Citi launches quant strategies starting with volatility balanced beta

By Susanna Moon

Chicago, Sept. 9 - Citigroup Inc. announced a quantitative strategies business for customers interested in diversified, systematic investments apart from traditional indexes.

The group's first launch is a series of Citi Volatility Balanced Beta strategies, which use a risk-weighting approach, according to a company press release.

The strategies deliver market exposure through a rules-based allocation process that uses risk contribution to determine each component's weight, the release said. The strategies rebalance quarterly.

Citi said it provides a risk-based weighting framework applicable to various asset classes and extendable to long-only, relative value, absolute and relative risk-controlled applications.

The strategy is now available through four regional indexes: the United States, Europe, the United Kingdom and Japan.

S&P provides independent daily calculations, and the daily levels are published on Bloomberg.

"Citi [Volatility Balanced Beta] indices may appeal to those investors who seek a more efficient way to capture market beta through the use of a rules-based, transparent index approach. In the Americas, we plan to market the indices via various delivery mechanisms including notes, swaps and funds," Oscar Loynaz, head of Americas structuring and trading for the firm's global multi-asset group, said in the release.

The quantitative strategies group includes 12 professionals and is led by Emanuele Di Stefano, former head of investment strategies and hybrids structuring at Deutsche Bank in London.

The team members have 12 years of experience on average and were drawn from within Citi and banks such as Goldman Sachs, Deutsche Bank, Societe Generale, Pioneer Investments, Banca Leonardo and Alpha Financial Technologies.

The new group is part of Citi's global multi-asset group, which focuses on cross asset management and the development of investment solutions.

Citi is a financial services company based in New York.

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