Research Impact of COVID-19 on USD corporate bond liquidity · The one month rolling average price...
12
Research Impact of COVID-19 on USD corporate bond liquidity June 2020 | ftserussell.com AUTHORS Mikhail Bezroukov VP, Analytics Product Manager +44 7976 161817 [email protected] Yu Zou Director, Yield Book Analytics Development +1 646 989 2174 [email protected]
Transcript of Research Impact of COVID-19 on USD corporate bond liquidity · The one month rolling average price...
Research
Impact of COVID-19 on USD corporate bond liquidity
June 2020 | ftserussell.com
AUTHORS
Mikhail Bezroukov
VP, Analytics Product Manager
+44 7976 161817 [email protected]
Yu Zou
Director, Yield Book Analytics Development
+1 646 989 2174 [email protected]
ftserussell.com 2
Table of contents Executive summary 3
USD investment grade corporate bonds 3
USD high yield corporate bonds 5
Investment grade sector liquidity 6
ftserussell.com 3
USD investment grade corporate bonds
Figure 1. Investment grade corporate price liquidity ratio and index return
Source: Yield Book, TRACE. Past performance is no guarantee to future results. Please see the end for important disclosures.
WHO declares pandemic
Fed rate cut
Fed begins bond buying
Fed expands PMCCF and SMCCF and
TALF
80
85
90
95
100
105
110
0.00%
0.05%
0.10%
0.15%
0.20%
0.25%
202
0-0
1-0
2
202
0-0
1-0
9
202
0-0
1-1
6
202
0-0
1-2
3
202
0-0
1-3
0
202
0-0
2-0
6
202
0-0
2-1
3
202
0-0
2-2
0
202
0-0
2-2
7
202
0-0
3-0
5
202
0-0
3-1
2
202
0-0
3-1
9
202
0-0
3-2
6
202
0-0
4-0
2
202
0-0
4-0
9
202
0-0
4-1
6
202
0-0
4-2
3
202
0-0
4-3
0
202
0-0
5-0
7
202
0-0
5-1
4
202
0-0
5-2
1
Index V
alu
e
Price L
iquid
ity R
atio %
per
100,0
00 p
ar
trade
PLR % per 100,000
USBIG Index Return
5 per. Mov. Avg. (PLR % per 100,000)
Executive summary The COVID-19 crisis has impacted asset valuations, increased volatility and
led to reduced liquidity in many cases. Most asset classes have been affected,
and governments have stepped in to support financial operations. Below, we
examine the effects of the crisis on the year-to-date liquidity of USD corporate
bonds, as measured by the price liquidity ratio.
The price liquidity ratio calculated by Yield Book looks at market impact and
measures the movement in price of a security for an executed trade of a given
size. The price movement is calculated on an excess of curve basis, and then
aggregated across the given index or sector. A higher ratio represents a larger
movement in price for a given trade size and therefore shows lower liquidity.
For this analysis, we are using executed transaction prices as recorded in the
TRACE database. The liquidity ratios are calculated based on the transaction
volumes for a given day and are then rescaled to represent a 100,000 par
amount trade size.
The Index Price Liquidity Ratio has
fallen since the March volatility
heights; but has not returned to pre-
crisis levels.
ftserussell.com 4
As Figure 1. shows, the crisis has led to a dramatic increase in the price liquidity
ratio, and by extension, the total costs of carrying out a transaction. Markets were
largely unmoved until the second week of March, when trading costs began to
climb rapidly. This correlates with the wider market turmoil that was experienced
in that week. The one month rolling average price liquidity ratio rose from 0.02%
at the end of February to 0.10% at the start of April. The USBIG Corporate index
had a return of around -7% during this period, and almost -15% from the most
recent high to lowest point in March.
The liquidity ratio registered several spikes since March and can also be used to
gauge market reaction of various Fed policy actions. Note for example the
reduction of transaction costs after March 23, when the Fed began its corporate
bond buying program.
On the other hand, transaction costs also spiked following the Fed’s April 9
expansion of PMCCF, SMCCF and TALF programs. Since the underlying index
saw positive returns during this period, this behavior represents the somewhat
symmetrical nature of liquidity costs and difficulty of sourcing particular bonds
during a market rally.
The overall USBIG Corporate index has recovered in value since the lows of
March. Correspondingly, the price liquidity ratio has fallen in May, but remains
above the start of year average.
We can also observe the overall transaction behavior since the start of the year.
