Thomson Reuters Indices

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Thomson Reuters Indices is a line of indices and index services from Thomson Reuters:

Thomson Reuters Canada-based media company

Thomson Reuters Corporation is a Canadian multinational media conglomerate. The company was founded in Toronto, Ontario, Canada, where it is headquartered at 333 Bay Street.

Contents

Country & Region Indices

Thomson Reuters Country & Region Indices include 51 countries and 29 regions worldwide. The indices are free-float market-capitalization weighted. Even though each index is available in price return and total return variants, dividend series are not provided by Thomson Reuters. The earliest of Thomson Reuters Country Indices start as late as April 1999.

A total return index is an index that measures the performance of a group of components by assuming that all cash distributions are reinvested, in addition to tracking the components' price movements. While it is common to refer to equity based indices, there are also total return indices for bonds and commodities.

The full list of Country & Region Indices include:

CountryMnemonic RIC CurrencyTimespan
ArgentinaXARFLDL.TRXFLDARPArgentine Peso1999-04-01
AustraliaXAUFLDL.TRXFLDAUPAustralian Dollar1999-04-01
AustriaXATFLDL.TRXFLDATPEuro1999-04-01
BahrainXBHFLDL.TRXFLDBHPBahraini Dinar2004-01-01


51 Countries24 Regions
ArgentinaMalaysiaAfrica
AustraliaMexicoAPAC
AustriaMoroccoAPAC ex Japan
BahrainNetherlandsAPAC + Russia
BelgiumNew ZealandBIC
BrazilNorwayBRIC
CanadaOmanEAFE
ChileQatarEM APAC
ChinaPakistanEM Europe
Czech RepublicPhilippinesEurope
DenmarkPolandEurope ex UK, Ireland
EgyptPortugalGCC
FinlandRussiaG7
FranceSingaporeGlobal
GermanySouth AfricaGlobal EM
GreeceSpainGlobal ex US
Hong KongSwedenIberia
HungarySwitzerlandLatin America
IndiaTaiwanMENA
IndonesiaThailandNAFTA
IrelandTurkeyNorth America
IsraelUAEOIC
ItalyUKPerhipheral Eurozone Countries
JapanUSChina, Hong Kong, Taiwan
KoreaVietnam
Kuwait

Sector Indices

Thomson Reuters Sector Indices are defined using Thomson Reuters Business Classification (TRBC) system. Available globally, by region or by country, Sector Indices are available at each of 10 Economic Sectors, 25 Business Sectors, 52 Industry Groups and 125 Industries. Top level global sector indices are as follows:

The Thomson Reuters Business Classification (TRBC) is an industry classification of global companies; it is owned and operated by Thomson Reuters and is also the basis for Thomson Reuters Indices.

In total, Thomson Reuters provides 1000+ sector indices (Global, country or region).

Commodity Indices

The Thomson Reuters family of commodity indices represents specific subsets of commodities. Our commodity indices are among our most popular and most tracked indices, including the “Thomson Reuters/CoreCommodity CRB Index” and the “Thomson Reuters Equal Weight commodity Index”.

"Alpha-creating Indices"

Despite the fact that the term is an oxymoron, among Thomson Reuters’ products are something the company markets as "alpha-creating indices" and "optimal indices".

An oxymoron is a rhetorical device that uses an ostensible self-contradiction to illustrate a rhetorical point or to reveal a paradox. A more general meaning of "contradiction in terms" is recorded by the OED for 1902..

"Thomson Reuters Lipper Optimal Indices" include five, asset allocation-oriented "indices" that allegedly assess the trade-off between risk and return in diversified portfolios. The five "Target Risk Optimal Indices" are:

These "indices" are "optimized" and according to the marketing department at Thomson Reuters "build on modern portfolio theory to depict the best investment outcome for various levels of risk". "Optimal Target Risk Indices" are used singly or in conjunction with other indices as benchmarks for individual investor portfolios, performance benchmarks for target risk, or as the basis for wealth management.

