FX Macro Quant: Importer-heavy, slightly more defensive carry

Research evidence excerpt

FX Macro Quant: Importer-heavy, slightly more defensive carry

J P M O R G A N Global Markets Strategy

02 July 2026

FX Macro Quant

Importer-heavy, slightly more defensive carry

• The USD weight in our growth strategy has declined to +20%, shifting to Global FX Strategy

AC neutral from defensive previously, as the mix of countries with positive vs. Antonin T Delair

negative growth momentum has become more balanced. (44-20) 7134-4643

• Global/EM carry baskets have continued to outperform despite recent antonin.t.delair@jpmorgan.comJ.P. Morgan Securities plc

bumpy equity markets. Real carry remains the stronger implementation, AC Joyce Lai

up +10% vs. +5% for risk-adjusted year-to-date. We remain bullish on the (44-20) 3493-5891

global/EM carry factors as discussed in our mid-year outlook. However, one joyce.lai@jpmorgan.com

risk to our carry view is the cheapness of JPY at -27% on our long-term REER J.P. Morgan Securities plc

deviation metric, close to the -30% seen in August 2024 when carry suffered Meera Chandan

a somewhat yen-driven correction across the board. (44-20) 7134-2924

meera.chandan@jpmorgan.com

• In G10, the risk-adjusted carry basket is down 2.8% from its early June J.P. Morgan Securities plc

peak, notably due to NOK longs. Based on our TEAM macro scores Kunj J Padh

incorporating carry, growth, equity, commodity momentum, etc., the quality (1-212) 834-5108

of G10 low yielders has improved vs. high yielders as the TEAM model has kunj.padh@jpmchase.com

reduced its weight in the commodity ToT momentum signal. The ranking of J.P. Morgan Securities LLC

NOK in the cross-section has significantly fallen since June 16th from top 4 to

22. Despite the recent short-term headwinds for G10 carry, we are still

medium-term bullish given the elevated yield dispersion.