Barclays Capital has launched an index that measures mean reversion in the US and European equity markets. The Astro Index is designed as a hedge for equity investors, who are exposed to mean reversion during market corrections. Using a hedge will help minimise portfolio drawdowns, such as those seen in 2008.
* Barclays Capital has also created the Multi-Alpha Equal Risk Allocation Index, which allocates risk equally across equities, interest rates, commodities and foreign exchange. The index use
The week on Risk.net, July 7-13, 2018Receive this by email