Beruflich Dokumente
Kultur Dokumente
February 2011
Contents
Index, Portfolio and Risk Solutions Barclays Capital Benchmark Indices Overview of Flagship Benchmark Indices Barclays Capital Investable Indices Overview of Flagship Investable Indices Overview of Barclays Capital POINT Quick reference for featured Benchmark Indices Quick reference for featured Investable Indices Contacts 1 7 16 37 47 110 115 116 Inside Back Cover
Barclays Capital Index, Portfolio and Risk Solutions (IPRS) is a leading provider of indices and portfolio analytics. Our capabilities span benchmark and investable indices, portfolio analytics, risk and attribution models, and portfolio construction tools.
Barclays Capital Research Index, Portfolio and Risk Solutions (IPRS) Benchmark & Investable Indices Portfolio Modeling & POINT
November 2010
July 2010
September 2010
INDEX USERS Asset Managers Insurance Companies Pension Funds/Plan Sponsors Commercial Banks/Trust Banks Central Banks Sovereign Wealth Funds Hedge Funds ETF Providers Investment Consultants Private Wealth/Retail Investors
What is an index? An index acts as a bridge connecting the demands of an investor with the capabilities of a manager
Investor
INDEX
Market Access
Rules-based Transparency
Index products have evolved beyond traditional benchmarks of broad market performance. Investors now use indices to efficiently measure, isolate, and gain access to beta, enhanced beta, and alpha through rigorous and transparent rules-based index products.
Alternative Beta
Product coverage: More than 70,000 securities, $32.6trn+, 79 countries, 35 local currency debt markets with more than 40,000 indices published daily
Comprehensive Coverage
Asset classes
Commodities Credit Equities Emerging Markets Foreign Exchange Rates/Inflation
Alternative Beta
Extensive Resources
Centralized across all asset classes
Extensive experience in tradable investment strategies Access to top-tier trading and market knowledge Long history of indexing and portfolio modeling Market leading research capabilities in equities and fixed income
BENCHMARK INDICES
Index and Portfolio Solutions at Each Step of the Portfolio Management Process
Skilled portfolio management extends well beyond benchmark selection and analysis. Users of Barclays Capital benchmark indices benefit from the expertise, commitment, and full product/service offering of the Index, Portfolio, and Risk Solutions group of Barclays Capital. The IPRS team offers comprehensive portfolio management solutions for each step of the active/passive portfolio management process for a broad array of investor types. Dedicated teams in New York, London, Tokyo, and Singapore
BENCHMARK INDICES
Projected Universe
Forward
BENCHMARK INDICES
Index Customization
Barclays Capital recognizes that no single benchmark design is universal or appropriate for all investors. Our goal is to offer a broad and evolving suite of index products from which investors are able to select or customize the most appropriate benchmark for their portfolio needs. The IPRS team works with clients in the design, methodology, back-testing, selection, and documentation of bespoke benchmark indices for their portfolios with rapid turnaround time. Barclays Capital publishes several thousand bespoke indices daily. Major types of custom indices include:
Custom Index Category
Enhanced Constraint Indices Composite Indices
Description
Applies a more or less stringent set of constraints to an existing index Investors assign their own weights to sectors or other index subcomponents within an overall index These indices can be created to match an investors targeted portfolio allocation Indices that cap issuer exposure to a fixed percentage These indices often mirror issuer concentration limits in an investors portfolio guideline Many different options exist for applying issuer caps and redistributing excess market value to other issuers Indices that choose largest and most recently issued bonds from a given issuer Indices designed to match a specific investors liability stream or future cash flow obligations Often built using swaps indices or strips Indices that use other rules-based weighting schemes instead of market value weights
Examples
US Aggregate Ex Baa Global High Yield Ex Tobacco Ex Gaming 50% US Treasury, 25% MBS 25% Corporates 50% Pan Euro Agg 50% Asia Pac Agg
Issuer-Constrained Indices
Pan Euro HY: BB 3% issuer capped, Single-B 2% Issuer capped, Caa and Below 1% Issuer Capped US HY 1.5% Issuer Capped Ex Financials US HY VLI Index An index of zero coupon nominal swaps with weights matching the cash flows of a specific liability stream Global Treasury GDP Weighted Index
BENCHMARK INDICES
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Broad market fixed income and inflation benchmarks Beta Replication Enhanced access to established beta
Pros
Low tracking error
Cons
Uses cash Regular rebalancing Requires market knowledge Counterparty risk; however, this can be mitigated by ISDA/CSA agreements Limited beta choices Leverage Counterparty risk Potential for large tracking error over short periods
Alternative Beta
No tracking error to the underlying index Low maintenance, flexibility Provides unfunded exposure, leaving cash available for other purposes, e.g., for alpha strategies Flexible, transparent Low maintenance Good tracking with underlying index over time Provides unfunded exposure, leaving cash available for other purposes, e.g., for alpha strategies Improved liquidity relative to mutual funds Low maintenance Transparent holdings when ETF uses cash replication
Potential for tracking error, depending on replication technique used Counterparty risk if ETF uses swap based index replication
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Index Returns and Statistics in multiple base currencies on most published indices with point-in-time history and daily data available back to index inception Time Series data exportable to Excel Returns Calculator that calculates index returns over any time horizon Index Research and Publications Index Constituents (premium access required) Market Structure Reports that segment standard indices by attributes such as sector, maturity, issuer, credit quality, duration, and currency.
Index Charts
BENCHMARK INDICES
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www.barcap.com/indices
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Source: Bloomberg
Source: Bloomberg
Source: Bloomberg
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BENCHMARK INDICES
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BENCHMARK INDICES
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Total
49.2% 15.2% 16.4% 13.9% 0.3% 1.0% 4.1% 100%
USD
10.3% 6.3% 8.0% 13.9% 0.1% 0.9% 0.1% 39.7%
EUR
16.6% 4.6% 5.5% 0.0% 0.1% 0.0% 3.5% 30.3%
GBP
3.3% 0.7% 1.3% 0.0% 0.1% 0.0% 0.0% 5.5%
JPY
14.7% 1.9% 1.0% 0.0% 0.0% 0.0% 0.0% 17.6%
Other
4.3% 1.6% 0.5% 0.0% 0.0% 0.0% 0.5% 6.9%
Global investors are increasingly selecting this flagship benchmark for their
portfolios over multi-currency government/Treasury-only indices that do not include spread sectors.
The Global Aggregate Index contains three major components: the U.S. Aggregate Index (USD 300mn), the Pan-European Aggregate (EUR 300mn), and the Asian-Pacific Aggregate Index (JPY 35bn). Index
Key Rules
USD 300mn, EUR 300mn, GBP 200mn, JPY 35bn (or regional equivalent) minimum outstanding Rated IG using middle rating of Moodys, S&P, and Fitch At least 1 year until final maturity Fixed-rate and step-up coupons Denominated in one of 23 eligible currencies Fully taxable, publicly issued in global/regional markets
Inception January 1, 1990 Currency Denomination Multi Bloomberg ALLX <LEGA> <GO>
Asia-Pac Agg
Japan Agg Non-Japan
Other
Global Tsy Eurodollar Euro-Yen CAD Agg 144A
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Total
26.4% 13.5% 18.8% 37.6% 3.3% 0.4% 100%
AAA
26.4% 11.1% 0.1% 37.6% 2.8% 0.4% 78.3%
AA
0.0% 0.8% 2.9% 0.0% 0.1% 0.0% 3.9%
A
0.0% 0.6% 8.8% 0.0% 0.3% 0.0% 9.7%
BAA
0.0% 0.9% 7.0% 0.0% 0.1% 0.0% 8.1%
The flagship Barclays Capital U.S. Aggregate Bond Index and its sub-indices
are the most widely used U.S. fixed income benchmark family. Key subindices include the U.S. Intermediate Aggregate, U.S. Government/Credit, U.S. Government, U.S. Credit, and U.S. MBS.
Index replication options include exchange traded funds (ETFs), total return
swaps (TRS), and derivatives replications with an RBI swap
Key Rules
$250mn minimum amount outstanding Rated IG by middle rating of Moodys, S&P, and Fitch At least 1 year until final maturity Fixed-rate and step-up coupons Denominated in USD SEC-registered or Rule 144A with registration rights Fully taxable
Inception January 1, 1976 Currency Denomination USD Bloomberg ALLX <LBUS> <GO>
Source: Barclays Capital U.S. Government
U.S. Credit
U.S. Securitized
U.S. Corporate
Sovereign, Local Authority, Supranational, Non-U.S. Agency
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AAA
37.1% 9.3% 0.4% 0.3% 0.1% 10.0% 57.1%
Total
56.3% 14.3% 18.2% 0.5% 0.1% 10.6% 100%
AA
15.3% 3.0% 4.5% 0.1% 0.0% 0.6% 23.4%
A
3.6% 1.5% 9.0% 0.1% 0.0% 0.1% 14.4%
BAA
0.3% 0.6% 4.3% 0.1% 0.0% 0.0% 5.2%
Subindices, such as the Euro Aggregate and the Sterling Aggregate, are
widely used benchmarks in their respective regions.
Other Pan Euro Aggregate subindices include the Danish Krone Aggregate,
Swedish Krona Aggregate, Norwegian Krone Aggregate, Swiss Franc**, and Central European Indices.
