Asset class returns are calculated from the following indices, selected by Frontier as representative of the asset class over the period.
Global Equities: MSCI World Equities (Currency Hedged)
Global Fixed Income: Citigroup World Government Bond Index (Currency Hedged) + Citigroup US Corporate Bonds
Emerging Equities: MSCI Emerging Market Equities
Emerging Bonds: JP Morgan Emerging Market Bonds
Global Real Estate: Dow Jones Wilshire Global (Currency Hedged)
Commodities: S&P GSCI Light Energy Index
Hedge Funds: HFR Fund of Funds Composite Index (adjusted)
Managed Futures: CISDM CTA Asset Weighted Index (adjusted)
UK Inflation: UK Consumer Price Index (CPI)
UK Cash: UK 1 Month LIBOR – 1% per annum
The Hedge Funds and Managed Futures indices have been adjusted by 1% per annum to take into account the biases shown to be inherent in self reporting databases . Frontier believes this to be a conservative estimate.