PDF《富时世界国债指数 （WGBI）》

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com 资料来源:FTSE Russell 数据截至2019年5月31日.指数绩效可正可负或者持平.指数过去绩效并不代表未来表现. 在此指数公开发表於1986年11月1日前、指数历史信息采模拟编制. 敬请查阅文末重要声明. 富时世界国债指数 (WGBI) |

01 FTSE Russell Factsheet | 2019年5月31日 富时世界国债指数 (WGBI) 主权债 | 多币种 富时世界国债指数 (WGBI)是富时的旗舰指数产品,用于衡量固息本币投资级主权债券的表现.该指数为投资业界所广泛采用,目前由22个国家,14种货币所组 合而成.指数本身自1986年起编制,迄今已有逾30年的历史. 我们也提供由不同货币,年期或信用评级所组成的子指数系列. 指数组成 类别 债券数 量 面额* 市值* 市值权重 (%) 平均票息 (%) 平均到期年限 到期收益率 (%) 有效久期 OAS (bps) 富时世界国债指数 1,033 20,252.48 22,448.38 100.00 2.34 9.23 1.19 8.23

20 1-3 年244 5,465.55 5,588.68 24.90 2.00 1.94 1.14 1.89

11 3-5 年181 4,005.75 4,190.43 18.67 2.08 4.00 1.04 3.83

18 5-7 年121 2,498.66 2,672.50 11.91 2.30 6.03 1.20 5.64

24 7-10 年140 2,656.71 2,956.98 13.17 2.32 8.55 1.02 7.84

27 10 年以上

347 5,625.82 7,039.80 31.36 2.87 21.76 1.37 17.02

23 北美洲

277 8,650.21 8,968.69 39.95 2.38 7.57 2.07 6.36

0 拉丁美洲

16 146.87 150.53 0.67 7.76 8.49 8.05 4.98

0 亚太区

339 4,270.93 4,853.57 21.62 1.47 11.31 0.22 10.73

1 欧洲、中东及非洲

401 7,184.47 8,475.59 37.76 2.69 9.99 0.68 8.83

52 * 以十亿美元为单位 市场及评级分布 (市值权重 %) 历史指数值 (非对冲) ---?世界国债指数 (美元) ---?世界国债指数 (欧元) ---?世界国债指数 (日圆) ---?世界国债指数 (英镑) 回报* 标准差* 世界国债指数 (美元) 6.83 6.81 世界国债指数 (欧元) 5.42 6.96 世界国债指数 (日圆) 4.25 7.85 世界国债指数 (英镑) 6.56 8.87 * 自指数基准日起年化 (%) * 欧元区是由参与欧元且符合WGBI标准的国家所组成:奥地 利,比利时,芬兰,法国,德国,爱尔兰,意大利,荷兰和西 班牙. ** 所有其他市场包括澳大利亚,加拿大,丹麦,马来西亚,墨 西哥,挪威,波兰,新加坡,南非,瑞典. 指数信用评级:指数评级首先采用标普评级.若该债券未有标普评 级,则采用等同于标普的穆迪评级.若该债券的各家评级不一致(即 标普或穆迪两家信评机构当中,一家评为投资级,但另一家评为高 收益级),则采用较高的投资级,并将其转换为等同于标普的评级. ?

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