Barclay Group Launches BTOP FX Index
The Barclay Group has launched the BTOP FX Index -- the first currency traders' index offering daily net rates of return of the largest currency managers.
The BTOP FX Index is updated daily, with the Barclay Group posting the previous day's return on its website at www.barclaygroup.com by 10:30am. Daily returns since the beginning of 2005 can also be downloaded in Excel format.
"The average daily turnover of the global currency markets is said to be in excess of USD 1.5 trillion, making it larger than the US equity markets," says Sol Waksman, president of The Barclay Group. "Given its size and given the increased interest in overlay strategies among institutional investors, the global currency markets is an area of opportunity for investors seeking to diversify their risk exposures and sources of alpha. We believe the Barclay BTOP FX Index will increase transparency in this fertile investment arena."
The BTOP FX Index seeks to replicate the overall composition of the currency sector of the managed futures industry, including trading style and overall market exposure. Historical returns for the BTOP FX Index have a correlation of 0.87 with the Barclay Currency Traders Index, an index of the monthly returns of the currency sector going back to 1987. Barclay has published the Barclay Currency Traders Index for more than 15 years.
The BTOP FX Index employs a top-down approach in selecting its constituents with the largest investable currency trading programs, as measured by assets under management, selected for inclusion in the Index. In each calendar year the selected currency trading programs represent, in aggregate, no less than 50 per cent of the investable assets of the Barclay Currency Traders Universe.
The BTOP Currency Index is equally weighted among the selected programs at the beginning of each calendar year, and will be rebalanced annually.
To be included in the BTOP Currency Index, a program must:
• Trade exclusively currencies, either futures or interbank;
• Be open for investment; and
• Be willing to provide Barclay with daily rates of return on a timely basis.
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