For over two decades, the Barclays Quantitative Portfolio Strategy (QPS) team has provided clients with quantitative insights into all aspects of the investment process across asset classes, including fixed income, equity, foreign exchange and hedge funds.
Senior members of our QPS team have decades of experience working together as a team for over 25 years, publishing:
QPS FICC since 1990
QPS Analytics since 2008
QPS Equity since 2012
Extensive analysis spanning major steps of the investment process
Our QPS team produces unique content that is:
Objective – no subjective views. Analysis is based on proprietary empirical studies or models
Practical – realistic, implementable findings in response to questions from practitioners
Academically recognised – 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 investors.
QPS also hosts Advisory Councils in New York and London, which provide an opportunity for two-way dialogue with large institutional investors.
Our Liquidity Cost Score (LCS) is an objective, quantitative bond-level liquidity measure based on two-way quotes from Barclays traders. LCS measures the cost of an immediate, institutional-size, round-trip transaction, and is expressed as a percentage of the bond’s price. We compute LCS for more than 22,000 fixed-income securities with a total outstanding amount of US50trn, covering a broad range of asset classes.
Published in December 2020, this book by the Quantitative Portfolio Strategy team, based on years of innovative research, is one of the first to help facilitate inclusion of systematic strategies in credit portfolio management.