The increase in the number of bonds will reduce tracking error against the broad corporate market’s return, Goldman Sachs said.
The InvesTop Index will now also allow the inclusion of multiple bonds – one bond per maturity range – with a maximum of three from a single issuer.
Bonds now have to carry investment grade ratings from both Moody’s Investor Service and Standard and Poor’s.
Also the market sampling structure of the index will expand to a four by three matrix, consisting of four broad industry sectors:
And three maturity ranges:
- five years
- 10 years
- 30 years
In the previous two by three matrix, companies were categorized as financial or non-financial.
The GS $ InvesTop Index, started in 1999, is an index of a fixed number of the most liquid bonds in the investment grade corporate market.