Key Rules
EUR 300mn (or local equivalent)/GBP 200mn minimum amount outstanding Rated IG using middle rating of Moodys, S&P, and Fitch At least 1 year until final maturity Fixed-rate and step-up coupons Denominated in EUR, GBP, CHF, NOK, DKK, SEK, CZK, HUF, PLN, SKK Publicly issued in Eurobond and index-member domestic markets
Inception January 1, 1999 Currency Denomination Multi Bloomberg ALLX <LP06> <GO>
Euro Aggregate
Euro Treasury Euro Gov-Related Euro Corporate Euro Securitized
Sterling Aggregate
UK Gilt UK Non-Gilt
Others
Swedish Agg Danish Agg Norwegian Agg Swiss Franc* Central Europe
Note: *Swiss franc will be added as of January 1, 2010. ** The existing Swiss Franc Aggregate will not be included in its entirety. Source: Barclays Capital
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Total
60.4% 13.2% 23.4% 1.9% 0.9% 0.4% 100%
AAA
60.4% 11.8% 0.3% 0.5% 0.4% 0.4% 73.8%
AA
0.0% 0.7% 5.5% 0.3% 0.2% 0.0% 6.7%
A
0.0% 0.4% 11.6% 0.6% 0.2% 0.0% 12.8%
BAA
0.0% 0.3% 5.9% 0.5% 0.1% 0.0% 6.7%
The index is a subset of the Global Aggregate and the Pan European
Aggregate in its entirety.
The Sterling Aggregate Index was launched on January 1, 1999. A version of the Sterling Aggregate with a lower minimum issue size of
GBP 100mn was launched in December 2009.
Barclays Capital also publishes GBP benchmarks for High Yield, FloatingRate Notes, Asset-backed Securities (fixed and floating), Linkers, Swaps, Inflation Swaps, and Emerging Markets.
Key Rules
GBP 200mn minimum amount outstanding Rated IG using middle rating of Moodys, S&P, and Fitch At least 1 year until final maturity Fixed-rate and step-up coupons Denominated in GBP Issued in domestic UK or Eurobond market
UK Gov-Related UK Corporate
UK Gilts
UK Non-Gilts
UK Securitized
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Total
83.0% 11.6% 5.4% 0.0% 0.0% 100%
AAA
2.1% 2.3% 0.0% 0.0% 0.0% 4.4%
AA
75.2% 9.0% 3.6% 0.0% 0.0% 87.7%
A
5.7% 0.1% 1.5% 0.0% 0.0% 7.4%
BAA
0.0% 0.1% 0.2% 0.0% 0.0% 0.4%
The index is a subset of the Global Aggregate Index in its entirety. A widely used subindex in this family is the Japanese Aggregate, which only
includes bonds denominated in JPY.
Key Rules
JPY 35bn (or local equivalent) minimum amount outstanding Rated IG using middle rating of Moodys, S&P, and Fitch At least 1 year until final maturity Fixed-rate and step-up coupons Denominated in JPY, AUD, HKD, KRW, MYR, NZD, SGD, THB, or TWD Fully taxable, publicly issued in global/regional markets
Inception July 1, 2000 Currency Denomination Multi Bloomberg ALLX <LAPC> <GO>
Source: Barclays Capital
Japanese Agg
JPY Treasury JPY Gov-Related JPY Corporate JPY Securitized
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AAA
0.0% 0.2% 0.0% 0.0% 0.2%
AA
83.8% 10.2% 3.8% 0.0% 97.8%
A
0.0% 0.1% 1.6% 0.0% 1.7%
BAA
0.0% 0.0% 0.3% 0.0% 0.3%
Total
83.8% 10.5% 5.7% 0.1% 100%
Key Rules
JPY 35bn minimum amount outstanding Rated IG using middle rating of Moodys, S&P, and Fitch At least 1 year until final maturity Fixed-rate and step up coupons Denominated in JPY Fully taxable, publicly issued in global/regional markets
JPY Gov-Related JPY Corporate
JGBs
Other Sectors
JPY Securitized
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Country Breakdown
Countries include the UK, Australia, Canada, Sweden, the US, France, Italy,
Japan, and Germany. Greece exited the index on December 31, 2009, but remains eligible for the Universal Government Inflation-Linked Bond Index.
Canada 2.8%
U.K. 22.9%
Key Rules
AUD 700mn, CAD 600mn, EUR 500mn, JPY 50bn, SEK 4bn, GBP 300mn, USD 500mn minimum issue size Currency rating of A3/A- for G7 and euro-zone markets, and Aa3/AA otherwise, based on lower of S&P and Moodys rating At least 1 year until final maturity Fixed-rate or zero notional coupon Bonds must be capital-indexed and linked to a commonly used domestic inflation index. In the Eurozone, domestic inflation indices and the EMU HICP are eligible
Inception December 31, 1996 Currency Denomination Multi Bloomberg <BCIX> <GO>
U.S.
Eurozone
U.K.
France
Japan
Italy
Sweden
Germany
Canada Australia Source: Barclays Capital
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Country Breakdown
Country
France Germany Italy Japan United Kingdom United States Other Total
Source: Barclays Capital
Total
6.6% 7.1% 8.1% 29.8% 6.7% 20.9% 20.8% 100%
Intermediate
5.0% 5.7% 5.5% 23.5% 3.5% 17.8% 16.6% 77.6%
Long
1.6% 1.4% 2.6% 6.3% 3.2% 3.1% 4.2% 22.4%
As of October 2009, the index represents the Treasury sector of the Global
Aggregate Index and contains issues from 36 countries denominated in 21 currencies.
The three major components of this index are the U.S. Treasury Index, the
Pan-European Treasury Index, and the Asian-Pacific Treasury Index, in addition to Canadian, Chilean, Mexican, and South African government bonds.
Key Rules
USD 300mn, EUR 300mn, GBP 200mn, 35bn JPY minimum amount outstanding Countries must have an investment grade sovereign rating using the middle rating of Moodys, S&P, and Fitch At least 1 year until final maturity Fixed-rate and step up coupons Fully taxable, publicly issued in the global and regional markets
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Total
17.6% 12.3% 62.9% 6.0% 1.2% 100%
BA
11.7% 5.0% 25.7% 2.6% 0.7% 45.7%
B
5.2% 3.1% 20.6% 2.5% 0.3% 31.7%
CAA
0.1% 1.0% 14.8% 0.8% 0.1% 16.8%
CA-NR
0.6% 3.2% 1.8% 0.1% 0.1% 5.8%
The Global High Yield Index provides a broad-based measure of the global
high yield fixed income markets with eligible bonds denominated in USD, EUR, and GBP, as of October 2009.
Other high yield benchmarks include the US HY FRN Index and US HY Loan
Key Rules
Minimum amount outstanding of USD 150mn for U.S. HY securities, EUR 100mn for Pan-European HY securities, USD 500mn/EUR 500mn for Emerging Markets securities. CMBS HY Index included in its entirety Rated high yield by middle rating of Moodys, S&P and Fitch At least 1 year until final maturity Fixed-rate and step-up coupons, U.S. EM HY may include floating-rate securities Denominated in USD, EUR, GBP, DKK, NOK
Inception January 1, 1990 Currency Denomination Multi Bloomberg ALLX <LG30> <GO>
Source: Barclays Capital
U.S. Corporate High-Yield U.S. Emerging Markets High-Yield U.S. CMBS High-Yield
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The Global EM Index family comprising USD, EUR, and GBP denominated
bonds from sovereign, government-related agency, and corporate issuers from countries with a sovereign rating of Baa1/BBB+ and lower. LATAM
CLP
COL CZK
EMEA
HRK RUB
PLN
TRY
ZAR
Asia
THB MYR
KRW
Global EM Index
US EM Index USD Pan Euro EM Index EUR GBP
Quasi-Sov Corporate
BENCHMARK INDICES
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HY
0.0% 1.1% 4.7% 0.0% 0.0% 0.0% 0.0% 5.8%
AAA
23.3% 11.7% 0.2% 33.1% 0.3% 2.6% 0.2% 71.3%
AA
0.0% 1.0% 3.1% 0.0% 0.0% 0.1% 0.0% 4.3%
A
0.0% 0.9% 8.7% 0.0% 0.0% 0.3% 0.0% 9.8%
BAA
0.0% 1.4% 7.3% 0.0% 0.0% 0.1% 0.0% 8.8%
Total
23.3% 16.1% 23.9% 33.1% 0.3% 3.1% 0.2% 100%
The U.S. Universal index was launched on January 1, 1999, and represents
the union of the U.S. Aggregate Index, the U.S. High Yield Corporate Index, the 144A Index, the Eurodollar Index, the U.S. Emerging Markets Index, the non-ERISA eligible portion of the Investment grade CMBS Index, and the Emerged Bonds Index.
