Lehman Brothers has launched the Lehman Brothers FX Indices, a set of benchmarks that tracks the performance of a long position in G10 currencies against the US dollar. Total returns for each currency pair are calculated daily and incorporate both spot and carry return components.
With returns history starting in January 1997, the LBFX index family will initially consist of the euro, sterling, Australian dollar, New Zealand dollar, Canadian dollar, Japanese yen, Swedish krona, Swiss franc and Norwegian krone long against the US dollar. Returns will be published on the LehmanLive client web site and the Lehman Brothers Global Family of Indices page on Bloomberg.
'We have worked closely with the index research group to design a transparent index that is both replicable and investible,' says James McCormick, global head of foreign exchange research.
'These indices can be used as a benchmark to track currency performance in total returns and serve as the building blocks for tradable products that will be based on our suite of currency trading models, called MarQCuS.'
Global head of indices Nicholas Gendron says: 'Global investors are increasingly viewing the foreign exchange markets as a source of portfolio alpha and a separate asset class in portfolio allocations.'
'The LBFX Indices are another step in our efforts to increase our coverage of alternative asset classes, starting with our Global Hedge Fund Index that was introduced in 2005 and our Lehman Brothers Commodity Index that was launched in 2006.'
Founded in 1850 with headquarters in New York, with regional headquarters in London and Tokyo and a network of offices around the world, Lehman Brothers specialises in equity and fixed income sales, trading and research, investment banking, private investment management, asset management and private equity for corporations, governments and municipalities, institutions and high net worth clients worldwide.