News Releases

Barclays Capital, the investment banking division of Barclays Bank PLC, today announced the launch of the Commodities Out-Performance Roll Adjusted Liquid Strategy Index (CORALS Index), an Index designed to capture alpha from the commodity markets.

Growth in the commodity markets, as demonstrated by the significant increases in both futures volumes and AUMs, has generated unprecedented market interest. Demand has been fuelled by rapid economic expansion in emerging economies driven by aggressive urbanisation and industrialisation. In parallel the consumption needs of developed countries have been relentless. Supply is lagging behind as producers are struggling to keep up with demand growth due to numerous constraints, including reserve base exhaustion, labour and equipment shortages and escalating costs. These fundamental factors have driven commodity prices to new highs, generating returns of more than 16% per annum since the start of 2002.*

The CORALS Index provides a compelling opportunity to:

• Participate in a rapidly growing market that captures performance by allocating to individual commodities based on in depth analysis of fundamental and technical factors
• Extract positive returns in differing market cycles including stagnant or falling markets utilising a long-short strategy
• Diversify - the power of diversification is achieved through investing in 12 liquid commodities to benefit from low correlation within the commodity asset class and to exploit the lack of correlation with equities and bonds
• Protect purchasing power by investing in commodities that are the prime contributor to inflation
• Perform in crisis -  the Index on a historical back tested basis, has successfully weathered weak equity and bond markets

Shachi Shah, Head of the Fund Solutions, added: “We designed the CORALS Index to capture alpha from the commodity markets through in-depth analysis of fundamental and technical factors.”

“The price appreciation that the Commodity markets has seen is based on strong fundamental factors such as, rapid growth in emerging economies and sustained demand from developed countries versus the numerous constraints that continue to hamper supply growth. Consequently, commodity prices will continue to face upward pressure,” commented Kevin Norrish, Director Commodities Research at Barclays Capital.

Barclays Capital will provide data, analytics and support for these indices via web based and other e-commerce protocols.  The indices are available on Barclays Capital’s index website

(http://www.barcap.com/indices) and are calculated daily using standard settlements and market calendars most appropriate for international investors. 

 

- ENDS-

 

* Based on the performance of DJ-AIG Total Return Index. Source:  Barclays Capital on data provided by Bloomberg, as of Jan 2008

For further information, please contact:

Catherine Shields, Barclays Capital Communications
+44 (0)20 7773 8939 or catherine.shields@barcap.com         

Kristin Friel, Barclays Capital Communications
+1 212  412 7521 or kristin.friel@barcap.com

Clare Williams, Barclays Capital Communications
+852 2903 2298 or clare.williams@barcap.com

Notes to editors:

About the CORALS Index

The CORALS Index captures performance by allocating to individuals commodities, based on in depth analysis of fundamental and technical factors. The strategy factors in global growth, momentum, mean reversion, roll yield and fundamental attributes are used to forecast the expected performance of individual commodities for the forthcoming month. The forecasts are the inputs into the optimisation model that incorporates principles of modern portfolio theory and value at risk based algorithm. The optimisation model seeks to maximise returns per unit of risk of the overall portfolio within defined constraints, in particular concentration risk is mitigated by restricting maximum exposure to single commodities and sectors. The optimisation model generates a long/short allocation while having a net market exposure of 100%. The Index implements the CORALS methodology and its composition is determined on a monthly basis within defined constraints.

The CORALS Index differs from its competitors in that it a gets to the core of commodities by analysing fundamental and technical factors in depth. The Index represents the 3^rd generation of commodities indices. It is an index that invests based on in-depth analysis of the factors that explain the movement in commodities prices.

This new generation Index has an attractive risk-return profile –

• uses research based factors
• introduces disciplined approach to investing
• invests in liquid commodities
• utilises asset allocation framework in commodities
• accepts complexity of commodities an uses multi-dimensional investing mechanism.

About Barclays Capital

Barclays Capital is the investment banking division of Barclays Bank PLC which has an AA long-term credit rating and a balance sheet of over £1.2 trillion. With a distinctive business model, Barclays Capital provides large corporate, government and institutional clients with solutions to their financing and risk management needs.  Barclays Capital has offices in 29 countries, employs over 16,200 people and has the global reach and distribution power to meet the needs of issuers and investors worldwide.

For further information about Barclays Capital, please visit our website www.barclayscapital.com.

About Commodities at Barclays Capital

Barclays Capital is currently one of the top three financial institutions providing a full range of global commodities services.  Over the last five years the Commodities Division has expanded rapidly to meet growing customer demand.

Barclays Capital provides competitive pricing, superior relationship skills and innovative structures, which are tailored to the client's specific needs.

The Commodities Group provides a fully integrated and global service for base and precious metals and a wide range of energy products: Crude Oil, Refined Product, Power and Gas. 

All commodity derivative activity is carried out by the Commodities Department which is a division of Global Markets. The financial origination function is run by sector teams within Investment Banking. 
 
Base Metals Trading
Precious Metals Trading
Crude Oil & Refined Product Trading
US Natural Gas
EUR Power and Gas
Multi Asset Class
Investment Banking  (Mining & Metals,
Oil & Gas, Power & Utilities)
Corporate Structuring
Environmental Markets
Forest Products
Plastics

Recent awards include:

Modern Great in Commodities/Energy Derivatives, Risk 20 Awards (2007)
Commodity Derivatives House of the Year, Euromoney (2007)
Commodity/Energy Derivatives House of the Year, IFR (2008)
Commodity Derivatives House of the Year, Risk (2008)