Sector
Treasury Gov-Related Corporate
AAA
36.5% 9.1% 0.4% 0.3% 0.1% 9.8% 56.2%
AA
15.1% 2.9% 4.4% 0.0% 0.0% 0.6% 23.0%
A
3.6% 1.5% 8.8% 0.1% 0.0% 0.1% 14.1%
BAA
0.3% 0.7% 4.2% 0.1% 0.0% 0.0% 5.2%
HY
0.0% 0.2% 1.3% 0.0% 0.0% 0.0% 1.5%
Total
55.4% 14.3% 19.2% 0.5% 0.1% 10.4% 100%
Multiverse
Global Agg Global HY
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BAA
2.3% 0.0% 0.0% 2.3% 0.2% 1.0% 0.4% 0.4% 2.0%
AAA
0.0% 3.9% 79.3% 83.2% 0.0% 61.5% 16.3% 6.1% 83.9%
AA
0.0% 0.0% 1.7% 1.7% 0.0% 6.3% 1.5% 1.8% 9.6%
A
6.3% 0.0% 6.5% 12.9% 0.0% 2.0% 1.5% 1.0% 4.5%
Total
8.6% 3.9% 87.5% 100% 0.2% 70.7% 19.8% 9.3% 100%
Coverage by Currency
Sterling ABS: Collateral by Quality Composition Pan-Euro Pan Euro ABS Fixed Rate Pan Euro ABS Floating Rate
Fixed Rate
Collateral
Whole Business RMBS Other ABS CMBS Total Floating Rate Whole Business RMBS Other ABS CMBS Total
Source: Barclays Capital
AAA
8.0% 3.0% 6.0% 14.3% 31.3% 0.0% 65.8% 1.4% 11.8% 81.7%
AA
11.3% 0.0% 0.0% 7.9% 19.2% 0.0% 3.1% 0.0% 4.3% 7.4%
A
20.9% 0.0% 0.5% 6.3% 27.8% 0.8% 1.2% 0.8% 4.0% 6.2%
BAA
16.6% 0.0% 3.0% 2.0% 21.6% 0.0% 1.1% 0.0% 3.5% 4.8%
Total
56.9% 3.0% 9.5% 30.5% 100% 0.8% 71.2% 2.2% 23.5% 100%
EUR
GBP
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Total
73.1% 13.6% 9.1% 3.0% 0.7% 0.5% 100%
AAA
2.6% 11.6% 0.0% 3.0% 0.0% 0.0% 17.1%
AA
36.5% 0.8% 1.7% 0.0% 0.0% 0.5% 39.6%
A
31.9% 0.6% 5.2% 0.0% 0.5% 0.0% 38.2%
BAA
2.2% 0.6% 2.2% 0.0% 0.2% 0.0% 5.2%
The U.S. Floating-Rate Note (FRN) Index was launched on October 1, 2003.
This index is not part of any of our U.S. Aggregate Index, which is a fixed coupon index.
AAA
0.7% 0.0% 1.6% 1.0% 0.0% 0.0% 0.1% 3.4%
AA
32.1% 0.0% 0.7% 0.0% 0.0% 0.0% 0.0% 32.7%
A
51.6% 2.5% 0.4% 0.0% 0.5% 0.0% 0.0% 55.0%
BAA
6.2% 2.1% 0.0% 0.0% 0.3% 0.1% 0.0% 8.8%
Total
90.6% 4.6% 2.7% 1.0% 0.8% 0.1% 0.1% 100%
EUR
GBP
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Total
10.4% 14.0% 11.6% 10.6% 53.4% 100%
AAA
2.5% 2.5% 11.6% 10.6% 3.5% 30.7%
AA
7.1% 6.0% 0.0% 0.0% 23.0% 36.1%
A
0.7% 0.8% 0.0% 0.0% 19.1% 20.6%
BAA
0.2% 4.7% 0.0% 0.0% 7.7% 12.6%
Key Rules
$7mn minimum amount outstanding, issued as part of a transaction at least $75mn for the investment-grade Municipal Index Rated IG by middle rating of Moodys, S&P, and Fitch At least 1 year until final maturity Fixed-rate coupon Denominated in USD
State Breakdown
California 16.8% New York 14.9%
Others 50.8%
Inception January 31, 1980 Currency Denomination USD Bloomberg ALLX <LMBI> <GO>
Source: Barclays Capital
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Total
28.9% 9.4% 43.3% 18.4% 100%
AAA
0.0% 0.0% 0.5% 8.5% 9.0%
AA
7.8% 0.2% 4.7% 3.1% 15.8%
A
16.7% 3.5% 17.7% 2.8% 40.7%
BAA
4.4% 5.7% 20.4% 4.0% 34.5%
The U.S. Credit is also a component of the U.S. Aggregate and U.S.
Government/Credit Indices.
The U.S. Credit Index was called the U.S. Corporate Index until July 2000,
when it was renamed to reflect the indexs composition of both corporate and non-corporate issuers.
Exchange Traded Funds exist based on the U.S. Credit Index and the
following sub-indices: 1-3 Year, 1-10 Year, 10+ Year.
Key Rules
$250mn minimum amount outstanding Rated IG by middle rating of Moodys, S&P, and Fitch At least 1 year until final maturity Fixed-rate and step-up coupons Denominated in USD SEC-registered or Rule 144A with registration rights Fully taxable
U.S. Credit
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FNMA
6.8% 1.5% 39.6% 2.4% 50.2%
Sector Breakdown
Sector
15 Year 20 Year 30 Year Hybrid ARM Total
Source: Barclays Capital
FHLMC
4.9% 1.2% 26.1% 2.4% 34.6%
GNMA
0.3% 0.0% 14.7% 0.1% 15.1%
Total
12.0% 2.7% 80.5% 4.9% 100%
Key Rules
Pool aggregates must have at least $250mn minimum amount outstanding Pool aggregates must have a weighted average maturity of at least 1 year. Denominated in USD SEC-Registered, fully taxable issues
Agency (GNMA, FNMA, FHLMC) Program (30-year, 15-year, 20-year, 3/1, 5/1, 7/1, 10/1) Coupon (half percent increments for fixed-rate, quarter percent increments for ARMs) Origination Year based on WALA
BENCHMARK INDICES
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Par Swaps
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MV ($bn)
23.1 16.4 15.4 14.9 12.6 11.0 9.4 8.7 7.8 7.4
MV%
3.34% 2.37% 2.23% 2.15% 1.83% 1.59% 1.35% 1.25% 1.13% 1.08%
MV%
2.00% 2.00% 2.00% 2.00% 1.87% 1.62% 1.38% 1.28% 1.15% 1.10%
Capping Methodology
1. Set issuer concentration limit
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US Agg Float Adjusted (MV%) 28.13 13.42 10.19 0.86 1.17 1.20 20.07 38.38 34.44 32.49 1.95 0.41 3.53 100
Global Aggregate
U.S. Aggregate
U.S. Govt/Credit
Sterling Agg
Japanese Agg
U.S. MBS
BENCHMARK INDICES
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Canada
Asia EM
Japan
GDP weighted indices can be created from most standard or bespoke Barclays Capital fixed income benchmarks Global Aggregate GDP Weighted Index Global Treasury GDP Weighted Index EM Government Universal GDP Weighted Index EM Local Currency Government GDP Weighted Global Treasury Universal GDP Weighted Index Global Treasury Universal+ GDP Weighted Index Euro Treasury GDP Weighted
Construct GDP Weighted Benchmark Indices using calculated GDP country bloc or GDP country weights and rebalance monthly back to target GDP weight
Source: Barclays Capital
BENCHMARK INDICES
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INVESTABLE INDICES
37
Investable Indices Investable indices are the new market standard for accessing markets and strategies
Clear goals The index will track a strategy that is rules based, with no discretion or interference Liquidity Tradable indices reference liquid instruments with transparent pricing
Cost efficient An index may be an easier and cheaper way to gain exposure to new investment strategies
Low maintenance Active strategies incur operational burdens that can be avoided via an index
Market Access New asset classes require new infrastructure, trading relationships, and controls
INVESTABLE INDICES
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TRANSPARENCY Daily publication of index levels on Barclays Capital website and Bloomberg
Tr an sp ar
en cy
Ac c e s
Index methodology guides and fact sheets readily available Frequent index performance reports
ROBUSTNESS Strict standards for index design Dedicated IT team (20 people) handling implementation, daily calculation and checks Dedicated legal and compliance teams (6 people) ensuring proper documentation and licensing
RESEARCH Original research on investment strategies Funnel of ideas from different teams at Barclays Capital Standard framework for index development Global team of 20 analysts
INVESTABLE INDICES 39
ust Ro b s nes
ACCESSIBILITY Coverage of major asset classes Simple investment formats in difficult-toaccess markets: TRS, notes, options Growing number of ETFs and ETNs referencing our index products
sibil it y
Research
www.barcap.com/indices
Performance Analysis
Source: Bloomberg
INVESTABLE INDICES
40
All Barclays Capital indices are available in the Time Series Plotter tool (keywords: TSP or PLOT) on Barclays Capital Live Daily prices of investable indices can be found alongside benchmark indices and thousands of financial and economic variables The indices are laid out in an intuitive structure based on type (beta, enhanced beta, alpha etc.), currency and returns format
INVESTABLE INDICES
41
NU G
GE TT G: u s e Na A r m
e = u p o t a me = n l n &l N l u
1998
1999
2000
2001
2002
2003
2004
2005
2006
2007
2008
2009
2010
Key
Name ICI USD Index USD Excess Return RIVA Index USD Excess Return GEMS Index (USD) USD Excess Return US 10Yr Treasury Futures Index USD Excess Retur US 2yr Note future USD Excess Return
Maximum 200.492 07/24/2007 110.416 08/10/2010 216.635 08/04/2008 181.923 08/10/2010 125.049 08/06/2010
Performance Analysis
Historical performance metrics such as returns, volatilities and correlations are accessible with one click It is also easy to analyze performance over a custom sample period (e.g.: inception to date, last 1 year, custom dates)
INVESTABLE INDICES
42
It is possible to define dependent time series, such as returns and volatility series, using built-in functions Buttons are available for common tasks such as downloading data and copying or e-mailing charts Users have the ability to construct portfolios of strategy indices
Portfolios can be set up to rebalance monthly or quarterly The analytics support equal weighted or equal volatility weighted combination methods
The historical performance of strategy indices or portfolios of strategy indices can be compared to benchmarks It is easy to run time series regressions to calculate betas for various benchmarks or to decompose returns into components For detailed information and examples, see the publication Strategy Indices in Time Series Plotter, August 17, 2010
INVESTABLE INDICES
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Credit
Credit Beta (Swaps)
FX
Liquid Basket Borrowing Units
Commodities
BCI BGCI (Carbon) Pure Beta S2 Momentum Alpha Multi Strategy Voyager Backwardation ComBATS
Equity
Equity EM Series Chips Family
EM
EM Tradable Bond EM Swaps Equity EM Series GEMS KRW Term Premium SGD Exceed
Index Replication
RBIs Bond Indices REMIX (MBS) LBAR/SBAR Hedge fund
INSPIRE
NEMO
Tradeweighted FX CPCI
ASTRO
TOM
CRYSTAL
AIMS
BLSC
Navigator
Exceed
Q Series
TrendStar+
PRISM
The following sections provide one-page overviews of each of these featured indices. For a comprehensive list of investable index families see page 116.
