Citi Investment Strategies (CIS), sits within Citi’s global multi-asset group and works closely with Citi’s equity and private investor solutions business on the design of its strategies and their distribution. One of the main responsibilities of the group is to work on the development and commercialisation of so-called algorithmic investment strategies. Algorithmic based trading uses mathematical models to generate trades and can be used as a means of trading large blocks of securities quickly. The goal of the volatility balanced beta strategies is to provide investors with an alternative way to obtain overall index beta exposure to both single asset classes and multi-asset baskets, through a risk-based balanced weighting approach. This methodology introduces a risk weighting approach to complement traditional market capitalisation-weighted indices.
Citi’s volatility balanced beta strategies deliver market exposure through an allocation process that distributes the risk contribution of each asset within the index, where volatility, as well as correlation, is the measurement of risk contribution.
Key Features and Coverage on RIMES
For this data source, RIMES hosts 11 indices, including:
- Citi Commodities Congestion/Liquidity Navigator (E) 4x Leveraged Index, Citi Commodities Liquidity Navigator (4x) Index, Citi DynaVol USD Index, Citi Earnings Momentum Pure Europe TR Index, Citi Multi Risk Premia Equity ER EUR Index, Citi Quality Pure Europe TR Index, Citi Quality Pure US Styles TR Index, Citi Value Pure Europe TR Index, etc.
Some of the items available include the following:
- Initial Proportional Amount, Bloomberg Ticker, Currency Code, Currency Pair, Actual Coupon Rate, Date of Portfolio, Description, Database Domain Code, Ending Date of Series, Expiration Date, ISIN Code, Market Value, Net Asset Value, Notional Outstanding, Option Style, Option Type, Price, Price in Euros, Protection Direction, Put Call Flag, Reference Asset, Database Source, Start Date of Series, Strike Price, etc.