Research
printTradeable Index Strategies: Fixed Income
CarryMax
CarryMAX is a market neutral fixed income strategy developed by JPMorgan. CarryMAX updates one of the oldest investment strategies - the Carry Trade - to exploit a persistent mispricing in interest rate markets and generate a consistent return.
CarryMAX can select from a universe of nine developed interest-rate swap markets. The strategy first ranks the markets with the highest carry in 10-yr swaps - where carry is defined as the yield differential of the 10-year swap rate over the Cash or LIBOR rate. It then invests in the two 10-yr swaps with the highest carry and sells the two 10-yr swaps with the lowest carry - a two-pair strategy.
For more information on CarryMAX, please our Index pages on MorganMarkets or contact your JPMorgan representative.
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