which involves the risk that losses may exceed the original amount invested. The Fund may invest in derivative securities, which derive their performance from the performance of an underlying asset, index, interest rate or currency exchange rate. Derivatives can be volatile and involve various types and degrees of risks, and, depending upon the characteristics of a particular derivative, suddenly can become illiquid. Derivative contracts ordinarily have leverage inherent in their terms which can magnify the Fund’s potential for gains or losses through increased long and short position exposure. The Fund’s portfolio will be significantly impacted by the performance of the real estate market generally, and the Fund may be exposed to greater risk and experience higher volatility than would a more economically diversified portfolio. Property values may fall due to increasing vacancies or declining rents resulting from economic, legal, cultural, or technological developments. Investments in Limited Partnerships (including master limited partnerships) involve risks different from those of investing in common stock including risks related to limited control and limited rights to vote on matters affecting the Limited Partnership, risks related to potential conflicts of interest between the Limited Partnership and the Limited Partnership’s general partner, cash flow risks, dilution risks and risks related to the general partner’s limited call right. Underlying Funds are subject to management and other expenses, which will be indirectly paid by the Fund. There is no assurance that any hedging strategies utilized by the Fund will successfully provide a hedge to the portfolio’s holdings which could negatively impact Fund performance.
Mutual fund investing involves risk. Principal loss is possible. The Fund invests in foreign investments and foreign currencies which involve greater volatility and political, economic and currency risks and differences in accounting methods. The Fund may make short sales of securities, which involves the risk that losses may exceed the original amount invested. Investing in commodities may subject the Fund to greater risks and volatility as commodity prices may be influenced by a variety of factors including unfavorable weather, environmental factors, and changes in government regulations. The Fund may invest in derivative securities, which derive their performance from the performance of an underlying asset, index, interest rate or currency exchange rate. Derivatives can be volatile and involve various types and degrees of risks, and, depending upon the characteristics of a particular derivative, suddenly can become illiquid. Derivative contracts ordinarily have leverage inherent in their terms which can magnify the Fund’s potential for gains or losses through increased long and short position exposure. The Fund may access derivatives via a swap agreement. A risk of a swap agreement is the risk that the counterparty to the agreement will default on its obligation to pay the Fund. Investments in debt securities typically decrease in value when interest rates rise. This risk is usually greater for longer-term debt securities. Investments in Asset-Backed, Mortgage-Backed, and Collateralized Mortgage-Backed Securities include additional risks that investors should be aware of such as credit risk, prepayment risk, possible illiquidity and default, as well as increased susceptibility to adverse economic developments.
One cannot invest directly in an index.
Alpha – measures the difference between an actual return for a stock or a portfolio and its equilibrium expected return.
Basis Points (bps) – A unit that is equal to 1/100th of 1%, and is used to denote the change in a financial instrument. The basis point is commonly used for calculating changes in interest rates, equity indexes and the yield of a fixed-income security.
Beta – measures the sensitivity of a stock’s return relative to the return of a selected market index. When beta is greater than one, it means a stock will rise or fall more than the market.
CAPE – the cyclically adjusted price-to-earnings ratio is a valuation measure usually applied to the US S&P 500 equity market. It is defined as price divided by the average of ten years of earnings (moving average), adjusted for inflation. As such, it is principally used to assess likely future returns from equities over timescales of 10 to 20 years, with higher than average CAPE values implying lower than average long-term annual average returns.
Consumer price index (CPI) measures inflation by tracking the changes in prices paid by consumers for a basket of goods and services over time.
Convexity – A volatility measure for bonds used in conjunction with its duration in order to measure how a bond’s price will change as interest rates change.
Correlation measures how much the returns of two investments move together over time.
Credit spread – the difference in yield between two bonds of similar maturity but different credit quality. For example, if the 10-year Treasury note is trading at a yield of 6% and a 10-year corporate bond is trading at a yield of 8%, the corporate bond is said to offer a 200-basis-point spread over the Treasury.
Crisis alpha refers to an investment strategy that generates positive returns during periods of high financial stress.
Duration is a commonly used measure of the potential volatility of the price of the debt security, or the aggregate market value of a portfolio of debt securities, prior to maturity. Securities with a longer duration generally have more volatile prices than securities of comparable quality with a shorter duration.
(is a measure of the sensitivity of the price (the value of principal) of a fixed-income investment to a change in interest rates. Duration is expressed as a number of years. Rising interest rates mean falling bond prices, while declining interest rates mean rising bond prices.)
Environmental, Social, and Governance (ESG) investing is the consideration of environmental, social, and governance factors in the investment decision-making process.
Excess returns are investment returns from a security or portfolio that exceed a benchmark or index with a similar level of risk. It is widely used as a measure of the value added by the portfolio or investment manager, or the manager’s ability to “beat the market.” Also known as alpha.
Foreign Exchange (FX) Market is an over-the-counter global marketplace that determines the exchange rate for currencies around the world.
