Index Rule Books

Find below the Rule Books for Dorchester’s family of Capital Markets Indexes. Each rule book details the design objective, eligibility requirements, selection methodology, weighting methodology, calculation methodology, and maintenance tasks for the respective Capital Market Index.

CPMKTS – The Capital Markets Index

CPMKTS is the only real-time benchmark of the entire U.S. investment grade capital markets. This modified market capitalization weighted index includes equities, fixed income securities and money market instruments. Rather than subdivide the market, CPMKTS views the capital markets on an aggregate basis. It satisfies the needs of both institutional and individual investors for a measurement tool for mixed or blended portfolios and provides the basis for a wide variety of investment instruments. It objectively replicates the capital markets' actual asset allocation and therefore delivers capital market returns for capital market risks. The result is a single measure that captures the performance not of slices of the market, but the entire U. S. investment grade capital market.

Download the CPMKTS Rule Book here.

CPMKTB – The Capital Markets Bond Index

CPMKTB is the only real-time benchmark of the entire investment grade U.S bond markets. When the modified market capitalization weighted CPMKTB is combined with Dorchester’s equity and liquidity indexes (CPMKTE and CPMKTL) using Dorchester’s monthly updated modified market capitalization weights it completes the picture of the investment grade U.S capital markets as represented in CPMKTS.

Download the CPMKTB Rule Book here.

CPMKTE – The Capital Markets Equity Index

CPMKTE is a quarterly reconstituted, market capitalization weighted, benchmark of the equity component of the U.S. capital markets. When combined with Dorchester’s bond and liquidity indexes (CPMKTB and CPMKTL) using Dorchester’s monthly updated modified market capitalization weights it forms the complete picture of the investment grade U.S. capital market as represented in CPMKTS.

Download the CPMKTE Rule Book here.

CPMKTL – The Capital Markets Liquidity Index

CPMKTL is the only benchmark of the liquidity component of the U.S capital markets. (Dorchester defines “Liquidity” as fixed income securities with redemption dates less than one year and money market instruments.) As the first real-time liquidity index, the modified market capitalization weighted CPMKTL is the missing piece that when combined with Dorchester’s bond and equity indexes (CPMKTB and CPMKTE) using Dorchester’s monthly updated modified market capitalization weights, it forms the complete picture of the U.S. investment grade capital market as represented in CPMKTS.

Download the CPMKTL Rule Book here.