• Global Research Products
• Tools
• Indices
  • JENI-Carbon Beta Index
  • Tradeable Index Strategies
• Global Economic Research
• Climate Change Investment Research
• Awards and Recognition

print

Tradeable Index Strategies: FX

FX 

JPMorgan's tradeable FX index strategies support specific investor objectives for regional exposure to Asian, Latin American and Emerging Europe currencies. We also offer an FX index strategy to capture the interest rate differential between high and low yielding currencies.

CANDY

The CANDY index is targeted at investors seeking exposure to the Convergence And Yield opportunities in the currencies of the four main EU candidates - Poland (PLN), Czech Republic (CZK), Hungary (HUF) and Slovakia (SKK). Productivity gains in these countries, driven by FDI inflows, should result in Central European currencies appreciating further in the run up to their EMU membership. Real time values are available on Bloomberg at .JPMCANDY <Index>.

INCOME^FX  

Our INCOME^FX index uses a well established strategy to generate positive returns by depositing money in a high yielding currency and borrowing money in a lower yielding currency, thereby earning the interest rate differential or "carry". INCOME^FX is designed within a framework to optimize returns - high annual income and capital growth - commensurate with the amount of risk undertaken. The INCOME^FX strategy uses a dual approach to meet its objectives: 1) Analyze the monthly return generated by an investment in 14 currency pairs and select the 4 pairs with the highest ratio of return to risk; and 2) Replicate an equally-weighted trading position in these 4 currency pairs with the objective of generating the target income. Pricing is is available on Bloomberg at IFXJPMUS <Index>. Euro and Japanese Yen denominated versions are also provided under the tickers IJXPMEU <Index> and IFXJPMJP <Index>.

INCOME^ASIA   

Innovative FX strategy which allows a risk-adjusted exposure to Emerging Asian FX Markets. INCOME^ASIA exploits interest rate differentials and benefits from the movement of FX rates. The strategy is optimized to achieve a realized volatility of 7%. No exposure to USD, as USD positions offset each other.