Information Ratio – measures portfolio management’s performance against risk and return relative to a benchmark.
Liquidity is the ability to convert an asset to cash quickly. Also known as marketability.
Margin-to-equity ratio indicates what percentage of a CTA managed account is posted as margin, on average. Essentially, it tells us how much money they have tied up in margin at any given point in time relative to the nominal investment amount.
Margin of safety is a principle of investing in which an investor only purchases securities when the market price is significantly below its intrinsic value. In other words, when market price is significantly below your estimation of the intrinsic value, the difference is the margin of safety. This difference allows an investment to be made with minimal perceived downside risk.
Market capitalization (market cap) is the total market value of the shares outstanding of a publicly traded company; it is equal to the share price times the number of shares outstanding.
Max drawdown is an indicator of the risk of a portfolio chosen based on a certain strategy. It measures the largest single drop from peak to bottom in the value of a portfolio (before a new peak is achieved).
Median Market Cap is the midpoint of market capitalization (market price multiplied by the number of shares outstanding) of the stocks in a portfolio.
Option-adjusted spread (OAS) is the yield spread which has to be added to a benchmark yield curve to discount a security’s payments to match its market price, using a dynamic pricing model that accounts for embedded options.
Portfolio turnover is a measure of how frequently assets within a fund are bought and sold by the managers. Portfolio turnover is calculated by taking either the total amount of new securities purchased or the amount of securities sold (whichever is less) over a particular period, divided by the total net asset value (NAV) of the fund. The measurement is usually reported for a 12-month time period. Portfolios that turn over at high rates generate large capital gains distributions. Investors focused on after-tax returns may be adversely affected by taxes levied against realized gains.
Private Placement an offering of unregistered securities to a limited pool of investors.
Quantitative easing refers to the Federal Reserve’s purchases of large quantities of Treasury securities and mortgage-backed securities issued by government-sponsored enterprises and federal agencies to achieve its monetary policy objectives.
R-Squared – statistical measure that represents the percentage of a fund or security’s movements that can be explained by movements in a benchmark index.
Reformulated Gasoline Blendstock for Oxygen Blending (RBOB) is the term given to unleaded gas futures.
Sharpe Ratio – measures the amount by which a set of values differs from the arithmetical mean, equal to the square root of the mean of the differences’ squares.
Spread Trading is the simultaneous purchase of one security and sale of a related security, called legs, as a unit. Spread trades are usually executed with options or futures contracts as the legs, but other securities are sometimes used.
Standard Deviation – The statistical measurement of dispersion about an average, which depicts how widely a portfolio’s returns varied over a certain period of time. When a portfolio has a high standard deviation, the predicted range of performance is wide, implying greater volatility.
Tracking Error – also known as the standard deviation of excess returns (both positive and negative), is a statistical measure of volatility and indicates ‘risk’ relative to a stated benchmark. A high Tracking Error indicates greater risk (but not necessarily greater return) relative to the stated benchmark.
Up/Down Capture vs. Market – Up Capture compares an investment’s performance against its benchmark during periods when the benchmark’s performance is positive, while Down Capture compares the investment’s performance against the benchmark during periods when the benchmark’s performance is negative. A value of greater than 100% indicates that the investment captured more return than the benchmark (this is a positive for Up Capture, however, a negative for Down Capture). Conversely, a value less than 100% means the investment captured less return than its benchmark (a positive for Down Capture, but a negative for Up Capture).
Value at risk (VaR) is a statistical technique used to measure and quantify the level of financial risk within a firm or investment portfolio over a specific time frame.
VIX is the Chicago Board Options Exchange (CBOE) Volatility Index, which shows the market’s expectation of 30-day volatility. It is constructed using the implied volatilities of a wide range of S&P 500 index options. This volatility is meant to be forward looking, is calculated from both calls and puts, and is a widely used measure of market risk, often referred to as the “investor fear gauge.”
Volatility represents Standard Deviation – the statistical measurement of dispersion about an average, which depicts how widely a portfolio’s returns varied over a certain period of time. When a portfolio has a high standard deviation, the predicted range of performance is wide, implying greater volatility.
Weighted Average Market Capitalization – a stock market index weighted by the market capitalization of each stock in the index. In such a weighting scheme, larger companies account for a greater portion of the index. Most indexes are constructed in this manner, with the best example being the S&P 500.
Basis Point – a unit that is equal to 1/100th of 1% and is used to denote the change in a financial instrument.
Book Value (BV) – the net asset value of a company, calculated by subtracting total liabilities from total assets.
Calendar Spread: an options or futures spread established by simultaneously entering a long and short position on the same underlying asset at the same strike price, but with different delivery months. Sometimes referred to as an inter-delivery, intra-market, time, or horizontal spread.
Call Spread is an options trading strategy designed to benefit from a stock’s limited increase in price by using two call options – selling a lower strike price and buying an upper strike price, which limits the gains or losses from the strategy.