Modern portfolio theory (MPT), or mean-variance analysis, is a mathematical framework for assembling a portfolio of assets such that the expected return is maximized for a given level of risk. It is a formalization and extension of diversification in investing, the idea that owning different kinds of financial assets is less risky than owning only one type. Its key insight is that an asset's risk and return should not be assessed by itself, but by how it contributes to a portfolio's overall risk and return. It uses the variance of asset prices as a proxy for risk.

Custom Indices & Index calculation services

Thomson Reuters also creates custom indices and provides calculation services for clients.

See also

Thomson Reuters/CoreCommodity CRB Index

The Thomson Reuters/CoreCommodity CRB Index is a commodity futures price index. It was first calculated by Commodity Research Bureau, Inc. in 1957 and made its inaugural appearance in the 1958 CRB Commodity Year Book.

The Thomson Reuters Realized Volatility Index is a newly developed stock market index from Thomson Reuters Indices. It measures and forecasts realized volatility at a variety of time horizons - from one day to several months.

Related Research Articles

An exchange-traded fund (ETF) is an investment fund traded on stock exchanges, much like stocks. An ETF holds assets such as stocks, commodities, or bonds and generally operates with an arbitrage mechanism designed to keep it trading close to its net asset value, although deviations can occasionally occur. Most ETFs track an index, such as a stock index or bond index. ETFs may be attractive as investments because of their low costs, tax efficiency, and stock-like features.

A commodity price index is a fixed-weight index or (weighted) average of selected commodity prices, which may be based on spot or futures prices. It is designed to be representative of the broad commodity asset class or a specific subset of commodities, such as energy or metals. It is an index that tracks a basket of commodities to measure their performance. These indexes are often traded on exchanges, allowing investors to gain easier access to commodities without having to enter the futures market. The value of these indexes fluctuates based on their underlying commodities, and this value can be traded on an exchange in much the same way as stock index futures.

Market portfolio is a portfolio consisting of a weighted sum of every asset in the market, with weights in the proportions that they exist in the market, with the necessary assumption that these assets are infinitely divisible.

Investment management is the professional asset management of various securities and other assets in order to meet specified investment goals for the benefit of the investors. Investors may be institutions or private investors.

In economics and finance, an index is a statistical measure of change in a representative group of individual data points. These data may be derived from any number of sources, including company performance, prices, productivity, and employment. Economic indices track economic health from different perspectives. Influential global financial indices such as the Global Dow, and the NASDAQ Composite track the performance of selected large and powerful companies in order to evaluate and predict economic trends. The Dow Jones Industrial Average and the S&P 500 primarily track U.S. markets, though some legacy international companies are included. The consumer price index tracks the variation in prices for different consumer goods and services over time in a constant geographical location, and is integral to calculations used to adjust salaries, bond interest rates, and tax thresholds for inflation. The GDP Deflator Index, or real GDP, measures the level of prices of all new, domestically produced, final goods and services in an economy. Market performance indices include the labour market index/job index and proprietary stock market index investment instruments offered by brokerage houses.

Market sector

The term market sector is used in economics and finance to describe a part of the economy. It is usually a broader term than industry, which is a set of businesses that are buying and selling such similar goods and services that they are in direct competition with each other. Analysts divide the stock market itself into market sectors so that shares of companies that are in direct competition are listed alongside each other.

Lipper Average also known as Lipper Index are a series of indices produced by Lipper, a subsidiary of Thomson Reuters, that establish benchmarks to measure the performance of a portfolio, or of various mutual funds and exchange-traded funds. They allow an investor, a portfolio manager, or an institutional investor to compare the performance of his/her investment portfolio against other, similar investments. Historical trends, strengths and weaknesses can be evaluated.

