Index Overview

Barclays Alternative Risk Premia Select 4% RC Index is a cross-asset, multi-strategy Alternative Risk Premia (ARP) portfolio designed as a balanced portfolio with defensive tilt. Barclays has designed the Barclays ARP Select 4% Index for fast changing market condition.

Investment Universe

The Barclays ARP Select 4% RC Index consists of 8 component strategies, combining all risk-on, balanced, and risk-off strategies.

The index combines all 8 component strategies in order to achieve diversification, this means risk can be spread across different asset classes.

Please refer to “Component Strategies” section below for details on the 8 component strategies.

Investment Process

Barclays Alternative Risk Premia Select 4% RC Index employs a 3-step approach to allocate across component strategies based on changing market conditions.

Asset Class	Risk Premia Source	Description
Equities	Global Factors	Market neutral investment in strategies providing exposure to Value, Momentum, Quality and Low Volatility equity factors in US, Eurozone, UK and Japan. The strategy combines 16 Barclays Equity Factor Market Hedged Indices, with quarterly rebalancing and daily FX hedging.
Equities	Value	The strategy invests in 4 favoured sectors by using a CAPE®-based and a momentum indicator, then takes a short position in the S&P 500 (as beta of the 4 favoured sectors). This strategy is developed in partnership with Professor Robert Shiller.
Rates	Volatility (Defensive)	Aims to earn the implied vs. realized volatility risk premium present in the USD short-dated swaption market and the carry from the dislocation in the USD long-dated swaption market.
Commodities	Backwardation + Curve (Carry)	Aims to generate returns from commodities that are the most in backwardation* (potentially the least in contango) against the benchmark BCOM index. * Backwardation in a commodity occurs when spot is higher than the forward prices and this may be seen as a signal of current commodity scarcity which is generally a positive price driver.
Commodities	Curve Alpha (Carry)	Utilizes curve enhancement methodologies to choose a futures curve point that differs from the point selected by BCOM. The strategy also takes a short position in the BCOM index with the aim to extract alpha.
FX	Value	Aims to generate returns from G10 currencies whose spot exchange rates have diverged from their fair value (measured using OCED Purchasing Power Parity). The strategy seeks to capture moves when currencies mean-revert to their fair value (examine all 45 crosses within the G10 Currency space) and takes 1-month forward positions on currency pairs every month that are dislocated from their fair value.
FX	Liquidity	Aims to take advantage of potential dislocations caused by the systematic currency hedging of investors in US and foreign equities that have historically had a predictable impact on currency markets. The strategy is long or short a 100% gross position to foreign currencies vs. USD, split evenly across British Pound, Australian Dollar, Swiss Franc, Canadian Dollar, Euro, Japanese Yen and New Zealand Dollar.
Multi-Asset	Trend (Momentum)	Aims to take positions to capture trends across asset classes excluding Equities to generate absolute returns in both rising and falling markets. The strategy, developed together with Professor Buraschi, from the Imperial College of London, uses advanced trend detection and portfolio construction derived from theoretical and empirical research.

Important Information

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