Cash Flow – measures the cash generating capability of a company by adding non-cash charges (e.g. depreciation) and interest expense to pretax income.
Correlation measures how much the returns of two investments move together over time.
Debt/Capital (D/C) – measures a company’s capital structure, financial solvency, and degree of leverage, at a particular point in time.
Drawdown is the peak-to-trough decline for a specific recorded period. Maximum Drawdown is the worst peak to valley loss since an investment’s inception.
Free Cash Flow – revenue less operating expenses including interest expenses and maintenance capital spending. It is the discretionary cash that a company has after all expenses and is available for purposes such as dividend payments, investing back into the business or share repurchases.
Inflation – is a measure of how fast prices of goods and services are rising.
LIBOR or ICE LIBOR (previously BBA LIBOR) is a benchmark rate that some of the world’s leading banks charge each other for short-term loans. It stands for Intercontinental Exchange London Interbank Offered Rate and serves as the first step to calculating interest rates on various loans throughout the world.
Price/Cash Flow (P/CF) – compares a company’s market value to its cash flow.
Price/Book (P/B) – compares a company’s book value to its current market price.
Price-to-earnings (P/E) Ratio – is the ratio for valuing a company that measures its current share price relative to the earnings per share (EPS).
Price to Sales Ratio (P/S) – a tool for calculating a stock’s valuation relative to other companies, calculated by dividing a stock’s current price by its revenue per share.
Return on Equity (ROE) – measures the company’s profitability by revealing how much profit a company generates with the money shareholders have invested.
Spread – In the manager’s view, the value proposition of the portfolio is extremely attractive right now because the average holding is trading far below its highs of the past three years, and the difference between the portfolio’s current yield and that of traditional bond indexes is close to its highest historical levels.
10-Year Treasury Constant Maturity Bond Index is an index published by the Federal Reserve Board based on the average yield of a range of Treasury securities, all adjusted to the equivalent of a 10-year maturity.
Alerian MLP Index is a market-cap weighted, float-adjusted index created to provide a comprehensive benchmark for investors to track the performance of the energy MLP sector.
Alerian MLP Closed End Fund Index is a composite of Master Limited Partnership (MLP) closed-end funds electing to be treated as a corporation for federal income tax purposes. The equal-weighted index is disseminated real-time on a price-return basis (AMCI) and on a total-return basis (AMCIX).
BofA Merrill Lynch High Yield Index – The BofA Merrill Lynch Option-Adjusted Spreads (OASs) are the calculated spreads between a computed OAS index of all bonds in a given rating category and a spot Treasury curve. An OAS index is constructed using each constituent bond’s OAS, weighted by market capitalization. The BofA Merrill Lynch High Yield Master II OAS uses an index of bonds that are below investment grade (those rated BB or below).
BofA Merrill Lynch 3-Month T-Bill Index tracks the performance of the U.S. dollar denominated U.S. Treasury Bills publicly issued in the U.S. domestic market with a remaining term to final maturity of less than 3 months.
Barclay CTA Index is an equally weighted index which attempts to measure the performance of the Commodity Trading Advisor (“CTA”) industry. The Index measures the combined performance of all CTAs reporting to Barclay Trading Group who have more than 4 years past performance. Fees and transaction costs are reflected.
Barclay BTOP50 Index seeks to replicate the overall composition of the managed futures industry with regard to trading style and overall market exposure. The BTOP50 employs a top-down approach in selecting its constituents. The largest investable trading advisor programs, as measured by assets under management, are selected for inclusion in the BTOP50. In each calendar year the selected trading advisors represent, in aggregate, no less than 50% of the investable assets of the Barclay CTA Universe.
Barclays Long Term Treasury Index is an unmanaged benchmark index of all publicly issued debt of agencies of the U.S. government, quasi-federal corporations and corporate debt guaranteed by the U.S. government, with maturities ranging from 10 to 30 years.
Barclays U.S. Treasury TIPS Index the performance of the US Treasury Inflation Protected Securities (“TIPS”) market. The index includes TIPS with one or more years remaining maturity with total outstanding issue size of $500m or more.
Barclays Capital U.S. Aggregate Bond Index is the most common index used to track the performance of investment grade bonds in the United States.
Barclays 5-Year Muni Index is an unmanaged index of long-term, fixed-rate, investment-grade, tax-exempt bonds representative of the municipal bond market.
Barclays Global High-Yield Index provides a broad-based measure of the global high-yield fixed income markets. The Global High-Yield Index represents that union of the U.S. High-Yield, Pan-European High-Yield, U.S. Emerging Markets High-Yield, CMBS High-Yield, and Pan-European Emerging Markets High-Yield Indices.
Barclays 1-3 Year Government Bond Index is a broad measure of the performance of short-term government bonds. Please note an investor cannot invest directly in an index.
