The money market benchmark used for Fund I and Fund P is the Bank of America Merrill Lynch 3 Month T-Bill Index.
The choice of using this particular index is on the basis of the index being listed as a benchmark in the Feb 2020 investment policy of Fund I and the Feb 2019 investment policy of Fund P.
The income return or yield of this benchmark index is derived from the benchmark index's rolling historical or trailing rate of total return. Total return data can be used to derive income return for money market indices since there is no capital or price return component on these indices and consequently, monthly income return numbers from index providers' websites equal monthly total return numbers.
The rolling historical rate of total return of the index can be manually extracted from the index provider's index platform website, which is accessible here, which requires registration and login in order to access data for free. At the index platform website:
- Ensure that index code name is set as G0O1
- Change the date to equal the last day of the period to be reported on
The benchmark income return during a particular reporting period is derived by taking the benchmark total return during the reporting period. For quarterly reporting, the periods applicable for calculating the total return numbers are as follows:
Table 1: Derivation of Benchmark Income Return of the Bank of America Merrill Lynch 3 Month T-Bill Index
|Benchmark Income Return||% (non-annualised)|
|Full Year||Total return generated during the 4 quarters of Q4, Q3, Q2 and Q1|
|Q1-Q3||Total return generated during the 3 quarters of Q3, Q2 and Q1|
|H1||Total return generated during the 2 quarters of Q2 and Q1|
|Q1||Total return generated during Q1|