“Many are interested in an index that is a dynamic investment strategy packaged as index that leverages these new and interesting sources of information,” Kinlaw said.
The new range of indices, called IntelliGXSM, initially includes:
- GX Liquid Private Equity Index Series, which seek to track a portion of aggregate private equity performance by replicating private equity sector exposures in liquid public markets
- GX Inflation-Managed Index Series, which use the PriceStats® daily inflation series to tilt towards assets that can offer protection when inflation is rising, while also seeking to preserve higher yield during lower inflation scenarios
- GX Risk-Managed Index Series, which apply market fragility and turbulence indicators to adjust exposure to risk premiums, such as the broad equity market, in order to capture long-run portfolio growth while also mitigating downside risk
With IntelliGX, State Street designs the index, using its highly-differentiated data sets sourced internally or from its relationships with big data providers. Index specifications are then delivered to a third-party calculation agent who independently publishes index values. The licensee, or end-user asset owner or asset manager, implements the index based on the weights received in its investable product.
Kinlaw said they are essentially creating living indices that are flexible, evolving, transparent, and sensitive to new and meaningful factors.
“Rather than an index that constantly tilts towards one particular factor, like inflation, our index will lean into inflation-protected bonds when it sees inflation going up and nominal treasury bonds when inflation is going down,” he said.
In addition to providing investment process transparency, IntelliGX offers liquidity and cost-efficiencies as licensees can expand their research capabilities at a variable cost.