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Table Of Contents

INTRODUCTION
EVOLUTION OF THE GLOBAL FAMILY OF INDICES
USING BENCHMARKS TO MEASURE PERFORMANCE
BASIC PRINCIPLES OF THE LEHMAN BROTHERS INDICES
WHERE TO FIND LEHMAN BROTHERS INDEX DATA
GLOBAL INDICES
MULTIVERSE INDEX
GLOBAL AGGREGATE INDEX
GLOBAL TREASURY INDEX
GLOBAL INVESTMENT-GRADE/HIGH-YIELD CREDIT INDEX
GLOBAL SECURITIZED INDEX
GLOBAL HIGH-YIELD INDEX
GLOBAL EMERGING MARKETS INDEX
GLOBAL INFLATION-LINKED INDEX
GLOBAL CAPITAL SECURITIES INDEX
U.S. AGGREGATE INDEX
U.S. UNIVERSAL INDEX
U.S. TREASURY INDEX
U.S. GOVERNMENT-RELATED INDEX
U.S. MBS INDEX
U.S. FIXED-RATE ASSET BACKED SECURITIES (ABS) INDEX
U.S. CMBS INDEX (U.S. AGGREGATE ELIGIBLE PORTION)
U.S. HIGH-YIELD INDEX
U.S. CONVERTIBLES INDEX
EURODOLLAR INDEX
COMMERCIAL MORTGAGE-BACKED SECURITIES (CMBS) INDICES
U.S. CORPORATE FLOATING-RATE NOTE (FRN) INDEX
U.S. HIGH-YIELD FLOATING-RATE NOTE (FRN) INDEX
U.S. FLOATING-RATE ABS INDEX
INVESTMENT-GRADE 144A INDEX
U.S. HIGH-YIELD LOAN INDEX
MUNICIPAL INDEX
CANADIAN INDICES
EUROPEAN INDICES
PAN-EUROPEAN UNIVERSAL INDEX
PAN-EUROPEAN AGGREGATE INDEX
EURO-AGGREGATE INDEX
PAN-EUROPEAN HIGH-YIELD INDEX
EURO CORPORATE FLOATING-RATE NOTE (FRN) INDEX
EUROPEAN FIXED-RATE AND FLOATING-RATE ABS INDICES
DANISH MORTGAGES
SWISS FRANC AGGREGATE
EUROPEAN SHORT TREASURY INDEX
EUROPEAN TREASURY BILLS INDEX
RUSSIAN AGGREGATE INDEX
ASIAN-PACIFIC INDICES
ASIAN-PACIFIC AGGREGATE INDEX
JAPANESE AGGREGATE INDEX
CHINA AGGREGATE INDEX
JAPANESE JHFA INDEX
FLOATING-RATE JGB INDEX
INDIAN GOVERNMENT BOND INDEX
SWAP AND DERIVATIVE INDICES
PAR SWAP INDICES
ZERO-COUPON NOMINAL SWAP INDICES
INFLATION-LINKED ZERO COUPON SWAP INDICES
MIRROR SWAP INDICES
CDX/iTRAXX TOTAL RETURNS
LEHMAN BROTHERS COMMODITY INDEX (LBCI)
LBCI PURE BETA INDEX (LBPB)
LEHMAN BROTHERS/HFN GLOBAL HEDGE FUND INDEX
LEHMAN BROTHERS FOREIGN EXCHANGE INDICES (LBFX)
CUSTOMIZED INDICES
TYPES OF CUSTOMIZED INDICES
1: GLOBAL FAMILY OF INDICES CHRONOLOGY: A BRIEF HISTORY
2: TOTAL RETURN CALCULATIONS
3: EXCESS RETURN COMPUTATIONS1
TR
4: PRICING METHODOLOGY FOR THE GLOBAL FAMILY OF INDICES3
5: DETAILED INDEX RULES FOR CURRENCY HEDGING AND CURRENCY RETURNS29
6: HOW CASH IS TREATED IN INDEX RETURNS AND STATISTICS CALCULATIONS31
7: LEHMAN BROTHERS GLOBAL SECTOR CLASSIFICATION SCHEME32
8: THE LEHMAN BROTHERS INDEX METHOD FOR CLASSIFYING BONDS BY CREDIT QUALITY33
9: CALCULATING INDEX TURNOVER AND COMPOSITIONAL CHANGE34
10: CALCULATING INDEX DURATION EXTENSION35
11: EXPLAINING THE LEHMAN BROTHERS OPTION-ADJUSTED SPREAD OF A CORPORATE BOND 36
14: MECHANICS OF LEMAN BROTHERS SWAP INDICES52
17: LEHMAN BROTHERS’ SUITE OF BENCHMARKS FOR LDI STRATEGIES67
18: REPLICATING BOND INDEX (RBISM) BASKETS: A SYNTHETIC BETA FOR FIXED INCOME68
19: INDEX HOLIDAY SCHEDULES
20: ACCESSING LEHMAN BROTHERS INDEX DATA ON LEHMANLIVE.COM
21: HISTORICAL INDEX ANALYSIS USING BLOOMBERG TICKERS75
Global Inflation-Linked Index
Global Emerging Markets Index
U.S. Government-Related Index
U.S. High-Yield Very Liquid Index
Pan-European High-Yield Index
Pan-European Emerging Markets Index
Asian-Pacific Aggregate Index
Lehman Brothers Commodity Index -LBCI
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Barclays Family of Indices

Barclays Family of Indices

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Published by: bretonpacome on Dec 03, 2010
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