INVESTABLE INDICES 44
Categorizing strategies
Most strategies can be categorized into one or more common themes or styles. Such categorization is typically a qualitative exercise and definitions of styles may differ by asset class. However, simple categorization can help the understanding of a strategy and indicate common characteristics. Macro-thematic Market technicals Carry Value Trend Momentum Volatility Market timing Market neutral
Strategies representing a fundamental, economic or geographical theme Strategies exploiting market flows and distortions not necessarily related to fundamentals Strategies attempting to earn a premium in compensation for taking on additional risk Strategies attempting to model the fair value of an asset and identify under- and over-pricing Strategies attempting to identify market-directional trends and position to benefit from these Strategies taking long exposure to outperforming and short exposure to underperforming assets Strategies taking exposure to or tracking market volatility measures Strategies using rules-based signals to take market-directional positions Strategies designed to exploit relative value between assets but with minimal market exposure
INVESTABLE INDICES
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INVESTABLE INDICES
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INVESTABLE INDICES
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Tracking rolling futures investments in various markets Tracking interest-rate swaps on EUR and USD fixings Tracking the yields on the US Treasury yield curve Tracking volatility implied from swaptions Trading the EUR-USD frontend Libor spreads Attempting to extract rolldown from front-end futures Steepener / flattener positioning in 2Y/10Y swaps Risk-budgeted portfolio of rates alpha strategies
CRYSTAL
Exceed
TrendStar+
PRISM
Index
Description
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Index performance
210 190 170 150 130 110 90 1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 US 10YR Index
The Bond Futures family of indices provide transparent access to global futures markets by replicating the price-return performance of rolling investments in front contracts in the US, Euro, Gilt, and Japanese markets. Futures prices are highly correlated with CTD bond yields and provide a means to express long or short rates views using instruments that are more liquid than underlying bonds. The Bond Futures Indices rebalance quarterly before expiry to avoid any potential market distortions around delivery.
49
Index performance
135 130 125 EURFix 5Y ER Index EURFix 2Y ER Index
The EURFix and USDFix Swap Index Family replicates the performance of investing in nominal interest rate swaps in EUR and USD. The key design feature of this family is that the excess return of each index is driven by the NPV of each underlying couponpaying swap, which is marked-to-market using transparent and publicly available EUR and USD market swap fixing rates. Each index tracks the return of a receiver nominal par coupon interest rate swap for specific tenors and on each rebalance date, the current swap is unwound and a new swap position is initiated. The indices are available in EUR and USD and for 2yr, 5yr, 10yr, 15yr, 20yr, 25yr and 30yr maturities.
120 115 110 105 100 95 90 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010
Sharpe ratio Index Calculation Best monthly return Worst monthly return Worst drawdown
Source: Barclays Capital
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Index performance
350 300 250 200 150 100 50 0 -50 -100 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 UST 2Y/10Y Yield Curve Index 10Y yield minus 2Y yield (RHS) 3.5% 3.0% 2.5% 2.0% 1.5% 1.0% 0.5% 0.0% -0.5% -1.0%
Barclays Capital US Treasury 2y/10y Yield Curve Index reflects investments in 2y and 10y futures positions, weighted to target a change in index level of 1 point per basis point increase in the 2y/10y slope of the yield curve. As such, the index level at a given point in time approximates the basis point differential between the 10y and 2y yield. The index rebalances monthly to maintain target exposures, and the underlying futures roll quarterly. This is an additive index, which starts at zero and can go negative. It does not compound and reflects unfunded investment.
2%
1%
0%
-1% 1990
1992
1994
1996
1998
2000
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Index performance
210 190 170 150 130 110 90 2004 EUR BPX 10Y/10Y ER Index
The BPX indices track the performance of exposure to implied basispoint volatility in swaptions markets. By investing in rolling swaption straddle positions while going short corresponding underlying annuities, the indices generate returns that are highly correlated with the return of changes in implied basis-point volatility. The BPX indices are in excess return format and are available for the EUR, GBP, and USD swaption markets. Available maturities vary from 2y/5y out to 15y/15y including most intermediate combinations.
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Index performance
190 180 170 160 150 140 130 120 110 100 90 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 CRYSTAL ER Index
Monetary policy cycles in the US and in Europe have historically exhibited extended periods of synchronous and asynchronous behavior. The Barclays Capital CRYSTAL index is designed to exploit such phenomena: (1) Consistent policy mode: When CRYSTAL signals indicate a bias for European and US rates to move in the same direction, CRYSTAL will take a directional rates position. (2) Divergent policy mode: When CRYSTAL signals indicate a bias for European and US rates to move in opposing directions, CRYSTAL will take a spread position.
53
Index performance
135 130 125 120 115 110 105 100 95 90 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 Atlantic Exceed ER Index
The Barclays Capital Atlantic Exceed exploits the term premium observed in the short end of an upward-sloping yield curve by taking positions in US and Euro futures markets. The strategy is designed to perform throughout the monetary policy cycle by dynamically switching position in each of the two markets from long to short in the forward rate contracts using a money market signal. The index is constructed using the front red interest rate future contracts which relate to the 3M Libor 1yr forward rate.
54
Index performance
170 160 150 140 130 120 110 100 90 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 Global Target Exceed ER Index
The Barclays Capital Global Target Exceed Index exploits the term premium observed in the short end of an upward-sloping yield curve by taking positions in USD, EUR, GBP and JPY futures markets. The strategy is designed to perform throughout the monetary policy cycle by dynamically switching position in each of the two markets from long to short in the forward rate contracts using a money market signal and a risk-reward signal.
2001
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55
Index performance
230 210 190 170 150 130 110 90 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 TrendStar+ USD ER Index
Barclays Capital TrendStar+ is a curve strategy that attempts to earn any carry and rolldown available from a durationneutral 2s10s steepener on the US swap curve. The strategy reverses to a flattener when short-term rates are expected to rise. The signal is based on the observation that the slope tends to flatten when short-term rates are rising. The short-term rate expectations are assessed using a proxy 3m OIS rate backed out from the fed fund futures strip.
56
Index performance
270 250 230 PRISM ER Index
Barclays Capital PRISM is a strategy combination framework that assigns monthly weights based on an equal volatility contribution. This approach assigns lower weightings to highvol strategies. Additionally, a portfolio volatility cap reduces weightings in distressed situations in which correlations tend toward one. The PRISM index is the first application of the framework on three fundamentally motivated rates strategies: 1) Barclays Capital Atlantic Exceed - exploiting term premium in the front end of the yield curve, with a signal to go short in rising rate environments 2) Barclays Capital TrendStar+ - taking steepening or flattening positions in the 2y/10y part of the curve based on trends in short rates 3) Barclays Capital AIMS - long / short TIPS strategy that uses current and expected inflation signals to forecast flows between TIPS and nominal treasuries. The PRISM index targets a 2% risk contribution per index and a 4% portfolio risk cap.
210 190 170 150 130 110 90 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010
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Access to inflation swaps in various markets Synthetic replication of inflation in Canada and Australia Long/short strategy in TIPS based on anticipated flows
AIMS
Index
Description
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Index performance
105 100 95 90 85 80 2006 US 10Y Inflation Swap Index 10Y BEI Swap Rate (RHS) 140 120 100 80 60 40 20 0 -20 2007 2008 2009 2010
Monthly rebalancing zero-coupon inflation (receiving inflation) and rate swap indices in G4 and AUD for various tenors. ER indices are generated from pure swap performance based on NPV calculated using standard market conventions. TR versions assume an additional cash component earning Libor. These tradable indices can be combined to hedge or replicate liability profiles sensitive to inflation and rates. They can also be used as components in strategy index products.
Client
Fixed Breakeven
+
ZC inflation swap (IS)
=
Barclays Capital
Source: Barclays Capital
Actual Inflation
59
Index performance
108 106 104 102 100 98 96 94 92 90 2004 0 2005 2006 2007 2008 2009 2010 1 3 2 4 INSPIRE AUD ER Index AUD Govt. Inflation-Linked >10Y Maturity BEI (RHS) 5
The AUD INSPIRE Index is designed to provide synthetic inflation protection for Australia using an optimized weighted combination of actively traded and liquid inflation swap indices from the US, UK, and EUR. The weights are obtained monthly through the proprietary INSPIRE cost constrained optimization model, which dynamically replicates a forward interest rates-based Australian inflation measure by combining inflation swap breakevens from the US, UK, and EUR. The AUD INSPIRE Index can be used to replicate expected inflation in Australia at various tenors, currently available in excess return versions of 5yr, 10yr, and 20yr maturities.
