Thomson Reuters BPA Malaysia Indices Monthly Performance Report

THOMSON REUTERS BPA MALAYSIA
ALL BOND INDEX
ATTRIBUTION ANALYSIS – MONTHLY REPORT
Overview as at end of June 2016
The Thomson Reuters BPA Malaysia All Bond Index Series covers the Malaysia Ringgit denominated, long term investment
graded Conventional and Islamic bonds. As of 30 June 2016, the index consisted of 1161 bonds with a total market capitalization
of MYR 971 billion. Index constituents undergo calculation, review and rebalancing on a daily basis. The index history is
backfilled to 01 January 2007. The Performance Attribution Report helps to determine how the asset allocation and selection of
securities affects your portfolio’s performance when compared to the performance of the TR BPAM All Bond Index.
PERFORMANCE ATTRIBUTION FOR TR BPAM BOND INDEX
INDEX SEGMENT
MONTHLY INDEX
RETURNS
MARKET CAP
(RM ‘BIO)
ALLOCATION
EFFECT
0.96%
971.14
-
TR BPAM GOV ALL BOND IDX
1.11%
614.48
0.73
TR BPAM QUASI GOV ALL BOND IDX
0.77%
150.01
0.12
TR BPAM FIN ALL BOND IDX
0.53%
18.14
0.01
TR BPAM CORP GUA ALL BOND IDX
0.75%
36.39
0.03
TR BPAM CORP ALL BOND IDX
0.61%
152.13
0.10
TR BPAM CONV BOND IDX
1.14%
403.08
0.49
TR BPAM GOV BOND IDX
1.24%
353.64
0.47
TR BPAM QUASI GOV BOND IDX
0.52%
15.53
0.01
TR BPAM FIN BOND IDX
0.52%
9.17
0.01
TR BPAM CORP GUA BOND IDX
0.48%
11.64
0.01
TR BPAM CORP BOND IDX
0.28%
13.10
0.00
TR BPAM SUKUK IDX
0.82%
568.06
0.50
TR BPAM GOV SUK IDX
0.93%
260.83
0.26
TR BPAM QUASI GOV SUK IDX
0.81%
134.47
0.12
TR BPAM FIN SUK IDX
0.53%
8.97
0.01
TR BPAM CORP GUA SUK IDX
0.87%
24.75
0.02
TR BPAM CORP SUK IDX
0.64%
139.03
0.10
TR BPAM ALL BOND IDX
THOMSON REUTERS BPA MALAYSIA ALL BOND INDEX – ATTRIBUTION ANALYSIS – MONTHLY REPORT
ALLOCATION EFFECT
TR BPAM CORP SUK IDX
TR BPAM CORP GUA SUK IDX
TR BPAM FIN SUK IDX
TR BPAM QUASI GOV SUK IDX
TR BPAM GOV SUK IDX
TR BPAM SUKUK IDX
TR BPAM CORP BOND IDX
TR BPAM CORP GUA BOND IDX
TR BPAM FIN BOND IDX
TR BPAM QUASI GOV BOND IDX
TR BPAM GOV BOND IDX
TR BPAM CONV BOND IDX
TR BPAM CORP ALL BOND IDX
TR BPAM CORP GUA ALL BOND IDX
TR BPAM FIN ALL BOND IDX
TR BPAM QUASI GOV ALL BOND IDX
TR BPAM GOV ALL BOND IDX
0.00
0.10
0.20
0.30
0.40
Allocation effect
= subindex contribution to weight * subindex contribution to return
= (weight of subindex / weight of main index) * (return of subindex / return of main index
WEIGHING EFFECT BY PRINCIPAL (MARKET CAP VS RETURNS)
ALL Bond Index
Conventional Index
Sukuk Index
Note:
Bubble size depicts
market capitalisation
0.50
0.60
0.70
0.80
ABOUT BPA MALAYSIA
BPA Malaysia is a registered Bond Pricing Agency as accredited by the Securities Commission of Malaysia. Since 2005, we have been
the market leader in delivering daily evaluated pricing, index and reference data services on more than 2,500 Malaysian bonds and
sukuk. BPA Malaysia serves over 100 local and international financial institutions, supporting their key data needs for portfolio valuation,
risk management and regulatory compliance. For more information about BPA Malaysia, please visit bpam.com.my
ABOUT THOMSON REUTERS
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go to financial.thomsonreuters.com/indices
GENERAL ENQUIRIES
General Enquiries: enquiries@bpam.com.my
DISCLAIMER
Information on these pages are intended solely to provide general information on the Ringgit Bond market and is not intended for trading
purposes. None of the information constitutes a solicitation, offer, opinion, or recommendation by Bond Pricing Agency Malaysia Sdn Bhd (“BPA
Malaysia”) to buy or sell any security or to provide legal, tax, accounting or investment advice or services regarding the profitability or suitability
of any security or investment. Investors are advised to consult their professional investment advisors before making any investment decision.
Information provided on these pages are provided on an “as is” basis, and while care has been taken to ensure the completeness. accuracy
and reliability of the information provided, BPA Malaysia provides no warranties or representations of any kind, either express or implied,
including, but not limited to, warranties of title or implied warranties of fitness for a particular purpose, accuracy, correctness, non-infringement,
timeliness, completeness, or that the information is always up-to-date. BPA Malaysia disclaims any liability related to these information.
The Thomson Reuters BPA Malaysia Bond and Sukuk Indices, (“Indices” or “Index”) are the property of Thomson Reuters (Markets) LLC or its
affiliates (“Thomson Reuters”) and BPA Malaysia. It may not be used to create, offer, trade, market or promote any financial products without
the express written consent of Thomson Reuters. Thomson Reuters shall not have any liability, contingent or otherwise, to any person or entity
for the quality, accuracy, timeliness and/or completeness of the information contained herein, or for delays, errors, omissions or interruptions in
the publication of the Indices or any related data.
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© 2016 Thomson Reuters S036900/07-16