Peer group indices — methodology

1 · Index objective

The series are designed to answer what the segment as a whole delivered — not which fund performed best. They serve as a reference point for placing an individual fund in context, and as evidence that the data captured in this database can be assembled into a consistent time series. They are not an investment product and are not investable.

2 · Universe and eligibility

The universe comprises every fund in the relevant segment held in this database. Exactly one share class enters per fund — the one with the longest run of valuation dates; no fund is counted twice. The eligibility threshold is three distinct net asset values. What counts is the number of different values, not the number of observation dates: a fund that values quarterly and rolls the value forward in between meets the threshold at its third valuation date. Funds join on an ongoing basis as soon as their first qualifying return is available; existing index history is not restated.

3 · Observation and periodisation

One value per fund and calendar month enters the calculation. Reported net asset values take precedence over values derived from returns; where several observation dates fall in one month, the latest counts. The quarterly series is calculated independently from quarter end to quarter end and requires no distribution under section 5 — for funds that value quarterly in any case, it is the more accurate representation.

4 · Return calculation and chaining

For each constituent i the period return is calculated, averaged across all constituents of that period on an equally weighted basis, and chained into an index:

Equal weighting means the weights are reset to 1 / N_t at the start of every period; fund size does not enter. Net asset values themselves are not averaged — the funds trade between roughly 6 and 130 per share, and a mean of those would carry no economic meaning. Alongside the equally weighted mean, the median of period returns is carried as a second series; it is insensitive to individual outliers and typically sits below the mean where returns are unevenly distributed.

5 · Periods without a valuation

Where a fund values less frequently than monthly, or observations are missing, the move between two consecutive valuation levels is treated as one multi-period return and distributed geometrically across the intervening periods:

Without this treatment a quarterly valuer would contribute two zero returns and one spike; the dispersion shown would then be a property of reporting behaviour rather than of the market. Gaps longer than six periods are not distributed — the fund is excluded from those periods.

6 · Distributions

The target measure is total return. Whether a distribution is already reflected in the reported net asset value differs by provider and data source and is not consistently documented. For every distributing share class we therefore test whether the return of payment months sits systematically below that of all other months. Where the distribution drops out of the value, it is added back to the period return; where it is already contained in the reported value, it is left alone to rule out double counting. Where no payments are recorded for a distributing class the test cannot be run; the return of those constituents is then, if anything, understated.

7 · Currency conversion

The index currency is the euro. Observations in other currencies are converted at the ECB reference rate for the month end of the observation date. No currency hedging is applied; exchange rate movements form part of the reported return.

8 · Minimum coverage and disclosure

A period is shown only where at least three constituents contribute a value. The number of contributing funds is displayed for each period in the chart and forms part of the assessment: periods with few constituents respond strongly to individual funds. The 25th to 75th percentile and the range of individual returns are shown for each period as well.

9 · Provisional values and revisions

Funds report with varying delay; in the weeks following a period end only part of the valuations are available. The affected periods are marked provisional and are excluded from every headline figure. Provisional values are overwritten with each update as further valuations arrive. Periods without that marking are treated as final and are recalculated only in the event of a data correction — for instance where a provider restates a net asset value.