AUD
Worst drawdown
Source: Barclays Capital
BE
60
Index performance
210 190 170 150 130 110 90 1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 AIMS USD ER Index
Barclays Capital AIMS seeks to enhance returns generated by a long-only portfolio of inflation securities. The strategy takes long or short monthly swap positions on the Barclays Capital US government inflation-linked bond index based on a signal measuring expectations of market flows from nominal to inflation-protected bonds. The signal is based on two factors which attempt to capture the likelihood of investors switching to inflation-protected: CPI y/y print relative to its previous value US swap 2s10s slope relative to its previous value
2%
1%
0%
Worst drawdown
Source: Barclays Capital
-1% 2002
2003
2004
2005
2006
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2010
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Access to European and US benchmark portfolio CDS Capturing trends in European iTraxx CDS spreads Steepener or flattener positions in EUR iTraxx Crossover
BLSC
Index
Description
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Index performance
125 120 115 CDX IG 5Y TR Index
The Credit Beta family of indices reflect the performance of rolling positions in on-the-run iTraxx and CDX portfolio default swaps. These investments earn regular premiums in compensation for providing payments on default of any underlyings. The iTraxx Europe and Crossover portfolios represent the 125 most liquid investment grade companies and 50 most liquid high yield companies in Europe, respectively. The CDX IG portfolio represents the 125 most liquid North American investment grade companies.
2004
2005
2006
2007
2008
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2010
50 0 2004
63
Index performance
130 125 120 115 110 105 100 95 90 2007 NEMO EUR TR Index iTRAXX EUR 5Y TR
The Barclays Capital NEMO Index tracks the total return performance of the high-frequency trend-following strategy, NEMO. The strategy takes long and short positions on the iTraxx Europe 5y CDS index contracts based on a daily signal which takes into account: Medium-term and intraday trend information Trading activity levels and transaction costs The strategy is designed to perform well in periods of high volatility when other credit investments may underperform and serves as an alternative to buying credit options.
2008
2009
2010
64
Index performance
112 110 108 106 104 102 100 98 96 94 2004 2005 2006 2007 2008 2009 2010 BLSC EUR ER Index
The Barclays Capital Long-Short Credit (BLSC) index reflects the performance of a quantitative strategy that takes duration neutral steepener and flattener positions on the iTraxx Crossover 5y10y index curve spread. The strategy is biased toward a positive-carry earning steepener position but uses fundamental market signals to switch to a flattener position in periods of expected higher risk. The strategy rebalances monthly to maintain duration exposure and rolls every six months to the on-the-run iTraxx Crossover contracts.
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Tracking most traded currencies against US Dollars Aiming to build a 0% interest rate currency Long or short USD or JPY versus trade-weighted FX basket Tracking currencies of commodity-producing countries Identifying over- and underpriced currency volatilities Long high-yielding versus lowyielding G10 currencies Identifying over, and undervalued currencies Identifying currency trends and reversion Dynamic portfolio of Carry, Trend and Value strategies
Index
Description
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130 120 110 100 90 80 70 60 2000 Liquid Basket USD ER Index
The Barclays Capital Liquid Basket Index is designed to track the performance of a portfolio of weighted short positions in five of the most actively traded currencies versus the US Dollar, expressed through 1-month cash settled FX forwards. The basket is constructed based on settlement data from the Bank for International Settlements (BIS) and currently consists of five currencies: Australian Dollar (AUD), Swiss Franc (CHF), Euro (EUR), British Pound (GBP) and Japanese Yen (JPY). The weightings of these currencies reflect the relative significance of the latest trade settlement volumes.
2001
2002
2003
2004
2005
2006
2007
2008
2009
2010
GBP, -15.18%
JPY, -22.35%
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Index performance
125 120 115 110 105 100 95 90 85 80 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 Global Borrowing Unit ER Index
The Barclays Capital Borrowing Unit Index family has been designed to provide savings over 1M Libor borrowing rates by utilizing the carry generated by a portfolio of currencies. The portfolio is rebalanced monthly to reflect Libor rate changes while minimizing portfolio volatility. The interest rate of each unit is the weighted average of the optimized G10 portfolio. The Borrowing Unit indices are available in different currencies (USD, EUR, GBP and DKK).
68
Index performance
140 130 120 110 100 90 80 2000
The Trade-Weighted Dollar Diversification Index and the Dollar Bull Index are tradable indices intended to reflect the depreciation or appreciation, respectively, of the U.S. Dollar against a trade-weighted basket of other currencies. The basket of currencies is determined by the composition of the U.S.s key trading partners. The weights of these countries currencies in the basket have changed over time, reflecting changing trade balances of other countries with the U.S. These indices are designed to target a fixed volatility and are available in both total return and excess return versions.
2001
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GBP, 4.54% SGD, 2.02% KRW, 3.68% INR, 2.07% MXN, 16.59% JPY, 7.79% BRL, 2.49% CNY, 19.46%
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Index performance
230 210 190 170 150 130 110 90 2002 CPCI USD ER Index
The Commodity Producers Currency Indices are designed to provide an investor exposure to the performance of commodityproducing countries currencies versus the U.S. dollar. The CPCI indices track the performance of long positions in six equally weighted currencies (AUD, BRL, CAD, NOK, RUB, and ZAR) versus the U.S. dollar, expressed through 1-month cash settled forward rate agreements. Investors can choose between two version of the indices one with fixed volatility targeting and the other without volatility targeting and between Total Return and Excess Return versions expressed in AUD, EUR, JPY, SGD, or USD.
2003
2004
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2010
CPCI Weights
ZAR, 16.67% RUB, 16.67%
NOK, 16.67%
AUD, 16.67%
CAD, 16.67%
BRL, 16.67%
70
Index performance
160 150 140 130 120 110 100 90 2000 Alpha Vol USD ER Index
The Barclays Capital FX Volatility Index family takes long and short positions in forward volatility agreements for the G10 currencies. The Beta Vol and sBeta Vol strategies use a systematic ranking model that generates buy or sell signals based on the expected return of each asset. In the Alpha Vol strategy a systematic mean optimizer model is run to determine the weights of each of the forward volatility agreements in the index, based on pre-defined risk and return parameters.
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Annual excess return volatility Sharpe ratio Best monthly return Worst monthly return Worst drawdown
Source: Barclays Capital
USDCAD USDCHF USDJPY AUDJPY EURJPY EURNOK AUDUSD EURGBP EURSEK EURUSD GBPUSD EURCHF
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Index performance
210 190 170 150 130 110 90 2000 ICI USD ER Index
The Intelligent Carry Index is intended to reflect the performance of the Intelligent Carry Strategy. The index aims to provide investors with optimized long/short exposure to G10 money-market instruments and earn yield differentials observed between markets. The weights assigned to the G10 positions are chosen through an optimization technique that targets the risk on the strategy.
2001
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2003
2004
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2007
2008
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72
Index performance
150 140 130 120 110 100 90 2000 FX Value Convergence USD ER Index
Long-term currency investors tend to rely on a valuation benchmark, such as Purchasing Power Parity (PPP) Theory, to decide when currencies are undervalued or overvalued. The FX Value Convergence Index takes long and short positions in G10 currencies while targeting a volatility of 5%. The underlying portfolio rebalances monthly, taking long and short positions on currencies deemed to be converging back to their PPP-based fair value from being undervalued and overvalued, respectively.
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Note: Chart for illustration only Actual historical strategy positions may differ. Source: Barclays Capital
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Index performance
160 150 140 130 120 110 100 90 2000 Adaptive FX Trend USD ER Index
The Adaptive FX Trend index attempts to capture alpha by identifying trends and trend reversals in the foreign exchange markets. The index targets a volatility of 5%, invests in G10 currencies and rebalances daily. Long and short currency positions are set according to moving averages and volatility analysis and are adjusted by scaling according to volatility.
2001
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Apr 09
Jul 09
Oct 09
Jan 10
Apr 10
Jul 10
Oct 10
Note: Chart for illustration only Actual historical strategy positions may differ. Source: Barclays Capital
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FX: FX Switch
Overview
Style Alpha Featured Index FX Switch USD ER Bloomberg BXIISWEU Live Date Apr 2010
Index performance
170 160 150 140 130 120 110 100 90 2002 FX Switch USD ER Index
The Barclays FX Switch Index utilizes market environment signals to dynamically allocate weights between three underlying FX index strategies the Intelligent Carry Index (ICI), the FX Value Convergence Index, and the Adaptive FX Trend Index. During unfavorable carry environments when volatility is high and interest rate differentials are low the strategy switches the weights allocated to the underlying strategy indices. Total Return and Excess Return formats are both available. The index is calculated in EUR; however, foreign currency versions are also available.
2003
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Trend 25% Carry 50% Value 25% SWITCH Trend 50% Value 50%
Annual excess return volatility Sharpe ratio Best monthly return Worst monthly return Worst drawdown
Source: Barclays Capital
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BCI BGCI (Carbon) Pure Beta S2 Momentum Alpha Multi Strategy Voyager Backwardation
Providing a broad-based commodities benchmark index Tracking investments in most liquid carbon credit schemes Targeting tracking of nearby futures avoiding distortions Targeting outperforming points on term structure Applying distinct strategies to individual commodity sectors Seeking to generate absolute commodity returns Exposure to scarce commodities implied by backwardation Strategy going long Momentum Alpha and short nearby
ComBATS
Index
Description
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700 600 500 400 300 200 100 0 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 BCI USD TR Index BCI Trade-Weighted USD TR Index
The Barclays Capital Commodities Index (BCI) is intended to be representative of the tradable market in USD commodity futures and it has been constructed to offer a benchmark for commodity investors. The BCI uses liquidity as the criterion for commodity selection and index weighting. The index imposes sector- and commodity-level weight caps on top of the liquidity weighting to provide investors with a diversified exposure to commodity markets. To cater for different investment objectives, two benchmarks are available: BCI and BCI Trade-Weighted.
