Citi Investment Strategies (CIS), a new dedicated quantitative strategies business formed in an effort to develop the bank's proprietary and systematic investment capabilities, has launched its first index series, on which it will base notes and other investment products.
The Volatility Balanced Beta (Vibe) indices will apply a risk-based weighting framework to various asset classes, extendable to long-only, relative value, absolute and relative risk-controlled applications. They are being marketed as a 'more efficient way' to capture market beta. Oscar Loynaz, head of Americas structuring and trading for the firm's Global Multi Asset Group, said Citi plans to market the indices in the Americas via delivery mechanisms including notes, swaps and funds.
The new CIS business comprises a team of 12 professionals headed by Emanuele Di Stefano, former head of investment strategies and hybrids structuring at Deutsche Bank in London. Di Stefano's team has been drawn from Citi and other institutions including Goldman Sachs, Deutsche Bank, Société Générale, Pioneer Investments, Banca Leonardo and Alpha Financial Technologies, said the bank.
CIS sits within the Global Multi Asset Group and is responsible for designing liquid, transparent and customisable products for all types of investors.
Citi's cross-asset group was reorganised in June into broadly into two parts: retail distribution with regional reporting lines, and the new multi asset group, which was charged with structuring and product development, issuance, packaging, quantitative investment strategies and hybrids trading for retail and institutional clients. The group is headed globally by Arnold Miyamoto.
Citi Vibe is available through four regional indices - Europe, Japan, the UK and the US. S&P provides daily calculations, which are published on Bloomberg.