GCORINDEX FTSE Goldman Sachs US Broad Bond Market Index

The Index tracks the performance of US Dollar denominated investment-grade debt and provides a broad representation of the market, including US Treasury, Government Sponsored, Asset Backed Securities (“ABS”), Mortgage Backed Securities (“MBS”) and Credit, where Credit consists of Corporates, Non-US Sovereign and Provincial sectors. But the Index is a smart beta index that seeks to deliver stable performance for a given level of risk. This is achieved through a series of screen and weight allocation adjustments aimed at return optimization and/or volatility minimization in the three largest components of the Base Index, namely the US Treasury, MBS, and Corporate sectors. Securities in each of these three sectors are selected and their weights are adjusted in accordance to methodology relevant to that sector – optimization for US Treasuries, and screening for MBS and Corporates. The US Treasury, Corporate, and MBS sectors are duration adjusted and reweighted to match the Base Index in the resulting composition. The Government Sponsored, Non-US Sovereign and Provincial, and ABS sectors are market capitalization weighted consistent with the USBIG Index.

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As of 12/07/2021


Index Information
Provider:     FTSE Russell
Category1:  US Fixed Income
Category2:  Broad market
Category3:  Investment grade
Currency:    USD
Inception date:  01/01/1900
Backtesting data exists:  
Weighting methodology:   Composite scores
Methdology guide:  Read PDF

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