In Figure 2. below, this is represented by the average transaction size, which
also climbed during the initial volatility period as market participants reacted to
market events. Average trade sizes have fallen since around March 12 though,
potentially as a response to the liquidity crunch.
Figure 2. Investment grade corporate price liquidity ratio and average trade size
Source: Yield Book, TRACE. Past performance is no guarantee to future results. Please see the end for important disclosures.
0
100
200
300
400
500
600
0.00%
0.05%
0.10%
0.15%
0.20%
0.25%
202
0-0
1-0
2
202
0-0
1-0
9
202
0-0
1-1
6
202
0-0
1-2
3
202
0-0
1-3
0
202
0-0
2-0
6
202
0-0
2-1
3
202
0-0
2-2
0
202
0-0
2-2
7
202
0-0
3-0
5
202
0-0
3-1
2
202
0-0
3-1
9
202
0-0
3-2
6
202
0-0
4-0
2
202
0-0
4-0
9
202
0-0
4-1
6
202
0-0
4-2
3
202
0-0
4-3
0
202
0-0
5-0
7
202
0-0
5-1
4
202
0-0
5-2
1
Avera
ge T
rade S
ize (1
,000s)
Price L
iquid
ity R
atio %
per
100,0
00 t
rade
PLR % per 100,000 Avg Trade Size
Average trade size rose at the start
of market volatility in March, but then
fell as liquidity costs reached their
highest levels.
ftserussell.com 5
USD high yield corporate bonds
Figure 3. High yield corporate price liquidity ratio and index return
Source: Yield Book, TRACE. Past performance is no guarantee to future results. Please see the end for important disclosures.
As shown in the Figure 3. above, the high yield markets also began to
experience dramatic falls in valuation around the second week of March. The
price liquidity ratio also began to climb during this period, registering more
difficult liquidity conditions. The one-month rolling average price liquidity ratio
rose from 0.03% at the end of February to 0.17% at the start of April. Unlike IG
bonds, high yield markets have not returned to pre-crisis levels given the
increased perceived risks of default. Correspondingly, the price liquidity ratio
continues to see significant spikes and has not returned to a lower average rate.
It may also be useful to look at the liquidity costs of average-sized trades, and
this is shown below in Figure 4. Since the average par-amount trade size is
around 200,000 in the HY markets and around 300,000 in the IG markets, a
higher liquidity ratio for HY suggests significantly lower overall liquidity.
Additionally, as shown above in Figure 2., while the price liquidity ratio increased
in March, the average trade size for IG bonds fell, potentially as a strategy to
keep overall transaction costs lower. Figure 4. confirms that the liquidity ratio for
an average IG trade did not increase much past 0.4% in March, in part due to
this lower trade size.
60
65
70
75
80
85
90
95
100
105
0.00%
0.05%
0.10%
0.15%
0.20%
0.25%
0.30%
0.35%
0.40%
202
0-0
1-0
2
202
0-0
1-0
9
202
0-0
1-1
6
202
0-0
1-2
3
202
0-0
1-3
0
202
0-0
2-0
6
202
0-0
2-1
3
202
0-0
2-2
0
202
0-0
2-2
7
202
0-0
3-0
5
202
0-0
3-1
2
202
0-0
3-1
9
202
0-0
3-2
6
202
0-0
4-0
2
202
0-0
4-0
9
202
0-0
4-1
6
202
0-0
4-2
3
202
0-0
4-3
0
202
0-0
5-0
7
202
0-0
5-1
4
202
0-0
5-2
1
Ind
ex V
alu
e
Price L
iquid
ity R
atio %
per
100,0
00 t
rade
PLR % per 100,000 HYM Index Return
ftserussell.com 6
Figure 4. IG and HY corporate price liquidity ratio
Source: Yield Book, TRACE. Past performance is no guarantee to future results. Please see the end for important disclosures.
Investment grade sector liquidity Returning to IG bonds, it is informative to look at more detailed behavior of
liquidity at the sector level, where the picture becomes more complex.
The Financial - Bank (FBNK) sector has remained the most liquid through the
crisis, likely reflecting the comparatively lower operational disruptions to that
industry. This sector continues to be relatively more liquid than the wider index.
The Financial - Other (FOTH) sector, which contains many Real Estate
Investment Trust and Leasing company bonds has experienced some of the
highest jumps in liquidity. Interestingly, the Financial - Insurance (FINS) sector
also saw higher transaction costs during the April 9 rally, possibly indicating the
difficulty of sourcing relatively long-dated insurance bonds. Note, the Financial –
Independent sector is particularly small and has too few trades to draw
conclusions about its liquidity.
0.00%
0.20%
0.40%
0.60%
0.80%
1.00%
1.20%
202
0-0
1-0
2
202
0-0
1-0
9
202
0-0
1-1
6
202
0-0
1-2
3
202
0-0
1-3
0
202
0-0
2-0
6
202
0-0
2-1
3
202
0-0
2-2
0
202
0-0
2-2
7
202
0-0
3-0
5
202
0-0
3-1
2
202
0-0
3-1
9
202
0-0
3-2
6
202
0-0
4-0
2
202
0-0
4-0
9
202
0-0
4-1
6
202
0-0
4-2
3
202
0-0
4-3
0
202
0-0
5-0
7
202
0-0
5-1
4
202
0-0
5-2
1
Price L
iquid
ity R
atio %
per
Avera
ge T
rade S
ize
IG Price Liquidity Ratio HY Price Liquidity Ratio
High Yield liquidity costs are
consistently higher than Investment
Grade. Additionally, these higher
costs are based on smaller average
transaction sizes.
ftserussell.com 7
Figure 5a. Financials - Bank
Figure 5b. Financials - Independent
Figure 5c. Financials - Insurance
Figure 5d. Financials - Other
Source: Yield Book, TRACE. Past performance is no guarantee to future results. Please see the end for important disclosures.
70
80
90
100
110
0.00%
0.02%
0.04%
0.06%
0.08%
0.10%
0.12%
2020-01-02 2020-03-02 2020-05-02
Index V
alu
e
Price L
iquid
ity R
atio %
FBNK FBNK_Ret
70
80
90
100
110
0.00%
0.10%
0.20%
0.30%
0.40%
0.50%
0.60%
2020-01-02 2020-03-02 2020-05-02
Index V
alu
e
Price L
iquid
ity R
atio %
FIND FIND_Ret
70
80
90
100
110
0.00%
0.10%
0.20%
0.30%
0.40%
2020-01-02 2020-03-02 2020-05-02
Index V
alu
e
Price L
iquid
ity R
atio %
FINS FINS_Ret
70
80
90
100
110
0.00%
0.10%
0.20%
0.30%
0.40%
2020-01-02 2020-03-02 2020-05-02
Index V
alu
e
Price L
iquid
ity R
atio %
FOTH FOTH_Ret
The Financials – Bank sector
remained relatively liquid throughout
the market volatility period.
The Financials – Independent sector
contains around 12 bonds so may
not provide a representative
average.
The Financials – Insurance sector
has the longest Effective Duration of
the financial sector and saw the
highest liquidity cost spike during the
April market rebound.
The Financials – Other sector
contains bonds linked to aircraft
leasing and real estate and saw
some of the highest liquidity costs of
the financials sectors.
ftserussell.com 8
The Industrials sectors also saw high jumps in liquidity costs, reflecting the business
outlook uncertainly and operational challenges. Both the Transportation (ITRN) and
Energy (IEGY) sectors saw the highest spikes in transaction costs during the volatile
market periods. The Consumer (ICON), Manufacturing (IMAN) and Services (ISRV)
sectors have remained relatively more liquid throughout the period, though the
sectors also saw a jump in transaction costs during the April 9 rally.
Figure 6a. Industrials - Consumer
Figure 6b. Industrials - Energy
70
75
80
85
90
95
100
105
110
0.00%
0.05%
0.10%
0.15%
0.20%
0.25%
202
0-0
1-0
2
202
0-0
1-0
9
202
0-0
1-1
6
202
0-0
1-2
3
202
0-0
1-3
0
202
0-0
2-0
6
202
0-0
2-1
3
202
0-0
2-2
0
202
0-0
2-2
7
202
0-0
3-0
5
202
0-0
3-1
2
202
0-0
3-1
9
202
0-0
3-2
6
202
0-0
4-0
2
202
0-0
4-0
9
202
0-0
4-1
6
202
0-0
4-2
3
202
0-0
4-3
0
202
0-0
5-0
7
202
0-0
5-1
4
202
0-0
5-2
1
Index V
alu
e
Price L
iquid
ity R
atio %
ICON ICON_Ret
70
75
80
85
90
95
100
105
0.00%
0.05%
0.10%
0.15%
0.20%
0.25%
0.30%
0.35%
0.40%
0.45%
202
0-0
1-0
2
202
0-0
1-0
9
202
0-0
1-1
6
202
0-0
1-2
3
202
0-0
1-3
0
202
0-0
2-0
6
202
0-0
2-1
3
202
0-0
2-2
0
202
0-0
2-2
7
202
0-0
3-0
5
202
0-0
3-1
2
202
0-0
3-1
9
202
0-0
3-2
6
202
0-0
4-0
2
202
0-0
4-0
9
202
0-0
4-1
6
202
0-0
4-2
3
202
0-0
4-3
0
202
0-0
5-0
7
202
0-0
5-1
4
202
0-0
5-2
1
Index V
alu
e
Price L
iquid
ity R
atio %
IEGY IEGY_Ret
The Industrials – Consumer sector
remained comparatively liquid
throughout the market volatility in
March.
