The material on this site is for financial institutions, professional investors and their professional advisers. It is for information only. Please read our Terms & Conditions, Privacy Policy and Cookies before using this site. Please see our Subscription Terms and Conditions.


All material subject to strictly enforced copyright laws. © 2022 Euromoney, a part of the Euromoney Institutional Investor PLC.
FOREIGN EXCHANGE

More new products for FX as an asset class: Credit Suisse

Backward testing has shown returns of 17.1% per annum with an annual realised volatility of 7.8% over the past eight years.

I wrote last week that there was a stream of new products being launched, all designed to increase the attraction of FX as an asset class. In my haste to meet my deadline, I forgot to mention that Credit Suisse had launched what it calls its rolling optimized carry indices (ROCI), though I know it may seem inconceivable that I could do so, given the products’ snappy name. This week, with my tail slightly between my legs, I will make amends. Credit Suisse says the ROCI offer investors an efficient and transparent method to participate in FX carry trading. Backward testing shows that the US dollar-based ROCI optimised forward bias strategy has returned 17.1% per annum with an annual realised volatility of 7.8% over the past eight years. In comparison, the S&P 500 has returned a paltry 3.1% per annum with an annual volatility of 17.7% over the same period.

You have reached premium content. Please log in to continue reading.

Read beyond the headlines with Euromoney

For over 50 years, our readers have looked to Euromoney to stay informed about the issues that matter in the international banking and financial markets. Find out more about our different levels of access below.

SUBSCRIBE ONLINE TODAY

Unlimited access to Euromoney.com and Asiamoney.com

Expert comment, long reads and in-depth analysis interviews with senior finance professionals

Access the results of our market-leading annual surveys across core financial services

Access the results of our annual awards, including the world-renowned Awards for Excellence

Your print copy of Euromoney magazine delivered monthly

£73.75 per month

Billed Annually

FREE 7 DAY TRIAL

Unlimited access to Euromoney.com and Asiamoney.com, including our top stories, long reads, expert analysis, and the results of our annual surveys and awards

Sign up to any of our newsletters, curated by our editors

LOGIN NOW

Already a user?

We use cookies to provide a personalized site experience.
By continuing to use & browse the site you agree to our Privacy Policy.
I agree