FX Macro Quant Mid-Year Outlook: Carry will do the job

Research evidence excerpt

FX Macro Quant Mid-Year Outlook: Carry will do the job

Antonin T Delair AC Global Markets Strategy

(44-20) 7134-4643 19 June 2026 J P M O R G A N

antonin.t.delair@jpmorgan.com

Figure 3: The macro backdrop in 1H has led to real carry

FX Macro Quant Mid-Year outperformance with positive returns but subdued for risk-adjusted

carry and underperformance of value

Main drivers of 1H’26 Year-to-date total return index of global risk-adjusted carry, real carry and value REER PPI baskets (top-bottom 5 USD notional).

Entering 2026, we thought the first half of the year would be 110 Global risk-adjusted carry basket

Global value (REER PPI) basket +8%characterised by a low level of central bank activity favouring 108 Global real carry basket

risk-adjusted carry and relative commodity momentum. The 104 +4%

two strategies delivered positive returns, but were driven by a 102

totally different backdrop than anticipated. In the end, 1H26 100

has been marked by (i) renewed inflationary concerns on the 98

back of elevated oil prices, and (ii) resilience in risk assets 96 -5%

driven by the strong performance of the AI equity complex. 9492

Our first observation from 1H is that in a cyclical and infla- Jan 26 Feb 26 Mar 26 Apr 26 May 26 Jun 26

tionary backdrop, carry has generally delivered, but the varia- Source: J.P. Morgan

tion in implementation has played a significant role. The

Our third observation is that in EM, FDI and equity flowsreturns of our real carry basket (core) have been twice as

measures have been more relevant than usual. Historically,superior to nominal or risk-adjusted for global/EM port-

using this feature in the cross-section has added limited valuefolios as inflation concerns favour high real yielders.

due to a high correlation with FX carry, but buying/selling the