Barclays U.S. Corporate High Yield Bond Index is a market value-weighted index, which covers the U.S. non-investment grade fixed-rate debt market. The index is composed of U.S. dollar-denominated corporate debt in Industrial, Utility, and Finance sectors with a minimum $150 million par amount outstanding and a maturity greater than 1 year. The index includes reinvestment of income.
BBbBarc US 1-5Y GovCredit FlAdj Tr USD – This index includes all medium and larger issues of U.S. government, investment-grade corporate, and investment-grade international dollar-denominated bonds that have maturities of between 1 and 5 years and are publicly issued.
Bloomberg Commodity Index (BCOM) is a broadly diversified commodity price index distributed by Bloomberg Indexes. The index was originally launched in 1998 as the Dow Jones-AIG Commodity Index (DJ-AIGCI) and renamed to Dow Jones-UBS Commodity Index (DJ-UBSCI) in 2009, when UBS acquired the index from AIG.
Bloomberg Global-Aggregate Total Return Index is a flagship measure of global investment grade debt from twenty-four local currency markets. This multi-currency benchmark includes treasury, government-related, corporate and securitized fixed-rate bonds from both developed and emerging markets issuers.
Bloomberg U.S. Aggregate Bond Index is a broad-based bond index comprised of government, corporate, mortgage and asset-back issues rated investment grade or higher.
Bloomberg US Corporate High Yield Bond Index measures the USD-denominated, high yield, fixed-rate corporate bond market. Securities are classified as high yield if the middle rating of Moody’s, Fitch and S&P is Ba1/BB+/BB+ or below.
CAC 40 Index is a French stock market index that represents a capitalization-weighted measure of the 40 most significant values among the 100 highest market caps on the Euronext Paris.
CASAM CISDM CTA Asset Weighted Index is a dollar weighted, actively managed benchmark index of Commodity Trading Advisor (“CTA”) performance utilized by numerous CTAs as a benchmark for their own managed futures funds.
Consumer Price Index measures the variation in prices paid by typical consumers for retail goods and other items.
CISDM Equity Long/Short Index demonstrates the median return of hedge funds with long and/or short directional strategies in equities. Such hedge funds typically take long or short positions in equities and may simultaneously use hedging strategies with futures and options. Only hedge funds that have reported net returns for the particular month are included in the index calculation.
CISDM CTA Equal Weighted Index is designed to broadly represent the performance of all CTA programs in the Morningstar database that meet the inclusion requirements. -or- Demonstrates the average return of commodity trading advisors in the Morningstar CISDM database. Only CTAs that have reported net returns for the particular month are included in the index calculation.
CISDM Funds of Funds Index demonstrates the median return of funds of funds that invest in multiple managers with a variety of fund strategies. Only funds that have reported net returns for that particular month are included in the index calculation.
Credit Suisse Multi-Strategy Hedge Fund Index is a subset of the Credit Suisse Hedge Fund Index that measures the aggregate performance of multi-strategy funds. Multi-strategy funds typically are characterized by their ability to allocate capital based on perceived opportunities among several hedge fund strategies. Through the diversification of capital, managers seek to deliver consistently positive returns regardless of the directional movement in equity, interest rate or currency markets. The added diversification benefits may reduce the risk profile and help to smooth returns, reduce volatility and decrease asset-class and single-strategy risks. Strategies adopted in a multi-strategy fund may include, but are not limited to, convertible bond arbitrage, equity long/short, statistical arbitrage and merger arbitrage.
Credit Suisse Commodity Benchmark Index is an unmanaged commodity index composed of futures contracts on 30 physical commodities. These commodities were chosen based on world production levels, sufficient open interest and volume of trading.
DAX Index is a blue chip stock market index consisting of the 30 major German companies trading on the Frankfurt Stock Exchange.
Dow Jones Industrial Average (DJIA) is a price-weighted average of 30 significant stocks traded on the New York Stock Exchange and the Nasdaq.
Dow Jones EURO STOXX 50 Index is a market capitalization-weighted stock index of 50 large, blue-chip European companies operating within eurozone nations.
Dow Jones Credit Suisse Managed Futures Hedge Fund Index measures the aggregate performance of dedicated short bias funds. (Managed futures funds (often referred to as CTAs or Commodity Trading Advisors) typically focus on investing in listed bond, equity, commodity futures and currency markets, globally. Managers tend to employ systematic trading programs that largely rely upon historical price data and market trends. A significant amount of leverage may be employed since the strategy involves the use of futures contracts. CTAs tend not to have a particular bias towards being net long or net short any particular market.)
Dow Jones-UBS Commodity Index (DJ-UBSCISM) is a broadly diversified index that allows investors to track commodity futures through a single, simple measure. The DJ-UBSCISM is composed of futures contracts on physical commodities. It is published on Bloomberg and Reuters. The index is designed to minimize concentration in any one commodity or sector. It currently includes 19 commodity futures in five groups. No one commodity can comprise less than 2% or more than 15% of the index, and no group can represent more than 33% of the index (as of the annual re-weightings of the components).
