Quantitative Portfolio Strategy

Providing our clients with innovative insights into all aspects of the investment process, across asset classes.

For more information contact researchservices@barclays.com

Extensive Analysis

Spanning major steps of the investment process

Unique Content

For over two decades, the Barclays Quantitative Portfolio Strategy team has used its extensive analysis and portfolio management experience to provide our clients with content that is:

Objective

Analysis based on rigorous and innovative empirical studies and models. No subjective views: "let the data speak"

Practical

Realistic and implementable findings in response to questions from practitioners

Academically Recognized

Published in key industry journals Journal of Portfolio Management / Journal of Fixed Income / Journal of Alternative Investments

Broad in Nature

Covering all major asset classes and aimed at a variety of institutional clients

QPS Annual Councils

Hosted annually by Barclays

The Americas Advisory Council in New York and the European Advisory Council in London provide a great opportunity for two-way dialogue with large institutional investors.

Agenda highlights new QPS content for the past year. QPS analysts moderate discussions with e-voting in an effort to get client feedback

QPS Categories

Choice of Investment Style

Smart beta in fixed income markets
Properties of systematic investment styles
Value of security selection vs asset allocation

Portfolio Construction Methodologies

Duration Times Spread (DTS) — a new risk measure introduced by QPS that became industry standard
Portfolio/index hedging and replication
Topical studies on ESG investing, Risk Parity, FX hedging, Diversification, Factor Modelling, Style Premia

Analytics and Sector/ Issuer/Issue Level Periodic Scorecards

Modeling liquidity in bond markets: Liquidity Cost Scores (LCS), Trade Efficiency Scores and Price Impact Measure
Excess Spread to Peers (ESP) — relative value in credit markets
Equity Momentum in Credit (EMC) — identifying value in corporate bonds of an issuer based on momentum of its equity
Issuance Rate model — underweighting issuers or sectors with increasing leverage Global Rates Carry — selecting sovereign markets with higher promised yield
Spread per unit of Debt To Earning Ratio (SPiDER) — relative value in equity and credit markets
Bond in Equity Asset Momentum (BEAM) — ranking equities based on momentum of corporate bonds of the same issuer

Analysis of Manager’s Performance

Measure of Manager Skill for identifying hedge funds performance persistence
Algorithmic Evaluation of Returns for comparing performance and risk of a given hedge fund to its peers
Studies of active manager performance and of the value of skill in different environments

Bespoke Portfolio Optimization Tools

Optimal Risk Budgeting with Skill (ORBS)
Maximum Likelihood Scenario Definition
Try and Hold model for long-horizon credit portfolios

Published Books

Our QPS team has published three books over the last 10 years reflecting our client- driven research.

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