Global Economic Research & Expertise

Tradeable Index Strategies: Fixed Income

CarryMax

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

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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.

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