Home Price Indexes Slow Their Descent
The S&P/Case-Shiller Home Price indexes, while grim, showed some mildly positive signs for February.

For the first time in 16 months, the benchmarks’ fall didn’t set new records for year-over-year losses, according to the monthly results released in late April.

In fact, 16 of the 20 metro areas saw smaller losses in February than in January, although all 20 metro areas covered by the indexing series produced a monthly decline in February. All in all, average U.S. home prices are at similar levels to where they were in the third quarter of 2003. From the peak in mid-2006, the 10-City Composite Index was down 31.6 percent and the 20-City Composite was down 30.7 percent through February 2009.

On an annualized basis, three metro areas fared the best: Dallas dropped 4.5 percent and turned in the best performance, while Denver fell some 5.7 percent and Boston lost 7.2 percent. The three worst-performing cities continue to be from the Sun Belt: Phoenix was down 35.2 percent, with Las Vegas and San Francisco down 31.7 percent and 31 percent, respectively.

CDR Rolls Out Government Risk Index

In late March, Credit Derivatives Research LLC launched a new index designed to track the creditworthiness of leading sovereign debtors. The Government Risk Index tracks credit default swap spreads for the United States, the United Kingdom, Germany, France, Italy, Spain and Japan.

Sovereign CDS essentially insure a buyer against a credit event, like a default, related to the issuing country’s debt. With governments taking actions like buying up toxic assets in the wake of the credit crisis, thereby increasing risk levels, CDS costs have also increased.

S&P Introduces Risk-Controlled Indexes

S&P rolled out two new strategy indexes in mid-May designed for risk-weary investors that are alternate versions of two of its best-known benchmarks—the S&P 500 and the S&P/ASX 200, which tracks the Australian market.

The S&P 500 Risk Control 10% Index and the S&P/ASX 200 Risk Control 15% Index target different levels of volatility—10 percent and 15 percent, respectively, as the indexes’ names would imply. The indexes adjust their exposure to match their volatility levels, either decreasing exposure when volatility of the original index is too high or using leverage to increase exposure when the volatility of the original index is too low.

The index provider already offered risk-controlled versions of its benchmark indexes covering the BRIC countries, Southeast Asia, Latin America and the global infrastructure sector.

Barclays Unveils Global Target ‘Exceed’ Index

May saw the launch of a new strategy index from Barclays Capital via its “Exceed” family of indexes. The Barclays Capital Global Target Exceed Index, like all the indexes in the Exceed series, according to Barclays, “aims to extract alpha from term premium in the short end of the yield curves in a fully transparent and liquid way by trading libor futures contracts.”

Barclays already has a few indexes of this nature tracking the yield curves of the U.S dollar and the euro, alone and in combination, but the new index provides exposure to the yield curves of four currencies: the U.S. dollar, the euro, the British pound and the Japanese yen.

Barclays says the index’s performance can be accessed via a range of investable products including swaps, options and principal-protected notes, among others.

FTSE And Renaissance Capital Launch IPO Indexes

Index provider FTSE Group has partnered with research house Renaissance Capital to launch a series of indexes tracking the performance of initial public offerings in the U.S. The launch of the flagship index, the FTSE Renaissance IPO Composite Index, was announced in mid-April.

IPOs are added to the index on their first day of trading and remain for two years, or about 500 trading days. According to FTSE, IPOs often must wait three months before joining most standard benchmarks, causing investors to miss out on what can be a very strong performance period.

Renaissance Capital focuses its research on IPOs, and previously calculated its own index tracking the U.S. IPO market.

MSCI Launches ‘Tilt’ Indexes

In late March, MSCI announced the launch of the first indexes of a new series. The MSCI Factor indexes are designed to maximize their exposure to a single source of risk—identified as a “factor” in the Barra risk models—while controlling their exposure to other sources of risk and seeking to track the original benchmark equity index as closely as possible.

The first two members of the new index family include the MSCI Europe Momentum Tilt Index and the MSCI Europe Value Tilt Index, which are derived from the benchmark MSCI Europe Index.

According to MSCI, the new indexes are designed for use in portfolio analysis and construction and also to underlie investable products.

Markit And BlueNext Create Emissions Indexes

Markit, a firm known for its fixed-income and CDS indexes, is teaming up with carbon-trading exchange BlueNext in a partnership that includes the creation of a new set of carbon emission credit indexes.

The first two benchmarks to be launched under the joint venture are the Markit BlueNext EUA 1 Spot Index and the Markit BlueNext CER Spot Index. The former tracks the performance of European Union allowances (EUAs) under the EU Emission Trading System, while the latter tracks the performance of certified emission reductions (CERs), which are defined by the Kyoto Protocol. Both an EUA and a CER are equal to one tonne of carbon dioxide.

The announcement from Markit and BlueNext implied that more products—indexes and otherwise—would be forthcoming, but it did not specify what might be down the road.

DJI Suspends Distressed Securities Hedge Index

Dow Jones temporarily suspended publication of its Dow Jones Hedge Fund Distressed Securities Strategy Benchmark in early May. The suspension is open-ended until further notice, according to the company.

Dow Jones said the decision was made jointly with the investment manager of the managed account platform that supports the Dow Jones hedge fund index family and was made due to market conditions.

Previously, on Jan. 2, the index provider halted publication of the Dow Jones Hedge Fund Convertible Arbitrage Strategy Benchmark. That index remains suspended. However, Dow Jones noted that its remaining strategies—Equity Long/Short, Equity Market Neutral, Event Driven and Merger Arbitrage—will continue to be published on an end-of-day basis.

FTSE And Borsa Italiana Debut Index Family

It was announced earlier this year that FTSE would take over the calculation of the indexes for the Borsa Italiana from S&P, and the index provider unveiled a preliminary index lineup in April.

The indexes are constructed based on FTSE’s rules and methodologies for the most part, but the FTSE MIB will be the same index as the existing S&P/MIB index, just rebranded. The new index regime will feature liquidity screens and minimum float requirements, among other modifications, and foreign-listed stocks will be excluded from all but the FTSE MIB and the all-share index.

Other notable changes include the replacement of the mid-cap and all-share indexes by FTSE-designed indexes and replacement sector indexes based on FTSE’s ICB classification system. FTSE will also launch a small-cap index and a micro-cap index.

Perhaps most interestingly, the blue-chip MIB 30 will be discontinued, along with a few other indexes.