Research

Tradeable Index Strategies: Fixed Income

Momentus

Momentus is a fixed income strategy that seeks to take advantage of the underlying trends, or momentum in markets. In this first implementation we use statistical techniques to look for trends in a highly liquid futures contract - the Eurex Bund Future. Through various refinements, we have developed a strategy which our backtesting suggests would have provided consistent returns with superior risk characteristics.

For more information on Momentus, please see our Index pages on MorganMarkets or contact your JPMorgan representative.

Index Strategies

Index Name

Index Level

Daily Ret(%)

Mthly Ret

Ann Ret

Level Date

Momentus in EUR

160.60

-0.96

-4.13

-4.97

20080718

Chart

Note: The data above may not be the latest available and should be used for information purposes only.