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WFCIGS

WisdomTree Fundamental U.S. Short-term Corporate Bond Index

WisdomTree Fundamental U.S. Short-term Corporate Bond Index is a rule-based alternatively weighted index designed to capture the performance of selected issuers in the US investment-grade corporate bond market that are deemed to have attractive fundamental and income characteristics. The Index employs a multi-step process, which screens on fundamentals to identify bonds with favorable characteristics and then tilts to those which offer attractive income characteristics. The Index is comprised of U.S. corporate bonds of public issuers domiciled in the United States. To be eligible for inclusion in the Index, debt securities must have fixed coupons with at least $350 million in par amount outstanding and a remaining maturity of at least one year but not more than five years. Component securities must be rated investment grade.

Index Facts

Index Facts
As of 11/17/2017
Total Return Index Symbol WFCIGS
Exchange Index Symbol
Index Inception Date 03/01/2016
Base Index Value 100
Number of Components in Index 1148
Total Return Index Closing Value 191.33

Index Statistics

Index Statistics
As of 11/17/2017
Yields to Worst 2.40
Average Effective Maturity 2.44
Average Yield to Maturity 2.39
Effective Duration 2.32
Option Adjusted Spread 58.95
Par-Weighted Coupon 3.50

Credit Quality

Credit Quality
As of 11/17/2017
Weight
1. BBB 61.88%
2. A 29.72%
3. AA 7.44%
4. AAA 0.85%
5. BB 0.11%

Sector Breakdown

Sector Breakdown
As of 11/17/2017
Weight
1. Financials 37.87%
2. Health Care 11.80%
3. Technology 8.54%
4. Consumer Discretionary 8.30%
5. Communications 7.22%
6. Consumer Staples 6.97%
7. Industrials 4.79%
8. Utilities 4.59%
9. Materials 3.54%
10. Energy 2.59%
11. Consumer 2.20%
12. Telecom 1.24%
13. Information Technology 0.34%

Definitions

  • 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.
  • You cannot invest directly in an index.
  • 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.