BarCap index captures systematic alpha from monetary policy
A new index that extracts value from the US dollar and euro yield curves by capturing the momentum in cross-market rate spreads has been launched by Barclays Capital.
Barclays Capital has launched an index that exploits asymmetries in the US and European monetary policy cycles by going long or short the spread between eurodollar and euribor futures.
Barclays Capital’s Incremental Cross Yield Spread Trading Algorithm Index adaptively takes positions in either a cross-market spread when European and US rates cycles differ or more directional positions when rates cycles match.
“We have expanded the concept of fixed-income indexes from passive indexes that are
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