Barclays Capital Launches iCRYSTAL Index – Capturing Alpha from Monetary Policies
London (March 7, 2011) – Barclays Capital announced today the launch of the Barclays Capital iCRYSTAL Index, which aims to extract value from both consistent and divergent monetary policy cycles in the US and Europe.
Monetary policy cycles in the US and Europe have historically exhibited extended periods of synchronous and asynchronous behavior. For instance, in the early part of the 2007-2009 slowdown, US monetary policy clearly led European policy, causing a divergence in short-term interest rates. As the full impact of the recession hit in H2 09, US and European policy became unified in cutting rates, reducing this divergence.
“The spread between European and US short-term rates has demonstrated trending behaviour, reflecting the differences in monetary cycles which present the possibility of extracting value provided we identify the direction in a timely fashion,” said Jose Mazoy, Director, Index Portfolio and Risk Solutions at Barclays Capital. “The Barclays Capital iCRYSTAL Index is designed to make the most of such phenomena.”
The Barclays Capital iCRYSTAL Index adds to the family of Barclays Capital's Fixed Income Alpha Indices, which aims to provide systematic alpha from interest rate markets. This index family includes the Barclays Capital Global Target Exceed Index and the Barclays Capital PRISM Index.
“We are pleased to add the iCRYSTAL index to our family of rates alpha indices” added Jay Watson, Director, Rates Structuring Europe, Barclays Capital. “This underlines our commitment to providing clients with the solutions they need to help tailor their investment strategies.”
The Barclays Capital iCRYSTAL Index is available on the Barclays Capital Index website at www.barcap.com/indices and on Bloomberg page BXIICYX2 Index <Go>.
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.
About Barclays Capital
Barclays Capital is the investment banking division of Barclays Bank PLC. With a distinctive business model, Barclays Capital provides large corporate, government and institutional clients with a full spectrum of solutions to their strategic advisory, financing and risk management needs. Barclays Capital has offices around the world, employs over 25,000 people and has the global reach, advisory services and distribution power to meet the needs of issuers and investors worldwide. For further information about Barclays Capital, please visit our website www.barclayscapital.com.