This release updates EDHECinfra’s equity and debt indices as of Q2 2020.
- Data updates
- The financials of 79 companies were updated in this quarter using the latest audited accounts and other contributed data.
- In 2020Q1, revenue forecasts for only selected sectors such as airports, roads, and rail were impacted. In this quarter, further adjustments were made as more factual information and evidence of Covid-19 impact became available. A detailed note can be found here. These forecast adjustments may be reviewed in upcoming quarters as we receive updated financial accounts of these companies.
- Five companies were removed from the broad-market index universe for which we couldn’t source updated financial information. However, the history of these companies remains a part of the index; changes are made only on a forward-looking basis. These companies will be replaced in the upcoming quarters.
- Model updates
- There have been no changes to the asset pricing or cash flow models in this quarter. Asset pricing model calibrations have become more consistent by explicitly using a stable signal-to-noise ratio which is in line with the 2020Q1 calibration.
- Calculation updates
- Index Freeze: In order to ensure stability and consistency over time, EDHECinfra indices' historical results until 2018Q3 have been frozen and match the results as of the 2020Q1 release. The indices have marginal changes since 2018Q4 as a consequence of the latest financial and price data integrated with the estimation of the risk premia and cash flow forecasts.