Dow Jones EURO STOXX 50 is a market capitalization-weighted stock index of 50 large, blue-chip European companies operating within eurozone nations. The universe for selection is found within the 18 Dow Jones EURO STOXX Supersector indexes, from which members are ranked by size and placed on a selection list.
EAFE Index was created by Morgan Stanley Capital International (MSCI) that serves as a benchmark of the performance in major international equity markets as represented by 21 major MSCI indexes from Europe, Australia and Southeast Asia.
Emerging Markets Index is a float-adjusted market capitalization index that consists of indices in 21 emerging economies: Brazil, Chile, China, Colombia, Czech Republic, Egypt, Hungary, India, Indonesia, Korea, Malaysia, Mexico, Morocco, Peru, Philippines, Poland, Russia, South Africa, Taiwan, Thailand, and Turkey.
FTSE NAREIT US Real Estate Index is designed to present investors with a comprehensive family of REIT performance indexes that span the commercial real estate space across the US economy, offering exposure to all investment and property sectors. In addition, the more narrowly focused property sector and sub-sector indexes provide the facility to concentrate commercial real estate exposure in more selected markets.
FTSE NAREIT All Equity REITs Index is a free-float adjusted, market capitalization-weighted index of all U.S. Equity REITs (Real Estate Investment Trusts).
FTSE 100 Index (Financial Times Stock Exchange) is a share index of the 100 companies listed on the London Stock Exchange with the highest market capitalization.
Goldman Sachs Commodity Index (GSCI) is now S&P GSCI Commodity Index – see below
Hang Seng Index (HSI) is a free float-adjusted market capitalization-weighted stock market index in Hong Kong. It is used to record and monitor daily changes of the largest companies of the Hong Kong stock market and is the main indicator of the overall market performance in Hong Kong.
HFRI Equity Hedge (Total) Index is a fund-weighted index of select hedge funds focusing on Equity Hedge strategies. Equity Hedge investing consists of a core holding of long equities hedged at all times with short sales of stocks and/or stock index options.
HFRI Macro Commodity Index consists of Investment Managers which trade both systematic and discretionary commodity strategies. Systematic commodity strategies typically have investment processes that employ mathematical, algorithmic and technical models, with little or no influence of individuals over the portfolio positioning. Discretionary commodity strategies typically have investment processes that are reliant on the fundamental evaluation of market data, relationships and influences as they pertain to commodity markets.
HFRX Equity Hedge Index encompasses various equity hedge strategies, also known as long/short equity, that combine core long holdings of equities with short sales of stock, stock indices, related derivatives, or other financial instruments related to the equity markets. Net exposure of equity hedge portfolios may range anywhere from net long to net short depending on market conditions. It is constructed using robust filtering, monitoring and quantitative constituent selection process using the Hedge Fund Research database (HFR Database), an industry standard for hedge fund data.
IA SBBI U.S. Long-Term Government TR Index measures the performance of a single issue of outstanding US Treasury bond with a maturity term of around 21.5 years. It is calculated by Morningstar and the raw data is from The Wall Street Journal.
IA SBBI U.S. Large Stock TR Index tracks the monthly return of the S&P 500. The history data from 1926 to 1969 is calculated by Ibbotson.
ICE U.S. Dollar Index (USDX) futures contract is a leading benchmark for the international value of the US dollar and the world’s most widely-recognized traded currency index. In a single transaction the USDX enables market participants to monitor moves in the value of the US dollar relative to a basket of world currencies, as well as hedge their portfolios against the risk of a move in the dollar. US Dollar Index futures are traded for 21 hours a day on the ICE platform.
iShares Global Utilities Index seeks to track the investment results of an index composed of global equities in the utilities sector. The Index includes electric, gas or water utilities, or companies that operate as independent producers and/or distributors of power.
iShares Mortgage Real Estate Capped Index tracks a portfolio of mortgage real estate investment trusts (Mortgage REITs). Mortgage REITs are financial firms that engage in arbitrage on the spread between the short-term interest rate and income from mortgage-backed securities.
Long-Term Average Rate, “LT>25,” was the arithmetic average of the bid yields on all outstanding fixed-coupon securities (i.e., excluding Inflation-Indexed securities) with 25 years or more remaining to maturity. This series first appeared on February 19, 2002, following discontinuation of the 30-year Treasury constant maturity series. Subsequently, the “LT>25” average was discontinued on June 1, 2004.
Market Vectors U.S. Business Development Companies Index (MVBIZDTG) is a rules-based index intended to track the overall performance of publicly traded Business Development Companies (BDCs)
Market Vectors Mortgage REITs Index is a rules-based index intended to track the overall performance of publicly traded mortgage REITs.
Morgan Stanley Cushing MLP High Income Index is a criteria-weighted index tracking the performance of 30 Mater Limited Partnerships (MLPs), which hold energy and shipping assets in North America.
