World Currency Index
 |
| Innovative Strategies |
Bannockburn World Currency
Index
The Bannockburn World Currency Index is an innovative currency index. It is a
GDP-weighted index of the top dozen countries and economic areas, so the eurozone counts as a single entity.
Half of the members are developed countries, and the other half are emerging market countries. The US is also
included, unlike most of the other currency baskets, including the Dollar Index. Our basket is comprised of
one-month forwards. We back out the implied interest rate from the forwards, and generate a one-month
GDP-weighted benchmark interest rate.
Currency baskets are often trade-weighted and while individual trade-weighted
indices are important for policymakers
and investors, a GDP-weighted currency basket offers a new global benchmark.
The Bannockburn World Currency Index was designed in partnership with Bloomberg,
L.P.., who will track and maintain the index and interest rate. It is available on the Bloomberg platform as BWCI
{<INDEX> and BWCII <INDEX>) throughout its
worldwide network.
Two Benchmarks
- GDP-weighted currency basket including the 12 largest economic areas
- GDP-weighted one-month interest rate interpolated from forwards
Comprehensive
- 81% of the world’s GDP
- 79% of equity market capitalization
- 94% of the global bond market
- 87% of the turnover of the foreign exchange market
Including the benchmark's technical specifications, rules, and opportunities, contact: advisory@bbgfx.com
World Currency Index
Reviewed by BBGFX Blogger Dev
on
January 07, 2021
Rating:
Reviewed by BBGFX Blogger Dev
on
January 07, 2021
Rating:
