Income return

Income return, or dividend or cash yield, measures the income received in relation to the initial value of the asset. The index-level income return is calculated as the weighted average using the index weight of each constituent. Outlier returns of over 200% are usually due to one-off payouts and are filtered out from this computation.

$$//<![CDATA[ \begin{array}{l}\displaystyle \text{Index income return}_{t} = \sum\limits_{i=1}^{n} (w_{i,t-1} \times \frac{D_{i,t,RepCCY}}{V_{i,t-1,RepCCY}})\end{array} //]]>$$

where:

$//<![CDATA[ \begin{array}{l}D_{i,t,RepCCY}\end{array} //]]>$ denotes an index-constituent coupon/dividend payment in the quarter between times t and t-1 expressed in reporting currency
$//<![CDATA[ \begin{array}{l}V_{i,t-1,RepCCY}\end{array} //]]>$denotes constituent i's fair value estimate at time t-1 expressed in reporting currency
$//<![CDATA[ \begin{array}{l}w_{i,t-1}\end{array} //]]>$ denotes the weight of constituent i at time t-1.

In order to show the cash yield trends, 5 and 10 year moving averages of the Index income return are computed.

This is an input to the computation of cash returns contribution