The fund, launched in September 2011, provides exposure to emerging markets local government debt weighted by issuer GDP. The PIMCO Emerging Markets Advantage Local Bond Source UCITS ETF (EMLB LN) is the largest option with $283 million in assets under management (AUM). The single factor indices are: Rates Carry Factor, Rates Value Factor, Rates Momentum Factor and the multi-factor indices are: Rates Carry & Value Factor, Rates Value & Momentum Factor, Rates Carry & Momentum Factor, Rates Carry, Value & Momentum Factor.Įuropean ETF investors looking for alternatively weighted fixed income exposure do have a few existing possibilities. Employing liquid fixed income instruments, the indices aim to address investors’ essential needs, capturing excess returns both in rising and falling yield environments.” While market participants are well aware of the inherent downsides of this approach, alternatively weighted indices have struggled to gain the traction seen in the equity space due to a lack of data, less liquidity, and the increased complexity of the fixed income market.įabien Labouret, global head of investment strategies, Barclays, said: “The Barclays Rates Factor Indices are a significant addition to our highly successful suite of Quantitative Investment Strategies. Bond indices have traditionally been weighted by liability, meaning the most indebted issuers receive the largest weight in the index.

A systematic approach based on well-known factors or styles such as carry, value and momentum can offer Barclays clients alternative sources of outperformance within fixed income markets.”įactor-based or smart beta investing is a well-established concept in equities markets, especially in the ETF space, but comparable investment approaches in fixed income have been slower to catch on. The indices are diversified across US, German, UK, Japanese and Australian markets.Ĭharles Fattouche, director in the Quantitative Investment Strategies team at Barclays, commented: “While bond markets saw a rally over the last three decades driven by the secular decline in yields, the outlook for long-only bond investors may be less promising at current levels. The indices take a long position in government bond futures with the highest desired factor exposure and a short position in those with the lowest desired factor exposure. Barclays believes the multi-factor approach will enable the indices to provide alternative sources of outperformance throughout the rates cycle. One provides targeted exposure to each of the carry, value, and momentum factors, while the other provides multi-factor access to combinations of the three factors.

The new family of indices includes two groups. The new indices will provide access to interest rates with exposure to the carry, value, and momentum factors.

Barclays duration hedged indices