The SIMI index is intended to serve as a market performance benchmark for the asset portfolio within a Stable Value fund. In keeping with the policy constraints typical for such portfolios, the index has been designed to have a relatively modest risk profile.
According to a press release, the index is jointly produced by Barclays Capital Research Index, Portfolio and Risk Solutions group, and Quantitative Portfolio Strategy group. The SIMI index is defined as a low-risk blend of asset classes from within the Barclays Capital U.S. Aggregate Bond Index, focusing on shorter maturities, and providing diversified exposure to debt from the government, credit and securitized sectors.
“The launch of the Stable Income Market Index should help plan sponsors measure the performance of Stable Value asset managers against a benchmark that more fairly reflects the constraints imposed by wrap providers,” said Lev Dynkin, Head of Quantitative Portfolio Strategy, in the announcement. “The SIMI index was developed by Barclays Capital Research at the request of, and in close consultation with, Stable Value market participants, including pension funds, asset managers, insurance companies and banks that provide insurance wraps for Stable Value funds to protect them from significant drops in market value versus book value.”The SIMI index will be published with monthly history dating back to July 1999. Stable Income Market Index data can be accessed on Barclays Capital Live and on Bloomberg.