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Citi Alternative Beta Indices

Published in Strategy Indices

Citi Investment Strategies (“CIS”) is a team within Citi Markets & Securities Services focused on the development of quantitative index strategies for both institutional and individual investors. The range of index strategies targets cross-asset investment themes and seeks to respond to investors’ needs for innovation, risk mitigation and transparency in systematic investments.

Built on Citi’s intellectual capital from research, quantitative development, and trading, CIS leverages Citi’s extensive global capital markets expertise. Citi utilizes Risk Premia: strategies intended to capture potential excess returns that either may be compensation for bearing risk or the result of behavioral biases. Available across multiple asset classes, Risk Premia can be categorized across investing styles including Carry, Defensive, Momentum, Value, and Volatility. The non-traditional approach of Risk Factor Investing is to create systematic trading strategies that can access new sources of alpha while exhibiting low and stable correlations. The concept of risk factors is not Risk factors are designed after identifying a sound economic rationale. The risk factor premia can be related to market behavioral effects such as herding behavior, or the persistence of macroeconomic regimes that can cause price Momentum. The mean reversion of asset prices to fair-value anchors often leads to Value opportunities. Yet another class of risk factors is related to investors mispricing asset yields, which can lead to Carry opportunities. In addition to these common risk factor styles, a large derivatives market often provides opportunities to design novel risk factors related to asset Volatility.

Key Features and Coverage on RIMES

For this data source, RIMES hosts 11 indexes, including various Citi Indices (Commodities, DynaVol, Earnings Momentum, Multi Risk Premia, Quality Pure, Rebalance Basket, Value Pure, etc). Some of the data items available include:

  • Actual Coupon Rate, Bloomberg Ticker, Currency Code, Currency Pair, Database Domain Code, Database Source, Database Symbol, Date of Portfolio, Description, Ending Date of Series, Expiration Date, Initial Proportional Amount, ISIN Code, Last Price Date, Market Value, Net Asset Value, Notional Outstanding, Option Style, Option Type, Price, Price in Euros, Protection Direction, Put Call Flag, Reference Asset, Start Date of Series, Strike Price, etc.

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