September roll commentary
The iTraxx index roll into the new S32 series commenced on Friday September 20th, affecting Tabula ETFs linked to the iTraxx Europe (Main) and iTraxx Crossover indices: namely, our European Performance Credit, European Crossover Long and European Crossover Short strategies.
- The duration of the new index series has been extended from 4.75 years to 5.25 years
- Sector caps have been loosened with the roll, increasing the importance of liquidity as a selection factor
- This led to greater weighting of autos in both the iTraxx Europe Main and iTraxx Europe indices
- This contributed to spread widening in the iTraxx Europe
- However, the significant tightening of the Crossover impacted spreads in all three related ETFs
« Tabula European Performance Credit one year commentary