Parent Index definition
Examples of Parent Index in a sentence
The Underlying Index includes investment-grade U.S. Treasury bonds, non-securitized government-related bonds (“government-related bonds”), corporate bonds, mortgage- backed pass-through securities (“MBS”), commercial mortgage- backed securities (“CMBS”) and asset-backed securities (“ABS”) that are publicly offered for sale in the U.S. To construct the Underlying Index, the Index Provider begins with the Parent Index and replicates its U.S. Treasury bond, MBS, CMBS and ABS exposures.
The Index Provider also excludes companies involved in very severe business controversies (in each case as determined by the Index Provider), and then follows a quantitative process that is designed to determine optimal weights for securities to maximize exposure to securities of companies with higher ESG ratings, subject to maintaining risk and return characteristics similar to the Parent Index.
The Parent Index includes large-, mid- and small-capitalization representation across 23 developed markets and 24 emerging markets countries.
These exposures are preserved at the weights of the Parent Index and are not subject to the Index Provider’s optimization process, which is a quantitative process that seeks to determine optimal weights for securities to maximize exposure to securities of entities with higher MSCI ESG Research ratings subject to seeking to maintain risk and return characteristics similar to the Parent Index.
The Underlying Index is reviewed quarterly to coincide with the semi-annual and quarterly review of the Parent Index.
The Index Provider also excludes companies that are directly involved in very severe ongoing business controversies (in each case as determined by the Index Provider), and then follows a quantitative process that is designed to determine optimal weights for securities to maximize exposure to securities of companies with higher ESG ratings, subject to maintaining risk and return characteristics similar to the Parent Index.
The Underlying Index is reviewed annually in May to coincide with the semi-annual review of the Parent Index.
As an initial step, securities within the Parent Index are screened to ensure market capitalisation restrictions are met, then the selection screen determines those securities classed as "high conviction" Hedge Fund ideas.
In addition, an index constituent’s weight must be at least 0.01% and is restricted to the lower of +/- 2% or 20 times its weight in the Parent Index.
The objective of the Index is to reflect the performance of an equity investment strategy which aims to select, on a quarterly basis, a fixed number of US securities from the Parent Index, deemed to be "high conviction" Hedge Fund long-only equity ideas.