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.

All material subject to strictly enforced copyright laws. © 2020 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%

Take out a complimentary trial

Take out a 7 day trial to gain unlimited access to Euromoney.com and Asiamoney.com analysis and receive expertly-curated updates direct to your inbox.

 

Already a user?

Login now

 

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