Lehman Brothers is the latest bank to tap into the growing demand for FX indices (see the weeklyFiX, August 24: "Now is the time for investable FX indices"). Its FX indices (LBFX) track the performance of a long position in G10 currencies against the US dollar. Total returns are calculated daily and incorporate spot and carry return components.
Lehman has backward tested the indices to January 1997 and they will initially consist of the euro, pound sterling, Australian dollar, New Zealand dollar, Canadian dollar, yen, Swedish krona, Swiss franc and Norwegian krone. The bank will publish revaluations on its LehmanLive client website and the Lehman Brothers global family of indices page (LEHM) on Bloomberg.
"We have worked closely with the index research group to design a transparent index that is both replicable and investable," says James McCormick, the bank’s global head of FX research.
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