A privately-placed investment trust managed by Shinkin Asset Management for Japanese financial institutions and institutional investors, the Shinkin FX Factor Special fund tracks FX Factor, a currency index offered by Credit Suisse.
Credit Suisse said that FX Factor offers investors direct access to a diversified portfolio of macroeconomic and technical foreign exchange trading strategies using a risk balanced, rules-based allocation process.
According to the Swiss bank, the identified six factors that tend to explain currency performance are carry, momentum, valuation, growth, terms of trade, and emerging markets. The index uses these factors to efficiently allocate capital across eighteen currencies in both G10 and emerging markets.
Exposure to the different strategies is rebalanced and optimized on a regular basis. The index has achieved 7.51% (excess return in yen) in average annual interest since its launch in 1999.
Estaliblised in 1990, Shinkin Asset Management is the asset management arm of Shinkin Central Bank, a cooperative financial institution whose membership consists of all shinkin banks nationwide, and has approximately 510 billion yen in assets under management as of March 2010.