The Industrials – Energy sector was
one of the most affected and saw
Price Liquidity Ratios rise from
around 0.02% to 0.4% for a 100,000
par-amount trade.
ftserussell.com 9
Figure 6c. Industrials - Manufacturing
Figure 6d. Industrials - Services
Figure 6e. Industrials - Transportation
Source: Yield Book, TRACE. Past performance is no guarantee to future results. Please see the end for important disclosures.
70
75
80
85
90
95
100
105
110
0.00%
0.05%
0.10%
0.15%
0.20%
0.25%
202
0-0
1-0
2
202
0-0
1-0
9
202
0-0
1-1
6
202
0-0
1-2
3
202
0-0
1-3
0
202
0-0
2-0
6
202
0-0
2-1
3
202
0-0
2-2
0
202
0-0
2-2
7
202
0-0
3-0
5
202
0-0
3-1
2
202
0-0
3-1
9
202
0-0
3-2
6
202
0-0
4-0
2
202
0-0
4-0
9
202
0-0
4-1
6
202
0-0
4-2
3
202
0-0
4-3
0
202
0-0
5-0
7
202
0-0
5-1
4
202
0-0
5-2
1
Index V
alu
e
Price L
iquid
ity R
atio %
IMAN IMAN_Ret
70
75
80
85
90
95
100
105
110
0.00%
0.02%
0.04%
0.06%
0.08%
0.10%
0.12%
0.14%
0.16%
0.18%
202
0-0
1-0
2
202
0-0
1-0
9
202
0-0
1-1
6
202
0-0
1-2
3
202
0-0
1-3
0
202
0-0
2-0
6
202
0-0
2-1
3
202
0-0
2-2
0
202
0-0
2-2
7
202
0-0
3-0
5
202
0-0
3-1
2
202
0-0
3-1
9
202
0-0
3-2
6
202
0-0
4-0
2
202
0-0
4-0
9
202
0-0
4-1
6
202
0-0
4-2
3
202
0-0
4-3
0
202
0-0
5-0
7
202
0-0
5-1
4
202
0-0
5-2
1
Index V
alu
e
Price L
iquid
ity R
atio %
ISRV ISRV_Ret
70
75
80
85
90
95
100
105
110
0.00%
0.10%
0.20%
0.30%
0.40%
0.50%
0.60%
202
0-0
1-0
2
202
0-0
1-0
9
202
0-0
1-1
6
202
0-0
1-2
3
202
0-0
1-3
0
202
0-0
2-0
6
202
0-0
2-1
3
202
0-0
2-2
0
202
0-0
2-2
7
202
0-0
3-0
5
202
0-0
3-1
2
202
0-0
3-1
9
202
0-0
3-2
6
202
0-0
4-0
2
202
0-0
4-0
9
202
0-0
4-1
6
202
0-0
4-2
3
202
0-0
4-3
0
202
0-0
5-0
7
202
0-0
5-1
4
202
0-0
5-2
1
Index V
alu
e
Price L
iquid
ity R
atio %
ITRN ITRN_Ret
The Industrials – Manufacturing
sector remained relatively liquid
compared to the Energy sector.
The Industrials – Services sector
remained comparatively liquid
throughout the market volatility in
March.
The Industrials – Transportation
sector saw one of the highest
increases in the Price Liquidity
Ratio, as the industry saw major
operational challenges.
ftserussell.com 10
The Utility sector generally contains longer dated and less liquid bonds. The
crisis combined with wider uncertaintites in the energy markets, saw the Utility
sectors experience some of the highest spikes in transaction costs. The small
Gas (UGAS) sector saw by far the highest liquidity ratios, though this may be
partly down to the small sample size and fewer trades. The larger and more
representative Electric (UELC) sector also saw spikes in liquidity costs. The
Telecom (UTEL) sector is much less affected by energy costs and has remained
relatively liquid throughout the crisis.
