Credit Suisse Launches FX Factor Index
Credit Suisse is pleased to announce the introduction of the Credit Suisse FX Factor Index, which provides investors with access to a diversified portfolio of multiple macroeconomic and market driven foreign exchange strategies, delivering returns across a wide range of market environments.
The FX Factor Index is based on six strategies: Carry, Momentum, Valuation, Growth, Terms of Trade and Emerging Markets. These are strategies that have performed in a diverse set of market environments. By gaining exposure to these six strategies, the FX Factor Portfolio can outperform more narrowly-based foreign exchange indices.
The strategies used within the index have low correlation between one another, and collectively exhibit low correlation to traditional equity, bond and commodity investment returns. Exposure to the different strategies adjusts dynamically to changing market conditions. Risk is controlled and monitored via a volatility target and maximum limits are set on individual currency exposures.
“Investors prefer assets with diversified exposure in order to reduce risk and enhance the quality of returns,” said Simon Hards, Managing Director and Head of FX Options at Credit Suisse. “In order to meet various degrees of risk appetite, Credit Suisse offers a number of products linked to the performance of the index, ranging from trackers to capital-protected products.”
The FX Factor Index uses 18 currencies to employ its strategies - nine major currencies and eight emerging markets currencies are all valued against the US Dollar.
Sean Shepley, Head of the Global Foreign Exchange Research Group at Credit Suisse, said: “The six different strategies used in the FX Factor index have very dispersed historical performances. They are interesting individually, but are at their best when combined, offering a systematic approach to return generation in foreign exchange.”
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