The Yield To Worst (YTW) is the lowest potential yield that can be received on a bond without the issuer actually defaulting. When a bond is callable, the yield to worst is the lower yield of yield to maturity and yield to call.
Average Yield to Maturity represents the weighted average yield to maturity of investments in money market securities and short-term fixed income securities as of a specified date. Yield to maturity is the rate of return generated on a fixed income instrument assuming interest payments and capital gains or losses as if the instrument is held to maturity. The weighted average yield is calculated based on the market value of each fixed-income investment. The calculation does not incorporate yield from any currency forward contracts.
Duration is a measure of the sensitivity of the price (the value of principal) of a fixed-income investment to a change in interest rates. Effective duration is a calculation used to approximate the actual, modified duration of a callable bond. It takes into account that future interest rate changes will affect the expected cash flows for a callable bond.
Option Adjusted Spread is the spread of the bond yield and Treasury yield, which is adjusted to take into account an embedded option if the bond is callable or puttable.
Credit Quality is the underlying credit worthiness of a bond, reflecting its risk of default. Credit quality is typically represented by the credit ratings of a bond that are assigned by rating agencies such as Moody’s or Standard and Poor’s.
Par-Weighted Coupon is a par-weighted average of all coupon rates of the bonds in the index.
Average Effective Maturity is the average length of time until the bonds in the index reach maturity and are repaid, taking into account that some bonds may be called prior to maturity.
You cannot invest directly in an index.