MTS has launched the EuroMTS Macro-Weighted AAA Government Bond Index range.
The indices use an innovative weighting method based on a balanced selection of macro-economic indicators measuring the short to long-term economic performance of eurozone countries with the highest credit rating. They include an all-maturity index and six maturity sub-indices.
Jack Jeffery, CEO of MTS, said: “MTS, by providing these indices calculated with a new weighting methodology, brings investors a set of diversified benchmark instruments, reflecting more accurately the economic potential and the prevailing sovereign risks in the euro-zone government bond markets. We believe these indices will be adopted as portfolio benchmarks, which can be tracked by instruments such as ETFs”.
The methodology uses the following indicators in establishing each country’s weight within the index: government debt as a percentage of GDP; current account as a percentage of GDP; quarter-on-quarter GDP growth; and long-term interest rates.
Country weightings are reviewed on a quarterly basis, while bond selections and weightings are rebalanced monthly, in line with the classical MTS Index.
(JDC)