Below are definitions for the Aegon AM fixed income investment strategy benchmarks. It is not possible to invest in an unmanaged index.
Bloomberg Barclays Global High Yield Index is a multi-currency measure of the global high yield debt market. The index represents the union of the US high yield, the pan-European high yield, and emerging markets hard currency high yield Indices.
Bloomberg Barclays Stable Income Market Index is comprised of predominantly low-risk asset classes within the Bloomberg Barclays Capital US Aggregate Bond index, focusing on shorter maturities, and providing diversified exposure to debt from government, credit and securitized sectors.
Bloomberg Barclays US Aggregate Index is comprised of predominantly US government bonds, corporate bonds, and securitized assets.
Bloomberg Barclays US Corporate Index tracks the performance of US dollar-denominated investment grade debt publicly issued in the US domestic market, including US Treasury, US agency, foreign government, supranational and corporate securities.
Bloomberg Barclays US Corporate High Yield 2% Issuer Capped Index is comprised of predominantly US High Yield Corporate Bonds and a broad cross section of leveraged loans syndicated in the United States, including dollar-denominated loans to overseas issuers. The weighting of index constituents is limited to a maximum 2%.
Bloomberg Barclays US Corporate High Yield Caa Index is comprised of predominantly US high yield corporate bonds.
Bloomberg Barclays U.S. Intermediate Credit Index is comprised of investment grade, US dollar-denominated, fixed-rate, taxable corporate and government-related bonds with maturity greater than one year and less than 10 years.
Bloomberg Barclays US Long Credit Index measures the performance of the long term sector of the United States investment bond market, which as defined by the Long Credit Index includes investment grade corporate debt and sovereign, supranational, local authority and non-US agency bonds that are dollar denominated and have a remaining maturity of greater than or equal to 10 years.
Bloomberg Barclays US Securitized Index is comprised of predominantly MBS Agency securities, but also includes ABS, CMBS and covered securities.
Bloomberg Barclays US Treasury Strips 20+ Year Index tracks the performance of zero coupon US Treasuries with a duration of 20 years or more.
Credit Suisse Event Driven Distressed Hedge Fund Index is a subset of the Credit Suisse Hedge Fund Index, which measures the aggregate performance of event driven funds that focus on distressed situations. These funds typically invest across the capital structure of companies subject to financial or operational distress or bankruptcy proceedings. Such securities often trade at discounts to intrinsic value due to difficulties in assessing their proper value, lack of research coverage, or an inability of traditional investors to continue holding them.
Credit Suisse Leveraged Loan Index loan facilities must be fully funded US dollar-denominated leveraged term loans and rated ‘5B’ or lower; the highest Moody’s/S&P ratings of Baa1/BB+ or Ba1/BBB+.
ICE BofA Merrill Lynch Global HY Constrained Index tracks the performance of below-investment grade corporate debt denominated in US dollars, Canadian dollars, pounds and euros that are publicly issued in the major US or Eurobond markets. The weighting of index constituents is limited to a maximum 2%.
ICE BofA Merrill Lynch High Yield US Corporate Cash Pay BB-B 1-5 Year Constrained Index is comprised predominantly of US dollar-denominated below investment grade corporate debt (BB1 through B3) with a maturity less than five years. There is no minimum for composite inclusion.
ICE BofA Merrill Lynch US Corporate & Government 1-3 Years Index is a subset of the BofA Merrill Lynch US Corporate & Government Index, including all securities with a remaining term to final maturity less than three years. The BofA Merrill Lynch US Corporate & Government Index tracks the performance of US dollar-denominated investment grade debt publicly issued in the US domestic market, including US Treasury, US agency, foreign government, supranational and corporate securities.
The ICE BofA Merrill Lynch US High Yield Index tracks the performance of below investment grade, but not in default, US dollar-denominated corporate bonds publicly issued in the US domestic market, and includes issues with a credit rating of BBB or below, as rated by Moody’s and S&P.
JP Morgan CEMBI Broad Diversified Index tracks total returns for US–denominated corporate bonds issued by emerging markets entities.
JP Morgan EMBI Global Diversified Index tracks total returns for US dollar–denominated debt instruments issued by emerging markets sovereign and quasi-sovereign entities: Brady bonds, loans, and Eurobonds.
JP Morgan GBI-EM Global Diversified Index tracks local currency bonds issued by emerging market governments, limiting inclusion to only those countries that are readily accessible and where no impediments exist for foreign investors.