Benchmark Income Return of Growth Assets of Fund I

Submitted by Addy Suhut on Mon, 09/14/2020 - 10:20

The benchmarks of Growth Assets asset classes of Fund I comprise:

Listed Equity
- MSCI Emerging Markets Islamic Index (Bloomberg ticker: MIEF Index)
- MSCI World Islamic Index (Bloomberg ticker: MIWO Index)

Private Equity
- MSCI World Islamic Index + 2.5% (Bloomberg ticker excluding the "+ 2.5%": MIWO Index)

Private Real Estate
FTSE EPRA/NAREIT Global Real Estate Index (Bloomberg ticker: ENXG Index)

Private Infrastructure
S&P Global Infrastructure Index (Bloomberg ticker: SPGTINTR Index)

The choice of using these particular indices is on the basis of the indices being listed as benchmarks in the Feb 2020 investment policy of Fund I.

The income return or yield of these benchmark indices are derived from the 12-month rolling historical or trailing dividend yield of the indices, which is based on (dollar) dividends received by benchmark index constituents in the preceding 12-month rolling period.

The 12-month rolling historical dividend yield of the indices can be sourced as follows:

  • Manual extraction by generating them using the "Financial Analysis" Function (FA <GO>) at the Bloomberg Terminal
     
  • Automatic downloading into an Excel spreadsheet at a computer connected to the Bloomberg Terminal, specifically by using the BDH (Bloomberg Data History) Function that uses the Bloomberg ticker as the first parameter and "EQY_DVD_YLD_12M" as the second parameter


The benchmark income return during a particular reporting period is derived by taking a representative number of the dividend yield prevailing during the reporting period. For quarterly reporting periods, the representative dividend yield numbers can be derived as follows:

Table 1: Derivation of Benchmark Income Return of Growth Assets asset classes of Fund I

Benchmark Income Return % (p.a./annualised) % (non-annualised)
Full Year Average of dividend yields at the end of the 4 quarters of Q4, Q3, Q2 and Q1 Same as the average yield on the left
Q1-Q3 Average of dividend yields at the end of the 3 quarters of Q3, Q2 and Q1 Average yield on the left multiplied by 3/4
H1 Average of dividend yields at the end of the 2 quarters of Q2 and Q1 Average yield on the left multiplied by 2/4
Q1 Dividend yield at the end of Q1 Yield on the left multiplied by 1/4