Barclays Capital launches the ERA Index
London, 27 September 2010 - Barclays Capital, the investment banking division of Barclays Bank PLC, announced today the official launch of the Barclays Capital Multi-Alpha Equal Risk Allocation Index (the ERA Index) designed to provide investors with strong, stable returns by allocating risk equally across four asset classes: equities, interest rates, commodities and FX.
The ERA methodology is supported by the Barclays Capital’s Index, Portfolio and Risk Solutions team (IPRS), in Research, who have concluded that weighting a diversified portfolio based on risk, or volatility, is more effective than many other allocation methods.
The Index uses realised volatility to determine the amount to be invested in four non-correlated market-neutral Barclays Capital proprietary indices. In [back tests], the Index has produced consistently attractive risk adjusted returns, with minimal draw downs, and very little correlation with any of the underlying markets.
“In these uncertain times investors are concerned with both stable returns and downside risk. This Index aims to address those concerns by diversifying between four uncorrelated asset classes and by utilising a robust methodology that reduces exposure to an investment as its returns become more volatile. We are confident that the strong backtested historical results and sensible risk management will appeal to a wide range of investors,” said Laurence Black, Director, Quantitative Indices and Strategies at Barclays Capital.
Jose Mazoy, Director, IPRS, added: “We are pleased to launch the Barclays Capital Multi-Alpha ERA Index; the equal risk allocation mechanism is a solution resulting from IPRS research on portfolios of strategies. It is a simple and robust framework designed to combine strategies so that clients benefit from diversification and improve the risk-return profile of individual investment strategies.”
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.
The ERA Index aims to provide risk controlled access to a diversified universe of non-correlated Barclays Capital alpha strategies across a range of asset classes, providing stable performance with minimal draw-downs.
Barclays Capital Multi Alpha ERA Index is available in USD, EUR, GBP and CHF versions.
For performance-to-date charts please use the contact details above.
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.
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