Morgan Stanley Capital International EAFE Index is a capitalization weighted unmanaged benchmark index that is designed to measure the investment returns of developed economies outside North America. The index includes publicly traded stocks from 21 countries that are divided into industry groups and then representative stocks are selected from each industry group. This index includes net dividends.
Morningstar Global Long/Short Equity Index uses historical fund data dating back to the fund’s inception. Funds that have been liquidated or merged are included in analysis. The inception of the index is determined by the date at which the benchmark obtains five or more constituents, without falling below two constituents going forward. It includes funds with exposure to long and short positions in global equities or derivatives and is equally weighted.
Morningstar Long/Short Commodity Index is a fully collateralized commodity futures index that uses the momentum rule to determine if each commodity is held long, short, or flat.
Morningstar Long/Short Equity Category is an average monthly return of all funds in the Morningstar Long-Short Equity Category. The category contains a universe of funds with similar investment objectives and investment style, as defined by Morningstar. Performance of the indices and Morningstar Category Average is generated on the first business day of the month.
Morningstar Systematic Trend Category – these funds typically take long and short positions in futures options, swaps, and foreign exchange contracts, both listed and over-the-counter, based on market trends or momentum. (A long position is a bet an investment will gain in value, while a short position is a bet that an investment will decline in value.) A majority of these funds follow trend-following, price-momentum strategies. Other strategies included in this category are systematic mean-reversion, discretionary global macro strategies, commodity index tracking, and other futures strategies. More than 60% of these funds’ exposure is invested through derivative securities.
Morningstar MLP Composite Index is a diversified, distribution-dollar weighted index that targets the top 97% of publicly trading energy master limited partnerships by float market capitalization.
Morningstar Moderate Allocation Category Average Index represents an average of all of the funds in the Morningstar Moderate Allocation category.
Morningstar Multialternative Category – the category funds will use a combination of alternative strategies such as taking long and short positions in equity and debt, trading futures, or using convertible arbitrage, among others. Funds in this category have a majority of their assets exposed to alternative strategies and include both funds with static allocations to alternative strategies and funds tactically allocating among alternative strategies and asset classes.
Morningstar U.S. All Fixed income Closed-End Funds Index represents all fixed income closed-end funds within the Morningstar database.
Morningstar U.S. REIT Index is a free-float weighted index that tracks the performance of publicly listed Real Estate Investment Trusts (REITs).
MSCI EAFE Index was designed to measure the equity market performance of developed markets outside of the U.S. & Canada.
MSCI Emerging Markets Index is designed to measure equity market performance in global emerging markets. (An index created by Morgan Stanley Capital International (MSCI))
MSCI US REIT Index is a free float market capitalization weighted index that is comprised of Equity REITs securities that belong to the MSCI US Investable Market 2500 Index.
MSCI World Index is a market capitalization weighted index designed to provide a broad measure of equity-market performance throughout the world.
NASDAQ Composite Index is a stock market index of the common stocks and similar securities listed on the NASDAQ stock market. Along with the Dow Jones Average and S&P 500, it is one of the three most-followed indices in U.S. stock markets. The composition of the NASDAQ Composite is heavily weighted towards information technology companies.
NASDAQ is a computerized system that facilitates trading and provides price quotations on more than 5,000 of the more actively traded over the counter stocks.
Newedge Commodity Trading Index is a broad-based performance measure for constituents that trade commodity-related strategies. [Commodity funds utilize a variety of investment strategies to profit from price moves in commodity markets. In order to be eligible for inclusion as a constituent program, individual programs must predominately trade a relevant Commodity strategy, provide monthly performance data, and have AUM greater than USD 30 million.]
Newedge CTI Index is the equal weighted performance of a broad base of commodity programs.
Nikkei 225 Index, the leading and most-respected index of Japanese stocks. It is a price-weighted index comprised of Japan’s top 225 blue-chip companies traded on the Tokyo Stock Exchange. The Nikkei is equivalent to the Dow Jones Industrial Average Index in the United States.
Nikkei Index is a stock market index for the Tokyo Stock Exchange (TSE). It is a price-weighted index, and the components are reviewed once a year. Currently, the Nikkei is the most widely quoted average of Japanese equities, similar to the Dow Jones Industrial Average.
Russell 1000 Growth Index refers to a composite that includes large and mid-cap companies located in the United States that also exhibit a growth probability. The Russell 1000 Growth is published and maintained by FTSE Russell.
Russell 1000 Index is a stock market index that represents the highest-ranking 1,000 stocks in the Russell 3000 Index, which represents about 90% of the total market capitalization of that index.
Russell 1000 Value Index refers to a composite of large and mid-cap companies located in the United States that also exhibit a value probability. The Russell 1000 Value is published and maintained by FTSE Russell.
Russell 2000 Index measures the performance of approximately 2,000 small-cap companies in the Russell 3000 Index, which is made up of 3,000 of the biggest U.S. stocks. The Russell 2000 serves as a benchmark for small-cap stocks in the United States.
