Jim McCormick, the bank’s London-based global head of foreign exchange research, said the platform’s biggest advantage was the diversity of strategies it covered.“MarQCuS tries to cover as many of the bases between pure carry- and pure fundamentals-based strategies as possible,” he said.
Strategies available via MarQCuS range from one that simply targets G-10 carry trades to others that play on the responsiveness of global currencies to movements in other factors such as equities, commodities and interest rates.
According to Lehman Brothers, diversified exposure to all six strategies would have reaped an average annual return of 6.05% above Libor or Euribor from January 1997 to the present, with an annual standard deviation of 2.05%.
A raft of similar forex offerings have been marketed by banks during the past year, tapping investor demand for perceivably uncorrelated assets. Since January 1997, Lehman claimed the six MarQCuS strategies combined have had a -2% correlation with equities, a 1% correlation with two-year US dollar swaps and a -9% correlation with credit spreads.
The week in Risk.net, May 19-25 2017Receive this by email