The S&P Global Bond Futures Index Series is a family of indices that seeks to track the performances of portfolios consisting of a basket of fixed income securities that hold the nearest maturity bond futures contract. On a quarterly basis, the indices will “Roll” into the next nearest maturity futures contract as the current futures contract approaches maturity. For each of the indices, both excess return (ER) and total return (TR) versions are calculated.
Futures on Treasury Notes and Bonds are key tools for investors looking to manage their interest rate risk. Among the most liquid products in the world, Treasury Note and Bond futures lend themselves to a variety of risk management and trading applications. S&P Dow Jones Indices has developed the S&P Global Bond Futures Index family to measure the potential return to investors using these futures contracts in their investment strategies.
The S&P Global Bond Futures Index Series is constructed from the front month futures contract traded on global futures exchanges. Each index includes provisions for the replacement of the Index Futures Contracts as it approaches maturity.
Key Features and Coverage on RIMES
For this data source, RIMES hosts 15 indices, including:
- S&P JGB Futures Excess Return
- U.S Treasury Note Futures
- Euro-bobl Futures and Total Return indices
- Ultra T-Bond Futures
- S&P/ASX Australian Treasuries, etc.
Some of the data items available include:
- Adjusted Divisor Factor (Next Day Open)
- Adjusted Market Capitalization in Local Currency (Next Day Open)
- Open Number of Constituents
- Divisor Factor in Local Currency
- Database Domain Code
- Excess Return, Market Capitalization
- Number of Constituents
- Price Index
- Database Source
- Database Symbol
- Total Return, etc.
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