Russell 3000 Growth Index is a market capitalization-weighted index based on the Russell 3000 index. The Russell 3000 Growth Index includes companies that display signs of above-average growth. The index is used to provide a gauge of the performance of growth stocks in the United States.
Russell 3000 Value Index is a market-capitalization weighted equity index maintained by the Russell Investment Group and based on the Russell 3000 Index, which measures how U.S. stocks in the equity value segment perform by including only value stocks. Included in the Russell 3000 Value Index are stocks from the Russell 3000 Index with lower price-to-book ratios and lower expected growth rates. This value index can be contrasted with the Russell 3000 Growth Index.
S&P 400 Total Return Index serves as a barometer for the U.S. mid-cap equities sector and is the most widely followed mid-cap index in existence.
S&P 500 Developed Ex-U.S. BMI Index – a member of the S&P Global BMI series, the S&P Developed Ex-U.S. BMI is a comprehensive benchmark including stocks from developed markets excluding the United States.
S&P 500 Price Return Index is a capitalization weighted unmanaged benchmark index that includes the stocks of 500 large capitalization companies in major industries. This price return index includes net dividends and is calculated by adding an indexed dividend return to the index price change for a given period.
S&P 500 Total Return Index is a capitalization weighted unmanaged benchmark index that includes the stocks of 500 large capitalization companies in major industries. This total return index includes net dividends and is calculated by adding an indexed dividend return to the index price change for a given period.
S&P 500 U.S. Preferred Stock Index is an unmanaged index consisting of U.S.-listed preferred stocks.
S&P 600 Total Return Index covers roughly the small-cap range of U.S. stocks, using a capitalization-weighted index.
S&P BDC Index is designed to track leading business development companies that trade on major U.S. exchanges.
S&P Developed Ex-U.S. BMI Index is a comprehensive benchmark including stocks from developed markets excluding the United States.
S&P Developed REIT Index consists of all real estate investment trusts in developed markets.
S&P Emerging BMI Index captures all companies domiciled in the emerging markets within the S&P Global BMI with a float-adjusted market capitalization of at least USD 100 million and a minimum annual trading liquidity of USD 50 million. The index is segmented by country/region, size (large, mid and small), style (value and growth), and GICS (sectors/industry groups).
S&P Emerging Markets Index serves as an alternative to traditional market capitalization weighted benchmarks for investors seeking more balanced country and sector weightings and less exposure to developed market economies.
S&P Global Property index defines and measures the investable universe of publicly traded property companies. With more than 450 constituents from more than 30 countries, the index is ideal for a range of investing activities, including benchmarking active funds and setting the foundation for passive funds.
S&P Global Property index family consists of property and property-related indices, most notably the S&P Global Property and the S&P Developed REIT indices. The S&P Global Property index includes both developed and emerging markets; whereas the Developed REIT index is limited to developed markets only. Companies included in these indices are involved in a wide range of real estate-related activities, such as property management, development, rental, and investment. The REIT index, in particular, includes property trusts that invest in physical assets and other pass-through vehicles. The S&P Global Property Index constituents are drawn from the S&P Global Equity Index series, which is rules-based, with consistent standards that cover all available investments in a broad asset class.
S&P GSCI Commodity Index is a composite index of commodity sector returns representing an unleveraged, long-only investment in commodity futures that is broadly diversified across the spectrum of commodities.
S&P 500® High Yield Corporate Bond Index, a subindex of the S&P 500 Bond Index, seeks to measure the performance of U.S. corporate debt issued by constituents in the S&P 500 with a high-yield rating. The S&P 500 Bond Index is designed to be a corporate-bond counterpart to the S&P 500, which is widely regarded as the best single gauge of large-cap U.S. equities.
S&P MLP Index is designed to provide exposure to leading partnerships that trade on major U.S. exchanges and are classified in the GICS Energy Sector and GICS Gas Utilities Industry. The S&P MLP Index includes both master limited partnerships and publicly traded limited liability companies which have a similar legal structure to MLPs and share the same tax benefits as MLPs.
S&P Municipal Bond TR – The S&P Municipal Bond Index is a broad, market value-weighted index that seeks to measure the performance of the U.S. municipal bond market.
S&P U.S. REIT Index defines and measures the investable universe of publicly traded real estate investment trusts domiciled in the United States.
S&P/Case-Shiller Home Price Index is the leading measures for the U.S. residential housing market, tracking changes in the value of residential real estate both nationally as well as in 20 metropolitan regions.
SG CTA Index provides the market with a reliable daily performance benchmark of major commodity trading advisors (CTAs). The SG CTA Index calculates the daily rate of return for a pool of CTAs selected from the larger managers that are open to new investment.
SG CTA Trend Sub-Index is a subset of the SG CTA Index, and follows traders of trend following methodologies. The SG CTA Index is equal weighted, calculates the daily rate of return for a pool of CTAs selected from the larger managers that are open to new investment.
