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Glossary of Indices

The Managed Accounts Manager Selection Team determines appropriate indices by performing an in-depth review of a Portfolio Manager's strategy. Various information is taken into consideration which includes: the manager's research process, investment approach and stated benchmark as well as returns- and holdings-based analysis. Please contact your Relationship Manager if you would like to receive a hard copy of the definitions of the benchmark indexes.

Alerian MLP Index

The Alerian MLP Index is a composite of the 50 most prominent energy Master Limited Partnerships that provides investors with an unbiased, comprehensive benchmark for this emerging asset class.  The index, which is calculated using a float-adjusted, capitalization-weighted methodology, is disseminated real-time on a price-return basis (NYSE: AMZ) and on a total-return basis (NYSE: AMZX).

Bank of America Merrill Lynch U.S. Preferred Stock Fixed Rate Index

Bank of America Merrill Lynch U.S. Preferred Stock Fixed Rate: Consists of fixed rate U.S. dollar denominated preferred securities and fixed-to-floating rate securities that are callable prior to the floating rate period and are at least one year from the start of the floating rate period. Securities must be rated investment grade including the country of risk and must be issued as public securities or 144a filing and a minimum outstanding of $100 million. The index includes perpetual preferred securities, American Depository Shares/Receipts (ADS/R), domestic and Yankee trust preferred securities having a minimum remaining term of at least one year, both DRD-eligible and non-DRD eligible preferred stock and senior debt.

Barclays Capital U.S. Aggregate Bond Index

The Barclays Capital U.S. Aggregate Bond Index provides a measure of the performance of the U.S. investment grades bonds market.  This includes investment grade U.S. Government bonds, investment grade corporate bonds, mortgage pass-through securities and asset-backed securities that are publicly offered for sale in the United States.  The securities in the index must have at least one year remaining to maturity. In addition, the securities must be denominated in U.S. dollars and must be fixed rate, nonconvertible and taxable.

Barclays Government/Credit Intermediate Bond Index

Barclays Government/Credit Intermediate Bond is the Intermediate component of the U.S. Government/Credit Index.  It consists of securities in the intermediate maturity range of the Government/Credit Index.  Securities must have a maturity from one up to (but not including) ten years.  The Government/Credit Index includes Treasuries (i.e., public obligations of the U.S. Treasury that have remaining maturities of more than one year), Government-Related issues (i.e., agency, sovereign, supranational, and local authority debt) and USD Corporates.

Barclays Municipal Bond Index 1-10 Year Blend Index

Barclays Municipal Bond Index 1-10 Year Blend is the one to ten year blend component of the Municipal Bond Index which includes investment-grade, tax-exempt, and fixed rate bonds with long-term maturities (greater than two years) selected from issues larger than $50 million.

Blended Index

As previously mentioned, the Managed Accounts Manager Selection Team determines appropriate indices by performing an in-depth review of a Portfolio Manager's strategy. Various information is taken into consideration which includes: the manager's research process, investment approach and stated benchmark as well as returns- and holdings-based analysis.  From time to time, the Managed Accounts Manager Selection Team determines that an appropriate index for a strategy is a blended index, also known as a blended benchmark. A blended benchmark is a combination of two or more indices in varying percentages. To take a simple example, if an investor's assets are allocated to 70% stocks and 30% bonds, the portfolio's performance might be best measured against a blended benchmark consisting of 70% in a stock index (e.g. S&P 500 index) and 30% in a bond index (e.g. Barclays Capital U.S. Aggregate Bond Index).

CBOE S&P 500 BuyWrite Index (BXM)

CBOE S&P 500 BuyWrite Index (BXM) is a benchmark index designed to track the performance of a hypothetical buy-write strategy on the S&P 500 Index. Announced in April 2002, the BXM Index was developed by the CBOE in cooperation with Standard & Poor’s. The BXM is a passive total return index based on (1) buying an S&P 500 stock index portfolio, and (2) “Writing” (or selling) the near-term S&P 500 Index “covered” call options, generally on the third Friday of each month. The SPX call written will have about one month remaining to expiration, with an exercise price just above the prevailing index level. The SPX call is held until expiration and cash settled, at which time a new one-month, near-the money call is written.

Citigroup World Government Bond Index

The Citigroup World Government Bond Index is comprised of issues of the government markets of the United States, Japan, Germany, France, the United Kingdom, Canada, Italy, Australia, Belgium, Denmark, The Netherlands, Spain, Sweden and Austria, and measures total return performance for government bond markets with a remaining maturity of at least one year.

