BMYOP Morningstar US Bond Market Yield-Optimized Index

The Index is a broadly diversified index targeting securities that seek to deliver a high level of current income while maintaining long-term capital appreciation. The Index encompasses a comprehensive set of exchange-traded funds (ETFs) that collectively target various asset classes within the fixed-income category, excluding tax-exempt municipal bonds . Securities that meet the security selection criteria are selected and assigned a weight according to a variant of the mean-variance optimization equation developed by Morningstar. The equation creates an optimal portfolio based on the return, standard deviation, correlation, and yield of the eligible securities. The weight of each select constituent of the portfolio is given by maximizing portfolio yield such that expected portfolio risk is less than or equal to expected aggregate bond risk and the sector weight and the maximum per-sector and per-constituent allocation constraints are satisfied.

As of 09/11/2017

Index Information
Provider:     Morningstar
Category1:  US Fixed Income
Category2:  Broad market
Category3:  Unconstrained
Country:      USA
Currency:    USD
Inception date:  03/05/2014
Backtesting data exists:   Yes
Weighting methodology:   Composite scores
Methdology guide:  Read PDF
Rebalanced:  Quarterly
Reconstituted:  Quarterly

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