The S&P GSCI serves as a benchmark for investment in the commodity markets and as a measure of commodity performance over time. It is a tradable index that is readily available to market participants of the Chicago Mercantile Exchange. The index was originally developed in 1991, by Goldman Sachs. In 2007, ownership transferred to Standard & Poor's, who currently own and publish it. Futures of the S&P GSCI use a multiple of 250. The index contains a much higher exposure to energy than other commodity price indices such as the Dow Jones-UBS Commodity Index.

Thomson Reuters Lipper is an American financial services firm. Founded in 1973 as Lipper Analytical Services, it was acquired by Reuters in 1998. Lipper delivers data on more than 265,000 collective investments in 61 countries.

Target date fund

A target date fund (TDF) – also known as a lifecycle, dynamic-risk or age-based fund – is a collective investment scheme, often a mutual fund or a collective trust fund, designed to provide a simple investment solution through a portfolio whose asset allocation mix becomes more conservative as the target date approaches.

The Deutsche Bank Liquid Commodity Index (DBLCI) was launched in February 2003. It tracks the performance of six commodities in the energy, precious metals, industrial metals and grain sectors. The DBLCI has constant weightings for each of the six commodities and the index is rebalanced annually in the first week of November. Consequently, the weights fluctuate during the year according to the price movement of the underlying commodity futures.

In May 2006, Deutsche Bank launched a new set of commodity index products called the Deutsche Bank Liquid Commodities Indices Optimum Yield, or DBLCI-OY. The DBLCI-OY indices are available for 24 commodities drawn from the energy, precious metals, industrial metals, agricultural and livestock sectors. A DBLCI-OY index based on the DBLCI benchmark weights is also available and the optimum yield technology has also been applied to the energy, precious metals, industrial metals and agricultural sector indices. Like the DBLCI, the DBLCI-OY is available in USD, EUR, GBP and JPY on a hedged and un-hedge basis. The DBLCI-OY is rebalanced on the fifth index business day of November when each commodity is adjusted to its base weight. The DBLCI-OY is also listed as an exchange-traded fund (ETF) on the American Stock Exchange.

The Dow Jones Sustainability Indices (DJSI) launched in 1999, are a family of indices evaluating the sustainability performance of thousands of companies trading publicly, operated under a strategic partnership between S&P Dow Jones Indices and RobecoSAM. of the S&P Dow Jones Indices. They are the longest-running global sustainability benchmarks worldwide and have become the key reference point in sustainability investing for investors and companies alike. In 2012, S&P Dow Jones Indices was formed via the merger of S&P Indices and Dow Jones Indexes.

Stock market index method of measuring the value of a section of the stock market

A stock index or stock market index is a measurement of a section of the stock market. It is computed from the prices of selected stocks. It is a tool used by investors and financial managers to describe the market, and to compare the return on specific investments.

The Thomson Reuters Equal Weight Commodity Index is a major US barometer of commodity prices. The index comprises 17 commodity futures that are continuously rebalanced: Cocoa, Coffee, Copper, Corn, Cotton, Crude Oil, Gold, Heating Oil, Live Cattle, Live Hogs, Natural Gas, Orange juice, Platinum, Silver, Soybeans, Sugar No. 11, and Wheat.

S-Network Global Indexes, Inc. is a publisher and developer of proprietary and custom indexes. Founded in 1997, S-Network specializes in smart beta and thematic indexes that serve as the basis for ETFs.

Indxx

Indxx, LLC is a global diversified financial services firm. Founded in 2005 by Mexx Co-founder PK Sen Sharma, the company has offices in New Delhi, India; New York, USA; and Prague. It currently has over 90 employees spread across four main business groups: Indxx Indices, Custom Indices, Client Indices and Equity Basket Calculation.

Nasdaq OMX Alpha Indexes measure the relative performance of an underlying stock or exchange-traded fund (ETF) against another benchmark ETF using a proprietary calculation. The first component in the index is the “Target Component”, such as Apple (AAPL), and the second component is identified as a “Benchmark Component”, such as the S&P 500 ETF (SPY).