Credit Suisse/Tremont Hedge Fund Index

The Credit Suisse/Tremont Hedge Fund Index is the leading asset-weighted index.  The index uses a rules-based construction methodology, identifies its constituent funds, and minimizes subjectivity in the Index member selection process. It aims at a maximum representation of the Index Universe.  To minimize survivorship bias, funds are not removed from the Index until they are fully liquidated or fail to meet the financial reporting requirements.

Merrill Lynch 1-12 Year Municipal Securities Index

The Merrill Lynch 1-12 Year Municipal Securities Index tracks the performance of tax-exempt investment grade debt of U.S. Municipalities having at least one year and less than 12 years remaining term to maturity. Qualifying bonds must have a fixed coupon schedule, a minimum original maturity issue size of $50 million and an investment grade rating from Moody’s. In addition, securities must be within five years of their original issue date. The index is re-balanced on the last calendar day of the month. Issues that meet the qualifying criteria are included in the index for the following month. Issues that no longer meet the criteria during the course of the month remain in the index until the next month-end re-balancing at which point they are dropped from the index. Additional sub-indices are available that segment the index by maturity and sector. The inception date of the index is December 31, 1988.

Merrill Lynch High Yield Master II Index

Merrill Lynch High Yield Master II Index consists of below investment grade U.S. dollar denominated corporate bonds that are publicly issued in the US domestic and yankee bonds. Issues included in the index have maturities of one year or more and have a credit rating lower than BBB-/Baa3, but are not in default. The index includes domestic high-yield bonds, including deferred interest bonds and payment-in-kind securities.

Merrill Lynch Preferred Stock Fixed Rate Index

Merrill Lynch Preferred Stock Fixed Rate Index consists of fixed rate U.S. dollar denominated preferred securities and fixed-to-floating rate securities that are callable prior to the floating rate period and are at least one year from the start of the floating rate period.  Securities must be rated investment grade including the country of risk and must be issued as public securities or 144a filing and a minimum outstanding of $100 million. The index includes perpetual preferred securities, American Depository Shares/Receipts (ADS/R), domestic and Yankee trust preferred securities having a minimum remaining term of at least one year, both DRD-eligible and non-DRD eligible preferred stock and senior debt.

Merrill Lynch U.S. Convertibles Ex Mandatory Index

Merrill Lynch U.S. Convertibles Ex Mandatory is a rule driven Index designed to capture the organic evolution of the U.S. convertible market and adjust automatically based on any changes in the market such as size of the market, industry skew, structure popularity, issuer size or equity sensitivity.  The index rules include issues: U.S. dollar denominated greater than $50mn in aggregate market value which are publicly traded (including 144A) in the U.S. market but are not currently in bankruptcy. Exclusions are synthetic convertibles and mandatory convertibles.

MSCI EAFE™ Index ND USD

MSCI EAFE™ Index ND (Net Dividends) USD is a market capitalization weighted index composed of companies representative of the market structure of 21 developed market countries in Europe, Australia and the Far East.  The index approximates the minimum possible dividend reinvestment. USD = The index base currency is U.S. Dollars.

MSCI Emerging Markets™ Index ND USD

The MSCI Emerging Markets™ Index ND (Net Dividends) USD is a free float-adjusted market capitalization index that is designed to measure equity market performance of emerging markets.  As of June 2009 the MSCI Emerging Markets Index consisted of the following 22 emerging market country indices: Brazil, Chile, China, Colombia, Czech Republic, Egypt, Hungary, India, Indonesia, Israel, Korea, Malaysia, Mexico, Morocco, Peru, Philippines, Poland, Russia, South Africa, Taiwan, Thailand, and Turkey.  USD = The index base currency is U.S. Dollars.

MSCI World™ Index ex USA ND

MSCI World™ Index ex USA ND (Net Dividends) measures the performance of selected securities from developed markets around the world excluding the United States.  Total return figures assume change in share price and reinvestment of dividends. USD = The index base currency is U.S. Dollars.

NAREIT Equity® Index

NAREIT Equity Index consists of all Real Estate Investment Trusts that currently trade on the New York Stock Exchange, the NASDAQ National Market System and the American Stock Exchange.

Russell 1000® Growth Index

Russell 1000 Growth Index contains those Russell 1000 securities with a greater-than-average growth orientation. Securities in this index tend to exhibit higher price-to-book and price-earnings ratios, lower dividend yields and higher forecasted growth values than the Value universe.

Russell 1000® Index

The Russell 1000 Index measures the performance of the large-cap segment of the U.S. equity universe.  It is a subset of the Russell 3000 Index and includes approximately 1000 of the largest securities based on a combination of their market cap and current index membership.

