Tradeable Index Strategies

Tradeable Index Strategies: Fixed Income


CarryMAX is a market neutral fixed income strategy developed by J.P. Morgan. 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 specific J.P. Morgan Tradeable Index Strategies, please review product descriptions below or contact your J.P. Morgan representative.

Index Strategies
Index Name Index Level Daily Ret(%) Mthly Ret Ann Ret Level Date
CarryMAX in EUR 167.99 0.01 0.60 -0.66 20131031
CarryMAX in JPY 168.58 0.02 0.59 -0.99 20131031
CarryMAX in USD 167.33 0.02 0.61 -1.01 20131031

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

JPMorgan Chase and its affiliates do not provide tax, legal or accounting advice. This material has been prepared for informational purposes only, and is not intended to provide, and should not be relied on for, tax, legal or accounting advice. You should consult your own tax, legal and accounting advisors before engaging in any transaction.

Investment suitability must be determined individually for each investor, and the financial instruments described herein may not be suitable for all investors. The products described herein should generally be held to maturity as early unwinds could result in lower than anticipated returns. This information is not intended to provide and should not be relied upon as providing accounting, legal, regulatory or tax advice. Investors should consult with their own advisors as to these matters.

Structured Investments may involve a high degree of risk, and may be appropriate investments only for sophisticated investors who are capable of understanding and assuming the risks involved. J.P. Morgan and its affiliates may have positions (long or short), effect transactions or make markets in securities or financial instruments mentioned herein (or options with respect thereto), or provide advice or loans to, or participate in the underwriting or restructuring of the obligations of, issuers mentioned herein. J.P. Morgan is the marketing name for JPMorgan Chase & Co. and its subsidiaries and affiliates worldwide. J.P. Morgan Securities LLC is a member of NASD, NYSE and SIPC. Clients should contact their salespersons at, and execute transactions through, a J.P. Morgan entity qualified in their home jurisdiction unless governing law permits otherwise.


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