Obtaining Market Data for Report Production

Submitted by Addy Suhut on Sun, 08/30/2020 - 11:36

Contemporary investment policies of institutional investment portfolios commonly employ total return indices as performance benchmarks for asset classes permitted in the portfolio. The weighted average rate of total return of these total return indices is used to generate a custom benchmark total return numbers for use in evaluating the performance of investment portfolios.

Notwithstanding the use of total return indices which are designed to benchmark total return-oriented portfolio managers, income return is still being measured to cater to the traditional internal stakeholders who wear a more conservative mindset and who are more fixed income-oriented. Funds (investments portfolios according to sources of funds) are progressively moving to the best practice of performance reporting on a total return basis from being reported on an income return basis, as elaborated further under Basis of Performance Reporting - Moving from Income Return to Total Return.

Unfortunately, benchmark income return data are not readily available at the Bloomberg Terminal. For example, a Bloomberg helpdesk personnel confirmed circa April 2020 that the coupon rate of the Dow Jones Sukuk Index is not available on Bloomberg - see helpdesk chat messages below. By contrast, total return and capital return or price return of indices in most instances can be automatically downloaded from the Bloomberg Terminal.

200423 Chat with BBG Helpdesk on availability of Coupon Rates of DJSUKTXR Index

Given this limited availability from Bloomberg Terminal where data can be downloaded automatically, the par-weighted coupon rate of sukuk indices and dividend yields of most non-equity growth asset indices have to be manually extracted from the index factsheets published online by the index providers.

An overview of external data requirements on benchmark return numbers as well as the list of manual procedures of extracting the benchmark income return numbers are provided together with the more automated procedures of obtaining benchmark total return numbers here: Sourcing Benchmark Return Numbers from the Bloomberg Terminal or from the Internet.