Products August 11, 2010

S&P Launches Factor Index Series

Standard & Poor's has launched the S&P Factor Indices which seek to measure the risk premium inherent between asset classes and financial markets. 

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Each index in the S&P Factor Index Series is comprised of an equal-weighted long and short sub-index calculated to reflect the corresponding spread. The Long Sub-Index is comprised of long front futures contracts; the Short-Sub-Index is comprised of short front futures contracts.   

According to a press release, the objective of each index in the series is to provide investors with exposure to the price difference between Sub-Indices, and in turn, the underlying futures contracts. The Indices are calculated on a real-time basis.  

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The following factors are represented in the S&P Factor Index Series: 

  • Equity Risk Premium: Measures the spread of the U.S. stocks over the returns of long-term Government Bonds;  
  • Non-U.S. Dollar Equity: Measures the spread of the return of U.S. stocks over the return of the U.S. Dollar Index; 
  • Crude Oil – Equity Spread: Measures the spread of the return of Crude Oil over the return of U.S. stocks; and  
  • Gold – Equity Spread: Measures the spread of the return of gold over the return of U.S. stocks. 

For more information on the S&P Factor Index Series, including methodology, index calculations and additions/deletions criteria, visit http://www.indices.standardandpoors.com.

 

Products August 11, 2010

New PIMCO Fund Uses Credit Suisse Commodity Benchmark

The Credit Suisse Commodity Benchmark (CSCB) has been designated as the benchmark for a new U.S. mutual fund launched by PIMCO. 

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The PIMCO CommoditiesPLUS Strategy Fund is a commodities index fund which combines positions tracking the Credit Suisse Commodity Benchmark Index with a portfolio of short-term bonds. The fund was launched on May 26, 2010 and currently has assets under management of over $700 million.     

According to a Credit Suisse press release, the key characteristics of the CSCB are: 

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  • currently made up of 30 commodities, resulting in diversification and a reflection of the overall global commodity complex;  
  • four-step weighting method based on production value and market liquidity that attempts to create balanced risk and reduced correlation between commodity components;  
  • rebalanced to target investment weights monthly to help maintain diversity and reduce volatility;  
  • references commodity futures contracts that fall within the near three months (where available), with a goal of spreading exposure across multiple delivery periods;  
  • 15-day roll period that aims to diversify exposure to calendar roll spreads across several weeks; and  
  • licensed to other swap providers. 

Additional information about the Credit Suisse Commodity Benchmark (CSCB) is available at https://www.cscbindex.com/cscbindex/en/.

 

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