The Barclays Capital iCRYSTAL Index adds to the family of Barclays Capital’s Fixed Income Alpha Indices, which aims to provide systematic alpha from interest rate markets.
This index family includes the Barclays Capital Global Target Exceed Index and the Barclays Capital PRISM Index.
Barclays Capital director of Index Portfolio and Risk Solutions Jose Mazoy said the spread between European and US short-term rates has demonstrated trending behavior, reflecting the differences in monetary cycles which present the possibility of extracting value provided we identify the direction in a timely fashion.
"The Barclays Capital iCRYSTAL Index is designed to make the most of such phenomena," Mazoy said.
Monetary policy cycles in the US and Europe have historically exhibited extended periods of synchronous and asynchronous behavior.
For instance, in the early part of the 2007-2009 slowdown, US monetary policy clearly led European policy, causing a divergence in short-term interest rates.
As the full impact of the recession hit in H2 09, US and European policy became unified in cutting rates, reducing this divergence.
