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Barclays Commodity Strategy Indices

Barclays is a global leader in Quantitative Investment Strategies. The Barclays Indices are a diverse family of systematic non-discretionary trading strategy indices available across multiple asset classes including equities, fixed income, FX, commodities, derivatives and alternative investments. Macro research franchise includes more than 60 strategists across economics, rates, FX, commodities and public policy.

There are typically two types of broad, diversified commodity strategies:

  • Front-month strategies, such as the Bloomberg Commodity Index (BCOM), which derive exposure to futures at or close to the front of the futures curve.
  • Optimised strategies, such as the Optimised Roll Commodity Index, which pick the most optimal futures contract per commodity to invest in based on implied roll yield.

Since front-month strategies allocate to futures closest to the front of the curve, they typically display higher sensitivity to spot price movements relative to optimised peers. By contrast, optimised strategies focus more on managing roll yield by positioning further out in the futures curve for commodities in contango, and nearer the front of the curve for commodities in backwardation.

Barclays Index Administration (“BINDA”) is a distinct function within the Investment Bank of Barclays Bank PLC (individually and together with its other affiliates, “Barclays”). As the administrator of the Barclays family of indices, BINDA operates independently from Barclays Investment Bank’s sales, trading, structuring and banking departments. Notwithstanding the foregoing, potential conflicts of interest may exist where: (i) Barclays acts in multiple capacities with respect to a particular Barclays index, including but not limited to functioning as index sponsor, index administrator, calculation agent, licensing agent, and/or publisher; (ii) sales, trading or structuring desks in Barclays Investment Bank launch products linked to the performance of a Barclays index, which are typically hedged by Barclays’ trading desks.

Key Features and Coverage on RIMES

For this data source, RIMES hosts 12 indices and approximately 125 commodities, including BCC, BXCS, Roll Yield and Gilt Futures. Some of the data items available include:

  • Bloomberg Ticker
  • Date of Portfolio
  • Description
  • Database Domain Code
  • Index Symbol (Source)
  • Database Source
  • Database Symbol
  • Investable Weight in Index (Source)

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