Barclays Capital Launches New Bond Futures Strategy Indices
London, 04 October 2011 – Barclays Capital today announced the launch of the Barclays Capital SABER (Systematic Alpha from Bond Excess Returns) Index family. The SABER Indices reflect the return of the Barclays Capital SABER quantitative index strategy, a purely algorithmic trading strategy which seeks to extract value from global government bond futures markets.
Returns from government bonds tend to vary with the economic cycle, being driven by various factors including market views on future levels of interest rates, inflation and growth, perceived sovereign credit risk, time-varying risk premia and supply and demand dynamics.
The Barclays Capital SABER strategy is designed to extract value from such phenomena by adaptively taking long or short positions in government bond futures. The SABER strategy is based on three key indicators of future bond returns: inflation, risk-aversion, and market momentum. Signals are calculated and positions are rebalanced on a monthly basis. The SABER strategy is implemented independently in each of the US, German, UK and Japanese government bond futures markets.
Jay Watson, Co-Head of Rates Structuring Europe at Barclays Capital in London says: “The SABER Indices offer investors transparent and liquid access to a globally-diversified source of alpha. We expect the indices to be of interest to a wide range of clients, including institutional investors, pension funds, asset managers, insurance companies and other fund managers.”
Anthony Lazanas, Head of Index Products and Systematic Strategies Research at Barclays Capital said: “The Barclays Capital SABER Indices are a significant addition to our highly successful suite of interest rate quantitative index strategies. Employing some of the most traded instruments in the financial world, the SABER Indices use macro-economic and market information to efficiently capture rates risk premia across markets and maturities.”
About the SABER Index family
The SABER Index family comprises the USD, EUR, GBP and JPY SABER Indices, reflecting the performance of the SABER strategy in the US, German, UK and Japanese markets, respectively; the Atlantic SABER Index, which combines the returns of the USD and EUR Indices with an equal weight of 50%; and the Global SABER Index, which combines the returns of the USD, EUR, GBP and JPY SABER Indices with relative weights reflecting long-term historical GDPs of each region. The SABER Indices are published daily by Barclays Capital on the Barclays Capital index products website www.barcap.com/indices and also on Bloomberg.
About Barclays Capital Index, Portfolio and Risk Solutions
The Barclays Capital Indices platform offers market-leading benchmarks and other index products to meet the diverse needs of global investors including investment and market analysis of both alpha and beta sources, portfolio benchmarking and performance measurement, asset allocation, and the creation of index tracking funds and index-based structured products.
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