Barclays Capital, publisher of leading broad market bond benchmarks, has launched the Barclays Capital Fiscal Strength Weighted Bond Index family, a new suite of benchmark indices that uses fundamental measures of fiscal sustainability to adjust country weights within existing government bond indices.
This new index family is the latest in a series of alternative weight benchmarks in the Barclays Capital index platform and widens the choice for investors beyond existing flagship indices which weight index eligible securities by their market value.
“While market value weighted indices remain the market standard for fixed income indices, some investors favour alternative weight indices as their portfolio benchmarks,” says Waqas Samad, Head of Index, Portfolio and Risk Solutions at Barclays Capital. “By continuing to develop new and innovative alternative weight benchmark indices, Barclays Capital is able to offer debt investors a full suite of index, portfolio and risk solutions truly tailored to an index user’s specific market perspective.”
The Barclays Capital Fiscal Strength Weighted Index family uses country scores derived from publicly available macroeconomic and governance data to adjust the market capitalisation country weights within existing Barclays Capital benchmarks such as the Global Treasury or Euro Treasury indices. Market value weights are used as a baseline fundamental measure of market capacity and liquidity, and are then scaled up or scaled down based on simple and objective measures of a country’s financial solvency, dependence on external financing and institutional strength. This hybrid approach allocates additional index weight towards countries that have higher scores based on these variables, while ensuring that the index remains replicable by not forcing large or excessive weights to smaller or less liquid markets. This new rules-based alternative weighting methodology can also be adapted for use in bespoke benchmark solutions.
Barclays Capital Fiscal Strength Weighted Index data can be accessed on Barclays Capital Live, on Bloomberg® and on Barclays Capital POINT® with a data license.
