The underlying index for two popular energy infrastructure ETPs has changed following a recent consultation with stakeholders.
VettaFi has announced an updated methodology for the Alerian MLP Infrastructure Index (AMZI), tracked by the Alerian MLP ETF (AMLP) and the ETRACS Alerian MLP Infrastructure Index ETN Series B (MLPB), increasing the maximum weight a single constituent can be given at each quarterly rebalance.
The individual constituent cap has been raised from 10% to 12% to better reflect the underlying market cap of constituents. The change was a result of a recent consultation with stakeholders for feedback regarding the index and will be implemented with the March rebalancing.
At the same time, to reduce turnover resulting from the raised cap, DCP Midstream LP (DCP) will be dropped from the index, as the company is expected to be acquired during the second quarter.
After market close on the Thursday prior to the second Friday of each March, June, September, and December, the post-rebalancing constituents in the index are weighted and ranked by float-adjusted market capitalization. If the weight of the largest constituent exceeds 12%, it is assigned a weight of 12%, and its excess weight is proportionately distributed to the remaining constituents. After this distribution, the process is repeated until none of the remaining constituents has a weight that exceeds 12%.
Since index shares are assigned based on prices after market close on the Thursday prior to the second Friday of each March, June, September, and December, the weight of each constituent on the quarterly rebalancing date may differ from its target weight due to market movements.
The Alerian MLP Infrastructure Index is a composite of energy infrastructure MLPs. The capped, float-adjusted, capitalization-weighted index, whose constituents earn the majority of their cash flow from midstream activities involving energy commodities, is disseminated in real time.
For more news, information, and analysis, visit the Energy Infrastructure Channel.
vettafi.com is owned by VettaFi LLC (“VettaFi”). VettaFi is the index provider for AMLP and MLPB, for which it receives an index licensing fee. However, AMLP and MLPB are not issued, sponsored, endorsed, or sold by VettaFi, and VettaFi has no obligation or liability in connection with the issuance, administration, marketing, or trading of AMLP and MLPB.
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