Playing around with the Barclays Global Agg

Events from Lehman Brother’s bankruptcy to the near-default by the United States in August last year have prompted investors to rethink benchmarks. These indices give form and shape to an institutional investor’s view of the world, but the Western financial crises have thrown into doubt fixed-income benchmarks that automatically raise one’s exposure to the most heavily indebted governments. Nevertheless, indices such as the Barclays Global Aggregate, which is based on market-cap…