FX news: CitiFX beta indices
Citi has simplified its CitiFX Beta Indices and expanded them to include more currencies. The indices are designed to capture the returns available from common currency trading styles and use a simple monthly ranking system to determine which currency pairs are traded for each investment style.
The indices (and their investment styles) are G10 trend, G10 carry, G10 purchasing power parity, emerging market trend, and emerging market carry.
In addition to the five core investment styles, there are an additional five indices available that are combinations of the core investment styles: global carry (EM and G10 carry), global trend (EM and G10 trend), G10 (all three G10 styles), EM (carry and trend) and BetaMax (all five strategies).
Each one of the combined strategy portfolios provides broad exposure to a theme while the CitiFX BetaMax is the diversified index offering the opportunity to invest in beta-FX as an asset class.
Which sounds eminently sensible except for the name. BetaMax means only one thing to those of us over 40: Sony’s painful lesson in video.
Citi says that investors in the new beta indices incur no management fees, rather a small bid and ask spread around the published mid-rates.