Description
The CLCI-Global Ltd Global Benchmark Index (GBI) is the global proxy for the risk-free asset and common numeraire.
| Weighting Method | Common factor adjusted idiosyncratic variance weighted |
| Rebalancing and Distribution Frequency | Weekly by 14:00:00 Sunday UTC provided all data is available as usual. Else as soon as data becomes available. |
| Calculation Frequency | Daily at 24:00:00 UTC |
| Calculation Currencies | AUD, CAD, CHF, CNH, EUR, GBP, JPY, NOK, NZD, SEK, SGD, USD |
| Launch Date | July 30, 2020 |
| First Value Date | August 13, 1971 |
The CLCI-Global Ltd proprietary algorithm minimises the common factor corrected cross-sectional standard deviation experienced by the representative holder of wealth through time. The algorithm is unbiased and politically neutral within the selected group of currencies. The current selected group numbers 25 of the world’s most important currencies. Group inclusion is dependent on a ranking system based on the following 5 domains.
- Turnover and liquidity.
- The presence of a functioning market for government bonds.
- Historical continuity.
- Degree to which the value of the currency is determined by market forces.
- Ease with which a market participant can control exposure.
The GBI is a theoretical construct that serves as a proxy for the riskless asset. It is designed for use as a neutral unit of account for the unbiased comparison of returns and risk across the globe.
Historical Performance
More than 50 years of stability.