Figure 7a. Utilities - Electric
Figure 7b. Utilities - Gas
Figure 7c. Utilities - Telecom
Source for all figure 7: Yield Book, TRACE. Past performance is no guarantee to future results. Please see the end for important disclosures.
70
80
90
100
110
120
0.00%
0.10%
0.20%
0.30%
0.40%
0.50%
202
0-0
1-0
2
202
0-0
1-0
9
202
0-0
1-1
6
202
0-0
1-2
3
202
0-0
1-3
0
202
0-0
2-0
6
202
0-0
2-1
3
202
0-0
2-2
0
202
0-0
2-2
7
202
0-0
3-0
5
202
0-0
3-1
2
202
0-0
3-1
9
202
0-0
3-2
6
202
0-0
4-0
2
202
0-0
4-0
9
202
0-0
4-1
6
202
0-0
4-2
3
202
0-0
4-3
0
202
0-0
5-0
7
202
0-0
5-1
4
202
0-0
5-2
1
Index V
alu
e
Price L
iquid
ity R
atio %
UELC UELC_Ret
70
80
90
100
110
120
0.00%
10.00%
20.00%
30.00%
40.00%
50.00%
202
0-0
1-0
2
202
0-0
1-0
9
202
0-0
1-1
6
202
0-0
1-2
3
202
0-0
1-3
0
202
0-0
2-0
6
202
0-0
2-1
3
202
0-0
2-2
0
202
0-0
2-2
7
202
0-0
3-0
5
202
0-0
3-1
2
202
0-0
3-1
9
202
0-0
3-2
6
202
0-0
4-0
2
202
0-0
4-0
9
202
0-0
4-1
6
202
0-0
4-2
3
202
0-0
4-3
0
202
0-0
5-0
7
202
0-0
5-1
4
202
0-0
5-2
1
Index V
alu
e
Price L
iquid
ity R
atio %
UGAS UGAS_Ret
70
80
90
100
110
0.00%
0.05%
0.10%
0.15%
0.20%
202
0-0
1-0
2
202
0-0
1-0
9
202
0-0
1-1
6
202
0-0
1-2
3
202
0-0
1-3
0
202
0-0
2-0
6
202
0-0
2-1
3
202
0-0
2-2
0
202
0-0
2-2
7
202
0-0
3-0
5
202
0-0
3-1
2
202
0-0
3-1
9
202
0-0
3-2
6
202
0-0
4-0
2
202
0-0
4-0
9
202
0-0
4-1
6
202
0-0
4-2
3
202
0-0
4-3
0
202
0-0
5-0
7
202
0-0
5-1
4
202
0-0
5-2
1
Index V
alu
e
Price L
iquid
ity R
atio %
UTEL UTEL_Ret
The Utilities – Electric sector saw
large increases in the Price Liquidity
Ratio and saw costs reach 0.4%,
similar to the Industrials – Energy
sector.
The Utilities – Gas sector contains
around 38 bonds, and the large
spike in the Price Liquidity Ratio may
not be representative.
The Utilities – Telecom sector was
the least affected utility sector as the
industry saw fewer operational
challenges.
ftserussell.com 11
The above data suggests that sectors facing high operational challenges have
experienced both greater volatility and decreased liquidity during the crisis.
Companies exposed to energy costs and transportation have been significantly
affected, while telecom and most financial sectors have seen comparatively little
impact. Conversely, it can also be seen that traditionally more stable and long-
dated sectors such as insurance and electric utilities, have experienced spikes in
transaction costs during market rallies as investors saw difficulties in sourcing
these bonds.
ftserussell.com 12
About FTSE Russell
FTSE Russell is a leading global provider of benchmarks, analytics and data solutions with multi-asset capabilities,
offering a precise view of the markets relevant to any investment process. For over 30 years, leading asset owners,
asset managers, ETF providers and investment banks have chosen FTSE Russell indexes to benchmark their
investment performance and create investment funds, ETFs, structured products and index-based derivatives. FTSE
Russell indexes also provide clients with tools for performance benchmarking, asset allocation, investment strategy
analysis and risk management.
About Yield Book
Yield Book by FTSE Russell is a trusted and authoritative source for fixed income analytics that enables market makers
and institutional investors to perform complex analysis of their portfolios, benchmarks, trading decisions, historical
performance, and risk. Yield Book products offer analytical insight into an extensive range of financial products in the fixed
income space including governments, agencies, corporates, high yield, emerging markets, mortgages, ABS, CMBS,
CMOs, and derivatives. The platform utilizes dedicated centralized servers that help ensure reliable, prompt data delivery.
