Benchmark composition definitions
Bloomberg Commodity Total Return Index comprises futures contracts and tracks the performance of a fully collateralized investment in the index. This combines the returns of the index with the returns on cash collateral invested in 13-week (three-month) U.S. Treasury bills.
Bloomberg U.S. Aggregate Bond Index (formerly Lehman Brothers U.S. Aggregate Bond Index) is a benchmark index composed of U.S. securities in Treasury, Government-Related, Corporate, and Securitized sectors. It includes securities that are of investment-grade quality or better, have at least one year to maturity, and have an outstanding par value of at least $250 million.
Bloomberg Gl Aggreg TRIX is an unmanaged market-capitalization-weighted benchmark that tracks the performance of investment-grade fixed- income securities denominated in 13 currencies. The index reflects reinvestment of all distributions and changes in market prices.
Bloomberg U. S. Treasury Index is an unmanaged index composed of U.S. Treasurys.
Bloomberg U.S. Short Treasury Bond Index is an unmanaged index that measures the performance of U.S. Treasury securities that have a remaining maturity between one and 12 months.
Bloomberg 1-5 Year US TIPS Index consists of inflation-protection securities issued by the U.S. Treasury. They must have at least one year until final maturity and at least $250 million par amount outstanding.
MSCI All Country World ex-U.S. Index includes both Developed Markets and Emerging Markets countries, excluding the United States.
MSCI All Country (AC) World Index is a free float-adjusted market capitalization weighted index that is designed to measure the equity market performance of developed and emerging markets. The MSCI ACWI consists of 46 country indices comprising 23 developed and 23 emerging market country indices.
MSCI Frontier Markets Index is a free float-adjusted market capitalization index that is designed to measure equity market performance of frontier markets.
MSCI Emerging Markets Index is a free float-adjusted market capitalization index that is designed to measure equity market performance of emerging markets.
MSCI Emerging + Frontier Mkts Index (Net) captures large- and mid-cap equities across more than 30 frontier emerging markets countries.
MSCI Europe Net Total Return Index captures large and mid cap representation across 15 developed markets countries in Europe, including: Austria, Belgium, Denmark, Finland, France, Germany, Ireland, Italy, the Netherlands, Norway, Portugal, Spain, Sweden, Switzerland and the UK.
MSCI Japan Net Total Return Index measures the performance of the large and mid cap segments of the Japanese market.
Russell 3000 Index measures the performance of the largest 3,000 U.S. companies representing approximately 98% of the investable U.S. equity market.
Russell 2500 Index measures the performance of the 2,500 smallest companies in the Russell 3000 Index.
Russell Small Cap Completeness Index measures the performance of the companies in the Russell 3000 Index excluding the companies in the S&P 500.
NCREIF Property Index (NPI) is a quarterly time series composite total rate of return measure of investment performance of a very large pool of individual commercial real estate properties acquired in the private market for investment purposes only. All properties in the NPI have been acquired, at least in part, on behalf of tax-exempt institutional investors–the great majority being pension funds. As such, all properties are held in a fiduciary environment.
NCREIF Open End Diversified Core Equity Index is an index of investment returns of the largest private real estate funds pursuing lower risk investment strategies utilizing low leverage, and generally represented by equity ownership positions in stable U.S. operating properties diversified across regions and property types.
HFRI Fund of Funds Composite Index: Fund of Funds invest with multiple managers through funds or managed accounts. The strategy designs a diversified portfolio of managers with the objective of significantly lowering the risk (volatility) of investing with an individual manager. The Fund of Funds manager has discretion in choosing which strategies to invest in for the portfolio. A manager may allocate funds to numerous managers within a single strategy, or with numerous managers in multiple strategies. The minimum investment in a Fund of Funds may be lower than an investment in an individual hedge fund or managed account. The investor has the advantage of diversification among managers and styles with significantly less capital than investing with separate managers.
Standard & Poor's (S&P) 500 Index features 500 leading U.S. publicly traded companies, with a primary emphasis on market capitalization.
91-day Treasury Bill Rate is the rate equal to the weighted average per annum discount rate (expressed as a bond equivalent yield and applied on a daily basis) for direct obligations of the United States with a maturity of thirteen weeks (“91-day Treasury Bills”) sold at the applicable 91-day Treasury Bill auction, as published in H.15(519) or otherwise or as reported by the U.S. Department of the Treasury.
ICE BofA 1-3 Yr U.S. Treasury Bill Index measures the performance of U.S. dollar denominated U.S. Treasury Bills publicly issued in the U.S. domestic market with a remaining term to final maturity greater than or equal to 1 year and less than 3 years.
ICE BofA ML 3 Month US T-Bill Index measures the performance of a single issue of outstanding treasury bill which matures closest to, but not beyond, three months from the rebalancing date.
ICE BofA ML US High Yield Constrained Index is composed of U.S. dollar-denominated, high yield corporate bonds that have at least $250 million of outstanding face value, have an original maturity date of at least 18 months; and have at least one year to maturity.
J.P. Morgan Emerging Markets Bond Index (EMBI) is a total-return index that tracks the traded market for U.S. dollar denominated Brady bonds and other similar sovereign restructured bonds.
J.P. Morgan Government Bond Index-Emerging Markets (GBI-EM) Indices are comprehensive Emerging Markets debt benchmarks that track local currency bonds issued by Emerging Market governments. GBI-EM Global is positioned as the investable benchmark that includes only those countries that are accessible by most of the international investor base. The Diversified composites have the weightings among the countries more evenly distributed within the index.
J.P. Morgan EMBI Global Diversified Index tracks the performance of external debt instruments (including U.S. dollar-denominated and other external-currency-denominated Brady bonds, loans, Eurobonds, and local market instruments) in the emerging markets.
J.P. Morgan GBI-EM Global Diversified Index tracks the performance of local-currency bonds issued by emerging-market governments.
HFRX Equity Hedge Index measures the performance of the hedge fund market. Equity hedge strategies maintain positions both long and short in primarily equity and equity derivative securities.
HFRX Global Hedge Fund Index is designed to be representative of the overall composition of the hedge fund universe. It is comprised of all eligible hedge fund strategies, including but not limited to: convertible arbitrage, distressed securities, equity hedge, equity market neutral, event driven, macro, merger arbitrage, and relative value arbitrage. The strategies are asset weighted based on the distribution of assets in the hedge fund industry.
MNJCF LT-Private Equity, MNJCF LT-CE Real Assets, and MNJCF LT-Private Debt were created by SEI and reflect underlying product performance and are not standardized indexes. The returns for this portion of the index match the blend of the underlying asset returns. For more information, contact your SEI representative.
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