JPMaQS in practice: Enhancing bond index returns with systematic FX hedging. Tue Jun 23 2026

Research evidence excerpt

JPMaQS in practice: Enhancing bond index returns with systematic FX hedging. Tue Jun 23 2026

Products & Services J P M O R G A NJPMaQS

23 June 2026

Empirical analysis shows that this composite macro signal is a highly significant predictor of FX returns and would have

generated material risk-adjusted value as a standalone strategy. When applied to index hedging, positions are constrained by

country weights and hedge-ratio limits. As a result, simulated hedging PnLs are smaller and more seasonal than those of the

unconstrained strategy. Even so, they make a material difference to long-term index performance. Between 2000 and 2026, the

systematically hedged index would have outperformed the passive unhedged index by more than 80 basis points per year on

average, increasing total index returns by more than one-third.

Full post and python code here

Empirical findings in this note are based on the J.P. Morgan Macrosynergy Quantamental System (JPMaQS), a joint dataset

produced by J.P. Morgan and Macrosynergy delivering point-in-time macroeconomic indicators for systematic trading research.