J.P. Morgan GBI Aggregate Diversified is a global government bond index that offers fund managers higher potential yields by including a larger percentage of emerging market bonds than traditional global bond indexes. It consists of both investment grade and high yield bonds, with an allocation of 80 percent developed market and 20 percent emerging market bonds.
Global bond indexes typically make up only 2 to 4 percent of emerging market debt despite EM demanding a larger portion of the debt universe. The GBI Aggregate Diversified addresses this gap through applying a unique weighting methodology. The diversified weighting methodology is currency based versus traditional country or issuer based, addressing concentration risk prevalent in other treasury benchmarks.
Despite the additional EM allocation, 94 percent of the index is investment grade with the index having an average rating of Aa3/AA-/AA- by Moody’s, Standard & Poor’s and Fitch, respectively. The allocation to the G3 currencies – the dollar, euro and Japanese yen – totals 57 percent of the index, compared with 85 percent to 90 percent in traditional global government bond indices. The index does not exclude countries based on credit ratings but does exclude countries with capital controls.
The GBI-AGG Div is comprised of liquid government bonds across the globe (27 currencies, across 37 countries, capturing nearly US$25 trillion of government debt stock).
Key Features and Coverage on RIMES
For this data source, RIMES hosts approximately 1250 bonds and 120 indices (including various GBI-AGG indices). Some of the data items available for this source include:
- Bond Items – Accrued Interest, Capped Market Value, Capped Notional Outstanding, Clean Price, Convexity, Coupon, Currency Code, Daily Return, Frequency of Series, Hedged Total Return, Inclusion Direction, Inclusion Percentage, Investable Market Value in US Dollars, Investable Weight, ISIN Code, ISO Currency Code, Issue Date, Liquidity, Macaulay Duration, Market Value, Maturity Bands, Maturity Date, Modified Duration, Notional Outstanding, Reference Date, Source Country Code, Total Return (12 month, MTD, YTD), Unadjusted Investable Weight, Weight in Index, Weight within Country, Weighted Total Return, etc.
- Index Items – Average Convexity, Average Coupon, Average Maturity, Average Modified Duration, Average Yield, Hedged Total Return, Index Inclusion Factor, Market Capitalization, Number of Constituents, Total Return, Weight in Index, etc.