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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
More Information

Including the benchmark's technical specifications, rules, and opportunities, contact: advisory@bbgfx.com

World Currency Index World Currency Index Reviewed by BBGFX Blogger Dev on October 13, 2020 Rating: 5
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