SG Commodity Trading Index’s (CTI) objective is to accurately represent on a strategy specific basis the performance of all the trading strategies, whether available through either onshore or offshore fund structures, as well as Managed Accounts that are reported to the Statistical Reporting team of SG Prime Services Indices. Performance is calculated on a monthly basis with data provide directly by the constituent fund managers, using an equal weighted methodology. SG CTI includes funds that utilize a variety of investment strategies to profit from price move in commodity markets. Managers may typically use either: (i) a trading orientated approach, typically involving the trading of physical commodity products and/or commodity derivative instruments in either directional or relative value strategies; or (ii) Long short equity strategies focused on commodity related stocks.
Shanghai Composite Index (SSE) is a stock market index of all stocks (A shares and B shares) that are traded at the Shanghai Stock Exchange.
S-Network Composite Closed-End Fund Index is a rules-based index intended to give investors a means of tracking the overall performance of a global universe of U.S.-listed closed-end funds. CEFX is reconstructed on a quarterly basis from a universe of approximately 350 closed-end funds.
SPDR Wells Fargo Preferred Stock ETN (Wells Fargo Hybrid and Preferred Securities Aggregate Index) is a modified market capitalization weighted index composed of preferred stock and securities that are functionally equivalent to preferred stock including but not limited to, depositary preferred securities, perpetual subordinated debt and certain securities issued by banks and other financial institutions that are eligible for capital treatment with respect to such instruments akin to that received for issuance of straight preferred stock.
TOPIX Index (Tokyo Stock Price Index) is an important stock market index for the Tokyo Stock Exchange (TSE) in Japan, tracking all domestic companies of the exchange’s First Section.
Treasury Long-Term Average Rate and Extrapolation Factors. Beginning February 18, 2002, Treasury ceased publication of the 30-year constant maturity series. Instead, from February 19, 2002 through May 28, 2004, Treasury published a Long-Term Average Rate, “LT>25,” (not to be confused with the Long-Term Composite Rate, definitions below). In addition, Treasury published daily linear extrapolation factors that could be added to the Long-Term Average Rate to allow interested parties to compute an estimated 30-year rate. On June 1, 2004, Treasury discontinued the “LT>25” average due to a dearth of eligible bonds. In place of the “LT>25” average, Treasury published the Treasury 20-year Constant Maturity rate on this page along with an extrapolation factor that was added to the 20-year Constant Maturity to obtain an estimate for a theoretical 30-year rate. On February 9, 2006, Treasury reintroduced the 30-year constant maturity and is no longer publishing the extrapolation factor.
U.S. 10-Year Treasury is a debt obligation issued by the United States government that matures in 10 years.
U.S. Dollar Index (USDX) is a measure of the value of the U.S. dollar relative to the value of a basket of currencies of the majority of the U.S.’s most significant trading partners. This index is similar to other trade-weighted indexes, which also use the exchange rates from the same major currencies.
UBS E-TRACS Wells Fargo BDC ETN Index is a float adjusted, capitalization-weighted index that is intended to measure the performance of all Business Development Companies (BDCs) that are listed on the New York Stock Exchange or NASDAQ and satisfy specified market capitalization and other eligibility requirements.
VIX Index is the Chicago Board Options Exchange Volatility Index, which shows the 30-day volatility expectations of the S&P 500 Index. The VIX is a widely used measure of market risk and is often referred to as the “investor fear gauge.”
Wells Fargo Business Development Company Index a float adjusted, capitalization-weighted Index that is intended to measure the performance of all Business Development Companies that are listed on the New York Stock Exchange or NASDAQ and satisfy specified market capitalization and other eligibility requirements. To qualify as a BDC, the company must be registered with the Securities and Exchange Commission and have elected to be regulated as a BDC under the Investment Company Act of 1940.
Wilshire Business Development Company Index measures the performance of publicly-traded Business Development Company securities (BDCs) that focus on debt financing of small, developing and financially troubled companies.
Yorkville Royalty Trust Universe Index is a market capitalization weighted index, consisting of the entire universe of royalty trusts.
Master Limited Partnership (MLP) is a limited partnership that is publicly traded on a securities exchange. It combines the tax benefits of a limited partnership with the liquidity of publicly traded securities. There are two types of partners in this type of partnership: The limited partner is the person or group that provides the capital to the MLP and receives periodic income distributions from the MLP’s cash flow, whereas the general partner is the party responsible for managing the MLP’s affairs and receives compensation that is linked to the performance of the venture.
Real Estate Investment Trust (REIT) is a company that owns, and in most cases, operates income-producing real estate. REITs own many types of commercial real estate, ranging from office and apartment buildings to warehouses, hospitals, shopping centers, hotels and even timberlands. Some REITs also engage in financing real estate. The REIT structure was designed to provide a real estate investment structure similar to the structure mutual funds provide for investment in stocks.
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