Fast Em Asia Fx Model Oil Change

Crédit Agricole CIB has updated its FAST EM Asia FX model following the discontinuation of certain food and metal commodity indexes. The new model version shows improved backtested returns and higher Sharpe ratios for USD/INR and USD/KRW NDFs.

Key Takeaways

• 1.Two commodity indexes used in the FAST EM Asia FX model were discontinued, requiring the use of substitute indexes.
• 2.The updated model with substitute indexes demonstrates improved performance, increasing returns and Sharpe ratios during backtesting.

Table of Contents

• FAST EM Asia FX model: oil change
• Conclusions
• Emerging Markets Research advanced tools
• Red Mount Analytics
• Global Markets Research contact details
• Certification
• Foreign exchange disclosure statement to clients of CACIB
• Valuation and methodology
• MiFID II Research contact details
• Disclaimer

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