BCI Agriculture
BCI Softs
Worst drawdown
Source: Barclays Capital
77
Index performance
210 190 170 150 130 110 90 70 50 2006 Global Carbon USD ER Index
The Barclays Capital Global Carbon Index (BGCI) measures the performance of the most liquid carbon-related credit schemes and is designed to be an industry benchmark for carbon investors. Each scheme included in the index is represented by the most liquid instrument available in the marketplace. The index expects to incorporate new schemes as they develop around the world. At inception, the index includes two schemes: i) EU ETS Phase II and ii) Kyoto Clean Development Mechanism (CDM).
2007
2008
2009
2010
Scheme
Sharpe ratio
Other schemes as they become eligible ...
Carbon instrument
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Index performance
Bloomberg Live Date ER BCC3C1PP Oct 2009
40% 30% 20% 10% 0% -10% -20% -30% -40% 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 Pure Beta on DJ-UBSCI ER DJ-UBSCI ER
Barclays Capital Pure Beta indices are designed to provide a representative measure of commodity market returns while retaining the tradability of standard commodity benchmarks. The indices are constructed around the concept of providing the best proxy for the average price return of the front-year futures for each commodity while avoiding parts of the curve that are subject to persistent market distortions. Each month, Pure Beta uses a multi-step selection process to assess the relevance of different forward contracts and to select a single tenor for each commodity.
Last 12 Months PB 18.42% 15.83% 1.2 1.97% 1.87% 1.1 14.91% 15.86% DJ-UBS 16.67% 16.38% 1.0
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Index performance
Bloomberg Live Date ER BCC3C1MP Apr 2008
5% 4% 3% Momentum Alpha on DJ-UBSCI ER Monthly Outperformance Outperformance Index (RHS) 190 170 150 130 110 210
Barclays Capital Momentum Alpha aims to maximize outperformance relative to each nearby index through a dynamic commodity curve positioning process. Momentum Alpha indices gain exposure to the point on the commodity term structure with the highest historical outperformance, or alpha. Momentum Alpha can be applied to any benchmark index, sector, or sub-index. Available as single commodity indices and highly customizable.
-4% 90 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010
DJ-UBSCI
DJ-UBS Energy
DJ-UBS Metals
ComBATS 9
Customised
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Index performance
Bloomberg Live Date ER BCC3C1UP Feb 2010
500 450 400 350 300 250 200 150 100 50 0 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 Multi-Strategy DJ-UBSCI USD ER Index DJ-UBSCI ER Index (Rebased)
Barclays Capital Multi-Strategy Indices implement a customized enhancement strategy for each sector in order to improve the risk-return profile. Each commodity exhibits unique behavior and the MultiStrategy indices identify enhancements which are targeted to maximize beta returns at the individual commodity level. Strategies include roll yield maximization, momentum alpha, and a seasonal enhancement.
Natural Gas
81
Index performance
Bloomberg Live Date USD ER BCC3C1VP Jun 2010
600 500 400 300 200 100 0 2000 Voyager DJ-UBSCI USD ER Index DJ-UBSCI ER Index (Rebased)
The Barclays Capital Voyager Index provides commodity investors with exposure to enhanced beta during normal market conditions, but switches to a market-neutral alpha allocation on a commodity-by-commodity basis if a bearish trend is detected. A signal based on technical factors is employed to switch from an enhanced beta (bullish) to alpha (bearish) allocation. The signal is tested twice a month, allowing the index to be response to trends in the markets.
2001
2002
2003
2004
2005
2006
2007
2008
2009
2010
Bearish Alpha Allocation Long Enhanced Beta Allocation/ Short nearby Index
82
Index performance
1600 1400 1200 1000 800 600 400 200 0 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 Backwardation USD ER Index DJ-UBSCI ER Index (Rebased)
In order to provide investors exposure to commodity strategies that take advantage of the concurrence between scarcity, backwardation and positive returns, Barclays Capital introduces the Backwardation Indices. The indices select commodities according to the degree of backwardation in order to identify scarce commodities and to benefit from their expected positive results. The slope of the futures curve, and in particular the degree of backwardation of the curve, is widely accepted to be a good proxy for scarcity.
Low inventories make the near contracts trade at higher prices Nearby Future Source: Barclays Capital Distant Futures Time to Expiry
83
Index performance
700 600 500 400 300 200 100 0 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 Backwardation Long Short USD ER Index
The Barclays Capital Backwardation Long Short Index ranks a universe of 23 commodities on their degree of backwardation. It takes a long position in the six most backwardated commodities and shorts the six most contangoed/least backwardated commodities. The selected commodities are equally weighted and the sum of the absolute weights is 100%. Commodities in backwardation have historically achieved higher returns, as seen in the figure below.
Backwardation 6% 9%
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Index performance
4% 3% 2% 1% 0% -1% -2% -3% -4% 2000 2001 2002 ComBATS 6 Monthly Excess Returns ComBATS 6 USD ER Index (RHS) 290 265 240 215 190 165 140 115 90 2003 2004 2005 2006 2007 2008 2009 2010
The Barclays Capital ComBATS 6 Index reflects the performance of a market neutral alpha strategy that aims to exploit the curve shape based on the Momentum Alpha Strategy. The Momentum Alpha indices measure the performance of holding and rolling futures contracts selected along the futures curve according to momentum of historical outperformance. ComBATS 6 is comprised of a basket of ten commodity longshort pairs selected to provide a balance of sector and commodity weights.
Commodity Weights
Short: Nearby Indices Heating Oil Natural Gas WTI Aluminium Copper Nickel Zinc Wheat Lean Hogs Sugar -20% -15% -10% -5% 0% 5% 10% 15% 20% Long: Momentum Alpha Indices
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Exposure to various thematic Emerging Market baskets Thematic access to quality stocks Capturing the premium in short-term mean reversion Strategy based on the turn-ofmonth effect in stock indices Capturing trends in a portfolio of European stock indices Quantitative methods applied to various strategic focuses
ASTRO
TOM
Navigator
Q Series
Index
Description
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Index performance
500 450 400 350 300 250 200 150 100 50 0 2004 2005 2006 2007 2008 2009 2010
The purpose of the Barclays Capital CEEMEA Sector Indices is to provide exposure to five key equity sectors (Bank, Consumer, Energy, Material and Telecom) in the CEEMEA region through liquid and tradable instruments. Before being included in an index, each stock has to pass a screening process based on market capitalization and liquidity. The index determines the new stock selection once a year at the close of business on the first business day of August according to the relevant exchange calendars.
87
Index performance
400 350 300 250 200 150 100 50 2005 E7 USD TR Index S&P BRIC 40 Index (Rebased) MSCI EM Index (Rebased)
The Barclays Capital E7 Equity Index is constructed to provide exposure to equity shares in the E7 countries: China, India, Brazil, Mexico, Russia, Indonesia and Turkey. Each stock included in the index passes a screening process based on market capitalization and liquidity. The index rebalances twice a year on the second Monday in March and September according to the relevant exchange calendars.
2006
2007
2008
2009
2010
E7 Selection Procedure
Initial Universe
88
Index performance
400 350 300 250 200 150 100 50 2005 AEM USD TR Index S&P BRIC 40 Index (Rebased) MSCI EM Index (Rebased)
The Barclays Capital Advanced Emerging Markets (AEM) Equity Index is designed to provide exposure to advanced emerging market countries. The list of AEM countries is determined by the Barclays Capital Emerging Markets Research team with the aim of selecting countries with greater potential for solid future growth, but with less volatility and tail risk. Current AEM countries are Singapore, Chile, Korea, Taiwan, Israel, China, Brazil, South Africa, Poland and the Czech Republic.
2006
2007
2008
2009
2010
89
Index performance
450 400 350 300 250 200 150 100 50 0 2005 2006 2007 2008 2009 2010
Barclays Capital Chips Indices are designed to provide exposure to quality stocks in various country, sector and investment themes through long-only investing. Before being included in an index each stock has to pass a screening process based on market capitalization, liquidity and a specific thematic Chips factor. The index then filters the remaining stocks for quality, based on the P/E ratio and the Return on Common Equity ratio.
European Chips EUR TR Index US Chips USD TR Index Green Chips USD TR Index Black Chips USD TR Index
UK Chips USD TR Index China Chips HDK TR Index Grey Chips USD TR Index
Sector Exposure
Green Chips Grey Chips Environmentally friendly global stocks Global stocks involved in senior activities
Sharpe ratio Best monthly return Worst monthly return Worst drawdown
Source: Barclays Capital
90
Index performance
190 180 170 160 150 140 130 120 110 100 90 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 ASTRO US ER Index
The Barclays Capital ASTRO index is designed to take advantage of short-term mean reversion in equity markets by replicating the daily-weekly variance spread. The index employs a delta hedging approach through a long or short position on the underlying index, with capped delta exposure. The index is available in Excess Return and Total Return formats.
Annual excess return volatility Sharpe ratio Best monthly return Worst monthly return
Cap Delta
The absolute value of daily delta is capped at 150% and the absolute amount of delta that is rebalanced every day is also capped at 150%.
Worst drawdown
Source: Barclays Capital
91
Index performance
800 700 600 500 400 300 200 TOM Long/Short Euro STOXX EUR ER Index TOM Long Euro STOXX EUR ER Index DJ EURO STOXX 50 ER (Rebased)
The Barclays Capital Turn-Of-the-Month Index Family is constructed to enable investors to access equity indices in a more efficient way than a traditional buy-and-hold approach.
