BBVA FX Global Macro Trend Index

Overview

BBVA FX Global Macro Trend strategy aims to capture the trend risk premia generated by changing macro and micro economic conditions, by taking long/short positions in the most liquid  and non-pegged FX markets. 

The strategy takes exposure to a universe of fourteen macro linked  currency pairs: BRLEUR, BRLUSD, MXNUSD, MXNJPY, GBPCAD, GBPNOK, EURUSD, JPYUSD, ZARUSD, KRWUSD, JPYINR, INRUSD, BRLJPY, and MXNEUR.

Key Metrics

Key Facts

  • Long/Short time series trend investment strategy
  • Investment universe: Fourteen Macro linked currency pairs of the most liquid FX Deliverable and Non Deliverable Forwards
  • Trend Indicators across Short Term, Medium Term and Long Term Dynamic weights based on volatility to combine Short Term , Medium Term and Long Term Indicators
  • Constituents are equally weighted

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