BBVA FX Global Carry Index
Overview
BBVA FX Global Carry aims to generate return by borrowing in a relative low yielding currency and investing in a high yielding currency. These strategies tend to gain in a stable macroeconomic environment.
FX Global Carry strategy takes exposure to a universe of fourteen most liquid and free floating currencies from G10 (USD, EUR, GBP, AUD, CAD, JPY, NZD, NOK, SEK) and from EM (BRL, INR, KRW, MXN, ZAR).
Key Metrics
Key Facts
- Long/Short time series investment strategy
- Investment universe: fourteen most liquid FX Deliverable and Non Deliverable Forwards
- Long/ short allocation based on the implied short term interest rate
- Constituents are weighted proportionally to the relative implied interest rate
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