Our Market Indices are computed on a monthly basis, with certain segment-specific market indices being computed on a quarterly basis. The input data is updated accordingly as the following new data becomes available:
- Company-level financials (audited accounts data) are updated once a year, once the accounts become available. Until then, any accounting data used in asset pricing models (e.g. the size factor i.e. total assets) is simply rolled forward. When accounting data used is available for two consecutive years, it is linearly interpolated between the two dates.
- Interest rates and the related risk-free term structures are updated and computed each quarter.
- Foreign exchange rates are updated each quarter.
- New secondary market transaction prices and new infrastructure debt credit spreads are collected each quarter.
Things to consider
- As described here, when companies cease to report their financials for more than two years they are removed from the index universe, from that point onwards.
- Different companies report on different end-of-year dates, hence new financials data becomes available in the Index Universe every quarter for some firms.