Credit Suisse Introduces FX Metrics

Credit Suisse has launched a new family of investable foreign exchange (FX) indices, FX Metrics, to provide investors with flexibility to invest in the FX asset class to meet their specific objectives.

Credit Suisse said that the launch of FX Metrics family of indices follows the launch of FX Factor Index in April 2009 and comprises the six strategies that make up the FX Factor Index.

According to the Credit Suisse, while the FX Factor Index generates alpha by adjusting exposure to the different strategies in response to changing market conditions, the flexible and modular approach of FX Metrics enables investors to capture alpha by selecting and combining different macro-driven FX strategies.

Credit Suisse claimed that together, FX Factor and FX Metrics give investors the choice to tailor their own alpha or beta investment indices.

The strategies employed by FX Factor, which clients can now access individually through FX Metrics, are: carry; momentum; value; terms of trade; growth; and emerging markets, which takes advantage of the expected appreciation of emerging markets currencies.

Like the FX Factor Index, the FX Metrics family of indices employs 18 currencies across the different strategies available, 10 major currencies and eight emerging markets currencies which are all valued against the US Dollar.

Credit Suisse said that to facilitate exposure to the FX Metrics strategies, it is providing clients with liquid investment solutions to meet different needs and risk appetites, including delta one and bespoke solutions.

Umberto Alvisi, FX strategist in the global foreign exchange research group at Credit Suisse, said: “The flexibility and modularity provided by FX Metrics offer clients greater choice in how they access the benefits of investing in FX as an asset class.”

Anders Vik, global head of FX structuring at Credit Suisse, said: “FX Metrics gives clients the ability to structure an FX portfolio around a broad range of macro strategies, along with a variety of investment products to put their view into action.”