For more information, contact us at mailto:[email protected] or visit our website: yieldbook.com
Americas
+1 646 989 2200
EMEA
+44 20 7334 8963
Asia-Pacific
Hong Kong +852 2164 3333
Tokyo +81 3 4563 6346
Taipei +866 2 8726 9778
© 2020 London Stock Exchange Group plc and its applicable group undertakings (the “LSE Group”). The LSE Group includes (1) FTSE International Limited (“FTSE”), (2) Frank Russell Company (“Russell”), (3) FTSE Global Debt Capital Markets Inc. and FTSE Global Debt Capital Markets Limited (together, “FTSE Canada”), (4) MTSNext Limited (“MTSNext”), (5) Mergent, Inc. (“Mergent”), (6) FTSE Fixed Income LLC (“FTSE FI”), (7) The Yield Book Inc (“YB”) and (8) Beyond Ratings S.A.S. (“BR”). All rights reserved.
FTSE Russell® is a trading name of FTSE, Russell, FTSE Canada, MTSNext, Mergent, FTSE FI, YB and BR. “FTSE®”, “Russell®”, “FTSE Russell®”, “MTS®”, “FTSE4Good®”, “ICB®”, “Mergent®”, “The Yield Book®”, “Beyond Ratings®” and all other trademarks and service marks used herein (whether registered or unregistered) are trademarks and/or service marks owned or licensed by the applicable member of the LSE Group or their respective licensors and are owned, or used under licence, by FTSE, Russell, MTSNext, FTSE Canada, Mergent, FTSE FI, YB or BR. FTSE International Limited is authorised and regulated by the Financial Conduct Authority as a benchmark administrator.
All information is provided for information purposes only. All information and data contained in this publication is obtained by the LSE Group, from sources believed by it to be accurate and reliable. Because of the possibility of human and mechanical error as well as other factors, however, such information and data is provided "as is" without warranty of any kind. No member of the LSE Group nor their respective directors, officers, employees, partners or licensors make any claim, prediction, warranty or representation whatsoever, expressly or impliedly, either as to the accuracy, timeliness, completeness, merchantability of any information or of results to be obtained from the use of FTSE Russell products, including but not limited to indexes, data and analytics, or the fitness or suitability of the FTSE Russell products for any particular purpose to which they might be put. Any representation of historical data accessible through FTSE Russell products is provided for information purposes only and is not a reliable indicator of future performance.
No responsibility or liability can be accepted by any member of the LSE Group nor their respective directors, officers, employees, partners or licensors for (a) any loss or damage in whole or in part caused by, resulting from, or relating to any error (negligent or otherwise) or other circumstance involved in procuring, collecting, compiling, interpreting, analysing, editing, transcribing, transmitting, communicating or delivering any such information or data or from use of this document or links to this document or (b) any direct, indirect, special, consequential or incidental damages whatsoever, even if any member of the LSE Group is advised in advance of the possibility of such damages, resulting from the use of, or inability to use, such information.
No member of the LSE Group nor their respective directors, officers, employees, partners or licensors provide investment advice and nothing contained herein or accessible through FTSE Russell products, including statistical data and industry reports, should be taken as constituting financial or investment advice or a financial promotion.
Past performance is no guarantee of future results. Charts and graphs are provided for illustrative purposes only. Index returns shown may not represent the results of the actual trading of investable assets. Certain returns shown may reflect back-tested performance. All performance presented prior to the index inception date is back-tested performance. Back-tested performance is not actual performance, but is hypothetical. The back-test calculations are based on the same methodology that was in effect when the index was officially launched. However, back-tested data may reflect the application of the index methodology with the benefit of hindsight, and the historic calculations of an index may change from month to month based on revisions to the underlying economic data used in the calculation of the index.
This document may contain forward-looking assessments. These are based upon a number of assumptions concerning future conditions that ultimately may prove to be inaccurate. Such forward-looking assessments are subject to risks and uncertainties and may be affected by various factors that may cause actual results to differ materially. No member of the LSE Group nor their licensors assume any duty to and do not undertake to update forward-looking assessments.
No part of this information may be reproduced, stored in a retrieval system or transmitted in any form or by any means, electronic, mechanical, photocopying, recording or otherwise, without prior written permission of the applicable member of the LSE Group. Use and distribution of the LSE Group data requires a licence from FTSE, Russell, FTSE Canada, MTSNext, Mergent, FTSE FI, YB, BR and/or their respective licensors.
