Credit Suisse Group has introduced the new Credit Suisse FX Factor Index which is expected to provide investors with access to a diversified portfolio of multiple macroeconomic and market-driven foreign exchange strategies, delivering returns across a range of market environments.
Credit Suisse said that the FX Factor Index is based on six strategies: carry, momentum, valuation, growth, terms of trade and emerging markets.
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. Risk is controlled and monitored via a volatility target and maximum limits are set on individual currency exposures, according to Credit Suisse.
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.