Long
TOM
TM
Long/Short
100 0 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010
US S&P 500
UK FTSE 100
Price return, excess return, and total return versions are available
TOM
TM
First 3 days
Strategy goes short 10 business days before month-end Strategy closes its short position four business days before month-end Strategy goes long
Month n+1
First 3 days 4 5 6 Last 10 days Last 3 days
Strategy sells the equity position three business days after beginning of following month
92
Index performance
600 500 400 300 200 100 0 2001 Navigator EUR Index ER DJ EURO STOXX 50 ER (Rebased)
The Barclays Capital Navigator EUR Index is designed to capture upward or downward trends in European Equity indices (DJ EURO STOXX 50 TOTAL Return Index, DAX 30 Index, CAC 40 Total Return Index, IBEX 35 Total Return, S&P/ MIB Total Return Index ). This is done by using a quantitative model, which for each equity index out of a certain universe attempts to identify the current trend and selects the most appropriate position to be taken (long, short or neutral) over the next two weeks.
2002
2003
2004
2005
2006
2007
2008
2009
2010
Uptrend
+ +
Increasing Volatility
= =
LONG
In MeanReverting Markets
Downtrend Decreasing Volatility SHORT
93
Index performance
300 250 200 150 100 50 0 1999 Q-GSP USD ER Index S&P500 (Rebased)
The Barclays Capital Q-GSP (Growth Stock Picking) Index is designed to extract value from growth stocks at a reasonable price through monthly optimization from a universe of stocks filtered through liquidity and growth metrics. The initial universe is filtered based on market cap and daily turnover. A growth filter is applied to select stocks that have positive historical annual growth and positive expected growth, measured as the expected quarterly earnings per share for the next quarter minus the latest reported. Remaining stocks are ranked and the top 25 selected.
2000
2001
2002
2003
2004
2005
2006
2007
2008
2009
2010
+
Growth Rate & PE Ranking
Sharpe ratio Best monthly return Worst monthly return Worst drawdown
Source: Barclays Capital
94
Index performance
250 Q-True Value Large Cap USD ER S&P500 (Rebased)
The Barclays Capital Q-True Value Index invests in value stocks with low default risk, as measured by the Barclays Capital Corporate Default (CDP) probability model. The index rebalances monthly to capture the most recent market information for a universe of stocks filtered through a number of value metrics and subject to a CDP ranking. The strategy takes a long position in the selected basket of stocks and a short position in a benchmark index.
2002
2003
2004
2005
2006
2007
2008
2009
2010
+
CDP Ranking
Sharpe ratio Best monthly return Worst monthly return Worst drawdown
Source: Barclays Capital
95
Index performance
400 350 300 Q-BES USD ER Index S&P500 (Rebased)
The Barclays Capital Q-BES indices take advantage of the market reactions to positive earnings surprises versus consensus estimates for US or European companies. The index rebalances monthly to capture the most recent market information for a universe of stocks filtered through a number of value metrics. The strategy takes a long position in the selected basket of stocks and a short position in a benchmark index.
2000
2001
2002
2003
2004
2005
2006
2007
2008
2009
2010
+
Earnings Surprise Test
Sharpe ratio Best monthly return Worst monthly return Worst drawdown
Source: Barclays Capital
96
Index performance
160 140 120 US Q-MA USD ER Index S&P500 (Rebased)
The Barclays Capital Q-MA US Index is designed to provide investors exposure to potential arbitrage opportunities arising from the US merger and acquisitions market. The strategy takes a long position in the targets stock after a deal is announced and holds the position until completion or termination of the deal. The long portfolio of target stocks is hedged with the S&P500 TR index to make the index market neutral.
100 80 60 40 20 0 2005
2006
2007
2008
2009
2010
Sharpe ratio Best monthly return Worst monthly return Worst drawdown
Source: Barclays Capital
97
he ro -t
ke t
Va l
Ca
EM Tradable Bond Family EM Swaps Equity EM Series1 GEMS KRW Term Premium SGD Exceed
Diversified, tradable, thematic baskets of EM bonds Tracking investments in EM interest rate swaps Exposure to various thematic Emerging Market baskets Tracking investments in 15 EM money markets Extracting term-premium from the KRW swap curve Extracting term-premium from the SGD yield curve
1 Details of the Equity EM Series can be found in the Investable Indices Equities section. INVESTABLE INDICES EMERGING MARKETS
Index
Description
Tr en d
ac
rr
ue
ar
180 170 160 150 140 130 120 110 100 90 2004 2005 2006 2007 2008 2009
Index performance
EM Tradable USD Sovereign Index Broad EM USD-Sov Index
LATAM
EMEA
Year 2H 2004 2005 2006 2007 2008 2009 1Q 2010 Jun 2004-1Q 2010 (Annualized)
Broad EM USDSov Universe Difference (MV weighted) 16.08 14.66 1.42 12.32 10.51 1.81 9.62 9.94 -0.32 5.50 6.10 -0.60 -10.70 -10.63 -0.07 24.88 27.58 -2.70 3.28 3.84 -0.56 9.93 10.07 -0.14 Avg Monthly TEV -0.02 Realized TEV 0.99 Corr. of monthly returns 97.5%
Qatar
Brazil
Israel
Peru
UAE
99
Index performance
Index Value 110 100 90 80 70 Jul-08
Jan-09
EMLO CALIndex
Jul-09
Jan-10
Jul-10
Asia
Eastern Europe
Latin America
Year 4Q08 1Q09 2Q09 3Q09 4Q09 1Q10 2Q10 3Q10 4Q10 Aug 2008-Dec 2010 (Annualized)
Source: Barclays Capital
EMLOCAL Index -7.53% -5.44% 13.32% 7.94% 3.63% 4.40% -3.99% 11.02% 0.30% 4.68%
EM Loc Currency Difference Govt Index (bps) -5.56% -6.76% 12.38% 8.29% 3.23% 4.75% -3.30% 11.04% 0.06% 4.44% -197 132 94 -35 40 -35 -69 -2 24 24 1 84 100
4%
Thailand Malaysia S.Korea Poland Russia Indo.
Hungary
Mexico
Brazil
0%
Source: Barclays Capital
Israel
Chile
Peru
2%
Egypt
S.Africa
Turkey
EMGILB Constrained
Mar-10
EMGILB EMGILB Ex Argy Ex Colom (constrained) 13.98% 15.17% 0.92 1.27% 0.99 54 11.15% 18.25% 0.61 4.24% 0.95 65
101
Index performance
135 130 125 120 115 110 105 100 95 90 2002 2003 2004 2005 2006 2007 2008 2009 2010 2 1.5 4 3.5 3 2.5 SGD 10Y Swap ER Index SGD 10Y Swap Rate (RHS) 5 4.5
The Barclays Capital EM Asia and EEMEA Swap Index families extend our investable global nominal interest rate swap index coverage into the EM space using transparent swap pricing. The indices can be used as cost efficient systematic duration access tools, hedging tools, benchmarks, and components in strategy indices. 1yr forward 1yr receive fix swap indices supplement the core spot starting indices. A long-dated SGD index is also available.
102
Index performance
250 230 210 190 170 150 GEMS USD ER Index
The Barclays Capital GEMS family of Indices are investable indices that allow access to major emerging markets with a short duration, liquid, and diversified investment. The GEMS indices are based on the concept of accessing short-term money markets in 15 major emerging markets across the world. Various sub-indices reflecting certain regions, such as LatAm, BRIC, and Asia, as well certain currency policies, such as the index of pegged currencies.
2002
2003
2004
2005
2006
2007
2008
2009
2010
Total Return
Global EEMEA ASIA LatAm
Alpha
EUR JPY AUD
Spot
Global Pegged Asia - 8 BRIC
Sharpe ratio Best monthly return Worst monthly return Worst drawdown
Source: Barclays Capital
103
Index performance
110 108 106 104 102 100 98 2002 KRW Rates Term Premium ER Index KRW Rates Term Premium Long-Only ER Index
The Barclays Capital KRW Term Premium Index provides access to a systematic forward bias strategy and aims to offer enhanced returns across interest rate cycles. The index framework dynamically selects long or short positions in forward swaps given trends in rates and the shape of the swap curve. Given that Korea is a very open economy, the trend component of the signal also assesses information from the US rates markets.
2003
2004
2005
2006
2007
2008
2009
2010
104
Index performance
110 108 106 104 102 100 98 2002 SGD Exceed ER Index SGD Exceed Long-Only ER Index
Tradable, transparent, and rules-based index built on a simple algorithm which extracts excess returns from the short end of the SGD curve using a forward swap index. The default position is long the swap, benefiting from positive roll down, due to the term premium. However there is a long/ short feature based on a rates trend identification signal. SGD and USD short rates define the signal since Singapore is a trade-oriented economy managing a trade-weighted currency and, thus, is influenced by local conditions and the US.
2003
2004
2005
2006
2007
2008
2009
2010
105
he ro -t
ke t
Va l
Ca
Tracking bond indices using derivative instruments Tracking the US MBS FixedRate Index with TBA positions Tracking the HFRI Composite Index
Index
Description
Tr en d
ac
rr
ue
ar
Index performance
140 130 US Aggregate RBI US Aggregate Index
Replicating Bond Index (RBI) baskets are portfolios of derivative instruments designed to track a bond index. The basket is reconstituted each month, using a mechanistic algorithm to match, as closely as possible, the term structure and spread exposures of the relevant Barclays Capital index. RBI baskets can be created on any Barclays Capital Index or custom index. A series of RBI baskets with different derivative replication strategies are also available for the same benchmark index.
2005
2006
2007
2008
2009
2010
Description
TRS (UST, MBS) Swaps, CDX TRS (UST), Swaps, CDX TRS (UST, US MBS), Swaps, JGB futures, CDX, iTraxx Swaps, JGB futures, CDX, iTraxx Futures, Swaps, iTraxx Swaps, JGB futures
TEV (bp/mo)
44.0 57.8
34.5
174.1
RBI Baskets
Govt / Credit
Euro Aggregate RBI Japanese Aggregate RBI (from Oct 2003) Source: Barclays Capital
107
Adding MBS Allocation to an Intermediate UST Portfolio Improves Overall Portfolio Performance
0.50 0.48
Sharpe Ratio
The Replicating Mortgage Index is a portfolio that holds 12-18 liquid TBA positions, rebalanced monthly, to track the performance of the US MBS Fixed-Rate Index. REMIX offers clients an opportunity to efficiently gain exposure to the MBS sector without the portfolio management and operations overhead of a fully fledged cash-settled MBS portfolio operation. Performance has closely tracked the MBS Index: the average monthly tracking error has been -0.4 bp/mo with a tracking error volatility of 7.9bp/mo. Customized/tailored versions of REMIX are available.
10%
20%
80%
90%
100%
Adding MBS to an Intermediate UST Portfolio Improves the Portfolios Tail Risk Properties
MBS proportion Monthly total return Monthly total return volatility Best monthly return Worst monthly return 0% 0.42% 0.98% 3.70% 20% 0.43% 0.95% 3.57% 40% 0.44% 0.94% 3.45% 60% 0.45% 0.94% 3.33% 80% 0.47% 0.96% 3.21% 100% 0.48% 0.99% 3.08%
2002
2003
2004
2005
2006
2007
2008
2009
108
Index performance
The Long Barclays Alternatives Replicator (LBAR) index is designed to provide investors with a tradable long exposure to the global hedge funds industry by attempting to track the HFRI Composite index. LBAR takes positions in a dynamic basket of investable market instruments that rebalances on a monthly basis. Weights are chosen based on a factor model. The Short Barclays Alternatives Replicator (SBAR) offers short exposure to HFRI Composite.
90 1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010
109
110
Access to industry-leading valuation models Consistent view of portfolio metrics Integrated understanding of fixed income and equity risk Dedicated client service and enterprise solutions Portfolio & Index Analysis
Multi-factor risk models Hybrid Performance Attribution Portfolio optimization and hedging tools Scenario Analysis
Source: Barclays Capital
Scalable Platform
Flexible front end for intra-day analysis Automated reporting and portfolio maintenance Robust, enterprise-wide batch processing Client data security
Indicative, price, and analytical data Option-adjusted analytics based on government, swap, and municipal curves Equity sector betas and sensitivities to fundamental and technical factors
111
om
POINT Coverage
b Glo
Cus t
GLOBAL COVERAGE Fixed Income Emerging Markets coverage of more than 140 currencies Equity coverage in 48 currencies and 84 countries Global Rates, Sovereign and Corporate coverage Curves for 39 currencies
USER-DEFINED INSTRUMENTS Model custom bilateral contracts Coverage of Private Equity Flexibility to design custom structures
INDICES Access major indices and benchmarks Benchmark portfolios directly to Barclays Capital Indices Upload or create custom indices for benchmarking and analysis
112
al
Indices
113
Scenario Analysis
Assess the impact of hypothetical market moves Define multi-currency government/swap curve movements and USD municipal curve movements Apply a scenario instantaneously or over a time horizon Adjust horizon pricing using custom or historical sector betas Capture the impact of vega exposure to parallel and nonparallel shifts in the volatility surface
Source: Barclays Capital
114
Page
35 36 34 21 33 26 28 29 17 24 25 22 30 19 20 18 31 32 27 23
115
Page
74 89 61 102 91 54 83 84 77 65 49 68 52 87 90 85 70 63 53 88 101 71 103 78 55 72 59
Investable Index
INSPIRE: Expected inflation [Inflation] IRFix Swaps [Rates] KRW Rates Term Premium [EM] LBAR/SBAR: Tracking hedge fund returns [Index Replication] Liquid Basket [FX] Local Currency Bond Index [EM] Momentum Alpha [Commodities] Multi-Strategy [Commodities] Navigator: Trend-capturing strategy [Equities] NEMO: Spread trend-following [Credit] PRISM: Combining rates alpha strategies [Rates] Pure Beta Series-2 [Commodities] Q-BES: Earnings surprise [Equities] Q-GSP: Growth stock picking [Equities] Q-MA: Merger Arbitrage [Equities] Q-True Value: Value stocks [Equities] RBI: Replicating Bond Index baskets [Index Replication] REMIX: Tracking MBS [Index Replication] SGD Exceed: Front end alpha extraction [EM] Sovereign Bond Index [EM] Switch: Combination of FX stategies [FX] TOM: Turn-Of-the-Month Index [Equities] Trade Weighted US Dollar [FX] TrendStar+: Swap curve slope [Rates] US Treasury Yield Curve Slope [Rates] Value Convergence [FX] Voyager: Absolute commodity returns [Commodities]
Page
60 50 104 109 67 100 80 81 93 64 57 79 96 94 97 95 107 108 105 99 75 92 69 56 51 73 82
Note: The Barclays Capital Investable Indices each have specific Live Dates. Historical data after these dates reflect live index performance. All historical data prior to the indices Live Date are derived from hypothetical back-testing. Source: Barclays Capital
116
Contacts
New York
Barclays Capital 745 7th Avenue New York, NY 10019 +1 212 526 7400 Index-us@barcap.com
London
Barclays Capital 5 The North Colonnade London E14 4BB +44 (0) 20 7773 3744 index-uk@barcap.com
Singapore
Barclays Capital 1 Raffles Quay Singapore, 048583 +65 6308 2225 index-sg@barcap.com
Tokyo
Barclays Capital Japan Limited 31F Roppongi Hills Mori Tower 6-10-1 Roppongi, Minato-ku, Tokyo 106-6131 +81 3 4530 1760 index-tk@barcap.com
Benchmark Indices
Global Brian Upbin, CFA, CAIA +1 212 526 6981 brian.upbin@barcap.com US Sherwood Kuo, CFA +1 212 526 2490 sherwood.kuo@barcap.com Europe Anand Venkataraman +44 (0) 20 7773 0852 anand.venkataraman@barcap.com Scott Harman +44 (0) 20 7773 1775 scott.harman@barcap.com Asia Norman Tweeboom +65 6308 3870 norman.tweeboom@barcap.com Tadashi Tago +81 3-4530 1772 tadashi.tago@barcap.com
Investable Indices
Global Anthony Lazanas +1 212 526 3127 anthony.lazanas@barcap.com US Graham Rennison +1 212 526 6675 graham.rennison@barcap.com Zarvan Khambatta, CFA +1 212 526 2715 zarvan.khambatta@barcap.com Europe Jose Mazoy +44 (0) 20 3134 0998 jose.mazoy@barcap.com John Williams +44 (0) 20 7773 2419 john.williams@barcap.com Europe Lee Phillips lee.phillips2@barcap.com +44 (0) 20 7773 3473 Asia Norman Tweeboom norman.tweeboom@barcap.com +65 6308 3870 Asia Rahul Sharma +65 6308 3982 rahul.sharma@barcap.com
POINT
US Paul Salerno paul.salerno@barcap.com +1 212 526 9779
DISCLAIMER Barclays Capital makes no analytic tools are accurate, reliable, complete, or appropriate for use by all investors DISCLAIMERisrepresentations that the information contained herein or any of theother advice toor reports referenced herein analytic tools or reports referenced herein and any results derived from in all locations. Barclays Capital not utilizing this document or this report to provide investment or you or any other party. Any their
use provided herein are intended for informational purposes only and should not be regarded as an offer to sell or a solicitation of an offer to buy the products or securities to which it applies. No representation is made that any returns will be achieved through their use. Past performance is not necessarily indicative of future results. All levels, prices and spreads are historical and do not represent current market levels, prices or spreads, some or all of which may have changed since the publication of this document. You should consult with your own accounting, legal or other advisors as to the adequacy of this information for your purposes. Users referencing these materials may not necessarily be able to deal directly with all market centers referenced herein. All information is provided "as is" without warranty of any kind. Because of the possibility of human and mechanical errors as well as other factors, Barclays Capital is not responsible for any errors or omissions in the information contained herein or any of the analytic tools or reports referenced herein. Barclays Capital makes no representations and disclaims all express, implied and statutory warranties of any kind to the users and /or any third party, including any warranties of accuracy, timeliness, completeness, merchantability and fitness for a particular purpose. Barclays Capital shall have no liability in any way to you or any other entity for any loss or damage, direct or indirect, arising from the use of the information contained herein or any of the analytic tools or reports referenced herein, even if Barclays Capital or an authorized Barclays Capital representative has been advised of the possibility of such damages. Not all products or services mentioned in this notification are available in all jurisdictions. No offers, sales, resales, or delivery of any products or services described herein or any offering materials relating to any such products or services may be made in or from any jurisdiction except in circumstances which will result with compliance with any applicable laws and regulations and which will not impose any obligations on Barclays or any of its affiliates. Barclays Bank PLC. Registered in England. Registered No: 1026167. Registered Office: 1 Churchill Place, London, E14 5HP. Barclays Bank PLC is authorised and regulated by the Financial Services Authority. Barclays Capital is the investment banking division of Barclays Bank PLC, a company authorised and regulated by the Financial Services Authority and a member of the London Stock Exchange which undertakes US securities business in the name of its wholly owned subsidiary Barclays Capital Inc., a FINRA and SIPC member." No part of this document may be reproduced in any manner without the written permission of Barclays Capital. 2011 Barclays Capital. All rights reserved.