JP Morgan launches Yield Alpha 8 outperformance certificate in Germany

JP Morgan has launched an outperformance certificate based on the Yield Alpha 8 strategy in Germany. The two-year certificate offers a participation rate of 180% in the Yield Alpha 8 Index, which uses a multi-asset trading strategy that aims to return 8% every year with a volatility of less than 8%.

According to London-based Michael Schülli, derivatives marketer at JP Morgan, the certificate is available as a public offering although he declined to give details of the distributors of the certificate.

The Yield Alpha 8 strategy, developed by JP Morgan, aims to take advantage of investment opportunities across different asset classes, and uses the “Carry-to-Risk” framework to select trades with the highest risk adjusted potential returns.

The strategy replicates trades across four different carry opportunities: bond yields compared to short-term interest rates, equity earnings yields compared to short-term real interest rates, interest rate differentials between different currencies and risk premium between implied and realised equity volatility.

JP Morgan has previously launched structured products based on algorithmic trading strategies. “Algorithmic trading strategies such as CarryMax and Income/FX that are primarily for institutional investors, are now becoming available for retail investors as well,” Schülli says. “We have seen interest among the retail distributors and we will gradually make it available for the mass retail market.”

The offer of the certificate closes on 27 April and it will be submitted for listing on the Sttutgart Stock Exchange.