Overview | Largecap Indexes | Smallcap Indexes

Barra Canada Largecap Growth & Value Indexes

The Barra Canada Growth & Value Indexes were discontinued on March 31, 2008. The final update for this product is for the month ending March 31, 2008. For further information, please contact us.

Universe Selection
Preliminary full rebalances are conducted at the beginning of January and July (to be released in February and August). From the TSX Composite^*, a check is made to ensure that only a single issue is present from each issuer. (This check is made based on the first six digits of each asset's CUSIP which identify the asset's issuer. For details, see the CUSIP Bureau's web site.) If multiple issues are present, the one with the largest float capitalization is kept. Then the 200 issues with the highest float capitalizations are selected as preliminary members. The smallest float capitalization among these 200 issues is recorded as the Largecap Cutoff.

Classifying Assets as Value or Growth
The preliminary large-capitalization assets are ranked by book-to-price and by yield. (Starting with the February 2004 full rebalance, quarterly book values are used when available; prior to this, annual data were used.) A Composite Value Ranking is made for each asset from a weighted average of these two rankings. To construct the Value Index, we draw from the preliminary universe, highest ranked assets first, until half of the capitalization of the preliminary universe is reached. The Growth Index contains the remaining assets. The largest Composite Value Ranking in the preliminary Largecap Value portfolio is recorded as the Largecap Value Cutoff.

Index Maintenance
The indexes are maintained through monthly rebalances to account for additions and deletions. At the beginning of February and August, the preliminary Largecap Growth and Value membership lists from the preceding month form the basis for the rebalance. In all other months, the index constituents from the preceding month are used. These universes are screened for assets that have been deleted from the TSX Composite. New members of the Composite are candidates for addition. They are screened, using their CUSIPs, to ensure that only a single issue from any issuer appears in the final indexes. Furthermore, only issues with float capitalizations greater than the Largecap Cutoff are considered for addition to the indexes. We compare new assets' Composite Value Ranking (based on current book-to-price and yield data) with the Largecap Value Cutoff and assign them to value or growth. Note that, because of these rules, the Largecap Indexes may contain more or fewer than 200 assets.

The indexes are then weighted by float capitalization. Float shares (float capitalization divided by share price) are entered for each asset. A capping procedure is employed to limit the influence of individual assets (cf. Nortel Networks in 2000): if an asset exceeds 20% of total portfolio value, its shares in the index are reduced until it does not. Uncapped assets retain their TSX Composite float shares.

Each day, dead assets are removed and share numbers are adjusted for splits.

* Starting on August 2006, income trusts which are constituents of the TSX Composite, are eligible for inclusion in the Barra Canada Largecap Growth & Value Indexes. Limited Partnerships and funds of income trusts are not eligible for inclusion.