Russell 1000® Value Index

Russell 1000 Value Index contains those Russell 1000 securities with a less-than-average growth orientation. It represents the universe of stocks from which value managers typically select.  Securities in this index tend to exhibit low price-to-book and price-earnings ratios, higher dividend yields and lower forecasted growth values than the Growth universe.

Russell 2000® Growth Index

Russell 2000 Growth Index contains those Russell 2000 securities with a greater-than-average growth orientation.  Securities in this index tend to exhibit higher price-to-book and price-earnings ratios, lower dividend yields and higher forecasted growth values than the Value universe.

Russell 2000® Small Stock Index

Russell 2000 Small Stock Index tracks the small cap segment of the U.S. equity universe. The index contains the smallest 2000 securities in the Russell 3000 Index.

Russell 2000® Value Index

Russell 2000 Value Index contains those Russell 2000 securities with a less-than-average growth orientation.  Securities in this index tend to exhibit lower price-to-book and price-earnings ratios, higher dividend yields and lower forecasted growth values than the Growth universe.

Russell 3000® Core Index

Russell 3000 Core Index is designed to track performance of the broad U.S. equity universe. The index contains both large and small capitalization companies.

Russell 3000® Index

The Russell 3000 Index measures the performance of the largest 3000 U.S. companies representing approximately 98% of the investable U.S. equity market.  The Russell 3000 Index is constructed to provide a comprehensive, unbiased, and stable barometer of the broad market and is completely reconstituted annually to ensure new and growing equities are reflected.

Russell 3000® Value Index

Russell 3000 Value Index contains both large and small capitalization companies in the broad U.S. equity universe that exhibit less than average growth orientation. Securities in this index tend to exhibit low price-to-book and price-earnings ratios, higher dividend yields and lower forecasted growth values than the Growth universe.

Russell Emerging Markets Index

The Russell Emerging Markets index measures the performance of the largest investable securities in emerging countries globally, based on market capitalization.  The index covers 21% of the investable global market. The Russell Emerging Markets index is constructed to provide a comprehensive and unbiased barometer for this market segment and is completely reconstituted annually to accurately reflect the changes in the market over time.

Russell Midcap® Growth Index

The Russell Midcap Growth Index measures the performance of the mid-cap growth segment of the U.S. equity universe. It includes those Russell Midcap Index companies with higher price-to-book ratios and higher forecasted growth values.

Russell Midcap® Index

The Russell Midcap Index measures the performance of the mid-cap segment of the U.S. equity universe. The Russell Midcap is a subset of the Russell 1000® Index. It includes approximately 800 of the smallest securities based on a combination of their market cap and current index membership. The Russell Midcap represents approximately 31% of the total market capitalization of the Russell 1000 companies.

Russell Midcap® Value Index

The Russell Midcap Value Index measures the performance of the mid-cap value segment of the U.S. equity universe. It includes those Russell Midcap Index companies with lower price-to-book ratios and lower forecasted growth values.

S&P 500 Index

The S&P 500 Index is a market-value-weighted index of 500 stocks that are traded on the NYSE, AMEX, and NASDAQ. The weightings make each company's influence on the index performance directly proportional to that company's market value.

S&P 1500 Index

An investable U.S. equity benchmark, the S&P Composite 1500 combines three leading indices, the S&P 500, the S&P Midcap 400, and the S&P Smallcap 600 to cover approximately 90% of the U.S. market capitalization. It is designed for investors seeking to replicate the performance of the U.S. equity market or benchmark against a representative universe of tradable stocks.

S&P ADR Index

The S&P ADR (American Depositary Receipts) Index is based on the non-U.S. stocks of the S&P Global 1200 traded in the U.S. exchanges.  The index draws constituents from these six indices: S&P Europe 350, S&P/TOPIX 150 (Japan), S&P/TSX 60 (Canada), S&P/ASX All Australian 50, S&P Asia 50, and S&P Latin America 40.

S&P Midcap 400 Index

The S&P Midcap 400 provides investors with a benchmark for mid-sized companies.  The index covers over 7% of the U.S. equity market, and seeks to remain an accurate measure of mid-sized companies, reflecting the risk and return characteristics of the broader mid-cap universe on an on-going basis.

S&P Smallcap 600 Index

The S&P Smallcap 600 covers approximately 3% of the domestic equities market.  Measuring the small cap segment of the market that is typically renowned for poor trading liquidity and financial instability, the index is designed to be an efficient portfolio of companies that meet specific inclusion criteria to ensure that they are investable and financially viable.

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