Index Definitions
Indices are unmanaged, are not available for direct investment, and are not subject to management fees, transaction costs or other types of expenses that an account may incur. Indices performance results do not represent, and are not necessarily indicative of, the results that may be achieved in accounts investing in the corresponding investment strategy; actual account returns may vary significantly. Definitions for indices are below.
The Bloomberg Global Aggregate ex-U.S. Index measures the
performance of global investment grade fixed-rate debt markets that excludes
USD-dominated securities.
The Bloomberg Intermediate Aggregate Bond Index measures the
performance of investment grade, U.S. dollar-denominated, fixed-rate taxable
securities with maturities of 1-10 years, including Treasuries,
government-related and corporate securities, MBS (agency fixed-rate and hybrid
ARM passthroughs), ABS, and CMBS.
The Bloomberg U.S. Aggregate Index is a broad-based
benchmark that measures the investment grade, U.S. dollar-denominated,
fixed-rate taxable bond market. The index includes Treasuries,
government-related and corporate securities, MBS (agency fixed-rate and hybrid
ARM pass-throughs), ABS and CMBS (agency and nonagency).
The Bloomberg U.S. Corporate 10+ Year Index measures the
performance of the investment grade, USD-denominated, fixed-rate, taxable
corporate bond market securities with maturities of 10 years and greater.
The Bloomberg U.S. Corporate 1-3 Year Index measures the
performance of investment grade securities which are selected by a market value
process with maturity of 1-3 years. The index includes publicly issued
USD-denominated corporate issues that have a remaining maturity of greater than
or equal to 1 year and less than 3 years, are rated investment grade (must be
Baa3/BBB-or higher using the middle rating of Moody›s Investor Service, Inc.,
Standard & Poor›s, and Fitch Rating), and have $250 million or more of
outstanding face value.
The Bloomberg U.S. Corporate High Yield Index measures the
performance of USD-denominated, non-investment grade, fixed rate, taxable
corporate bonds, including corporate bonds, fixed-rate bullet, putable, and
callable bonds, SEC Rule 144A securities, Original issue zeroes, Pay-in-kind
(PIK) bonds, Fixed-rate and fixed to-floating capital securities.
The Bloomberg U.S. Corporate Index measures the investment
grade, fixed-rate, taxable corporate bond market. It includes USD denominated
securities publicly issued by US and non-US industrial, utility and financial
issuers.
The Bloomberg U.S. Credit Index measures the investment
grade, US dollar-denominated, fixed-rate, taxable corporate and government
related bond markets. It is composed of the US Corporate Index and a
non-corporate component that includes foreign agencies, sovereigns,
supranationals and local authorities.
The Bloomberg U.S. Intermediate Government/Credit Index is
an unmanaged index based on all publicly issued intermediate government and
corporate debt securities with maturities of 1-10 years and represent the
investment grade, U.S. dollar-denominated, fixed-rate, taxable corporate and
government related bond markets.
The Bloomberg U.S. MBS Index measures the performance of the
agency mortgage-backed pass-through securities (both fixed-rate and hybrid ARM)
issued by Ginnie Mae (GNMA), Fannie Mae (FNMA), and Freddie Mac (FHLMC).
The CBOE Volatility Index (VIX) is a calculation designed to
produce a measure of constant, 30-day expected volatility of the U.S. stock
market, derived from real-time, mid-quote prices of S&P 500 Index (SPX) call
and put options.
The Consumer Price Index (CPI) is a measure of the average
change over time in the prices paid by urban consumers for a market basket of
consumer goods and services.
The Employment Cost Index, published quarterly by the Bureau
of Labor Statistics, details the growth of total employee compensation.
The Goldman Sachs Financial Conditions Index is a weighted
average of riskless interest rates, the exchange rate, equity valuations, and
credit spreads, with weights that correspond to the direct impact of each
variable on GDP.
The ICE BofA 3-Month
U.S. Treasury Bill Index is an unmanaged index that measures returns of three
month U.S. Treasury Bills.
The ICE BofA 1 Year U.S. Treasury Bill Index is comprised of
a single issue purchased at the beginning of the month and held for a full
month. At the end of the month that issue is sold and rolled into a newly
selected issue. The issue selected at each month end rebalancing is the
outstanding Treasury Bill that matures closest to, but not beyond, 1 year from
the rebalancing date. To qualify for selection, an issue must have settled on
or before the month-end rebalancing date.
The ICE BofA 1-3 Year U.S. Corporate & Government Index
measures publicly issued U.S. Treasury debt, U.S. Government agency debt,
taxable debt issued by U.S. states and territories and their political
subdivisions, debt issued by U.S. and non-U.S. corporations, and non-U.S.
government debt and supranational debt.
The ICE BofA 1-5 Year Corporate & Government Index
measures publicly issued U.S. Treasury debt, U.S. Government agency debt,
taxable debt issued by U.S. states and territories and their political subdivisions,
debt issued by U.S. and non-U.S. corporations, and non-U.S. government debt and
supranational debt.
The ICE BofA 3-6 Month U.S. Treasury Bill Index measures the
performance of Treasury bills with time to maturity of 3-6 months.
The ICE BofAML MOVE Index is a yield curve weighted index of
the normalized implied volatility on 1-month Treasury options which are
weighted on the 2-, 5-, 10-, and 30-year contracts.
The Personal Consumption Expenditures Price (PCE) Index
reflects changes in the prices of goods and services purchased by consumers in
the United States. Quarterly and annual data are included in the Gross Domestic
Product (GDP) release.
The U.S. Dollar Index is a weighted average of the foreign
exchange value of the U.S. dollar against the currencies of the group of major
U.S. trading partners.
“Bloomberg®” and the Bloomberg
indices are service marks of Bloomberg Finance L.P. and its affiliates,
including Bloomberg Index Services Limited (“BISL”), the administrator of the
index (collectively, “Bloomberg”) and have been licensed for use for certain
purposes by PNC Capital Advisors LLC. (PCA). Bloomberg is not affiliated with
PCA, and Bloomberg does not approve, endorse, review, or recommend this
material. Bloomberg does not guarantee the timeliness, accurateness, or
completeness of any data or information relating to the information herein.
ICE Data Indices, LLC (“ICE
Data”), is used with permission. ICE Data, its affiliates and
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express and/or implied, including any warranties of merchantability or fitness
for a particular purpose or use, including the indices, index data and any data
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the adequacy, accuracy, timeliness or completeness of the indices or the index
data or any component thereof, and the indices and index data and all
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