KIS 채권평가 - Beyond Pricing

KOR

Fund Evaluation

Bond Index

Introduction Index Category Calculation Method Usage KIS Index Family

Bond Index

  • Displays comprehensive movement of Bond Market(or specific sector of the Bond Market)
  • Indicate cumulative rate of return from point of reference date
  • rate of return=Total Value at the date/Total Value at reference date
  • For the index calculation is t-day, multiply (t-1)day Index to the rate of return on t-day
  • Index(t-day)=Index(t-1 day)*Rate of return(t-day)
  • KIS Pricing announce five types of bond indices based on the processing of interest accruals and reinvestment of cash flow
  • This type of index can be used to examine the movements of each factor affecting the performance of bond investments, such as capital gains, interest income, and reinvestment returns.
    • Capital gain : Gains or losses arising from changes in the market price, excluding the accrued interest.
    • Interest income : Interest income by holding the bonds, calculated on the basis of the number of days elapsed between the day following the interest payment date
    • Reinvestment returns : Profit from reinvesting cash generated by holding bonds

Index Types

Total return index

capital gain/loss + total interest gained + reinvestment return

inform of Total return index
Gross price index

capital gain/loss + accrued interest

inform of Gross price index
Clean price index (capital gain/loss)

index which coupon rate or interests earned by YTM are removed

inform of Clean price index (capital gain/loss)
Reinvest call index

capital gain/loss + total interest gained + reinvestment return

inform of Reinvest call index
Reinvest zero index

capital gain/loss + total interest gained

inform of Reinvest zero index
inform of Calculation Method
inform of Issuance Information, Basket Selection, Price Information, Index Calculation, Announcement
01 Issuance Information Collect issuance information on newly issued, traded bonds
02 Basketadditional explanationSelection Selection of the bonds for the Index
03 Price Information Market price, Accrued interest, Cash flow information collected on selected bonds
04 Index Calculation Calculate the rate of return by using the price, Accrued interest, cash flow, of the bond
05 Announcement Calculated Index data is sent to different mediums and clients

Basketadditional explanation A set of hypothetical bonds that meet the index criteria among the various bonds.

Usage

  • Able to identify market movements at a glance through fluctuations in the index
  • Assessment of funds performance and investment capability
    • Compare the performance of a fund over time with the performance of the index
    • Analyze / evaluate the factors that affected the fund's management strategy and performance
  • Capabilities to use it as tracking index of financial products such as ETFs
inform of (2018.01~2018.05) 펀드성과, 채권지수성과 rate of return(%) graph
Hankyung-KIS-Reuters (Since Year 2001) - 대표지수, KOBI30 (Since Year 2001), KOBI120 (Since Year 2002), KOFIA-Hankyung-KIS CP (Since Year 2002), KIS-MMF지수 (Since Year 2006), KOBI Pension(Since Year 2007), KOBI Market (Since Year 2008), KTB Index (Since Year 2009), MK Money Market Index (Since Year 2010), MK MSB Index (Since Year 2010), KOBI Credit (Since Year 2010), KIS 10Y KTB Index (Since Year 2010), KIS MSB 3M Index (Since Year 2012), KIS Short term MSB Index(Since Year 2013), ELB Index (Since Year 2014), Yuan MMI Index(Since Year 2015), KOBI Half Credit Index(Since Year 2016), NH-FCY Bond Index(Since Year 2017), KIS KTB3yr-10yr Index(Since Year 2018)
HanKyung-KIS-Reuters Composite Index
  • Since 2001, comprehensive bond index that represents the local bond market
  • Constituencies based on investment grade bonds that are issued and circulated in the local bond market
  • Bloomberg, Rueters, Rimes, MarketPoint, HanKyung Economic Daily, Check, Bondweb, Infomax, edaily,
  • Widely used in all financial institutions
Advantages of KIS Index Family
  • Represents Bond Market
  • Accuracy, transparency and consistency of index calculation
  • Analysis of performance factors and various other indices for bond investment strategy
  • Stable process construction and continuous maintenance
  • Most used by the financial institutions in Korea
  • Abilities to invest/duplicate(model portfolio) in Index Fund
  • Securing data accessibility through various channels: KIS-Net, Bloomberg, Rueters, Rimes, MarketPoint, HanKyung Economic Daily, Check, Bondweb, Infomax, edaily,
Characteristic of KIS Index Family
  • Development of Customized Index to match the characteristics of beneficiary and portfolio managers’ investment strategy
  • Used by major pension funds such as National Pension, Postal Service Division, Ministry of Labor, private pensions, credit guarantee fund, export insurance corporation
  • Development of Customized Index to analyze performance factors
  • Fund performance evaluation and asset management related system development, KIS-Net's index related system and various indices utilization Know-How secured
  • Holds the most various specialized bond indices in the industry
  • Bond Index Report Provided: KIS Index Report, KIS Index Duration Change Forecast, KIS Weekly Report, etc
  • The only patented real-time bond index in Korea (Patent No. 10-1139952)
Limitation SITEMAP KOR
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