FX Macro Quant: Carry continues to dominate in a low vol environment

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FX Macro Quant: Carry continues to dominate in a low vol environment

J P M O R G A N Global Markets Strategy

23 July 2026

FX Macro Quant

Carry continues to dominate in a low vol environment

Global FX Strategy

Antonin T Delair AC

(44-20) 7134-4643

antonin.t.delair@jpmorgan.com

J.P. Morgan Securities plc

• Our signals are low-conviction on the dollar. The USD weight in our Joyce(44-20) 3493-5891Lai

growth strategy has declined to 0%, as the number of countries with positive joyce.lai@jpmorgan.com

vs. negative growth momentum in our framework is similar. On our multi- J.P. Morgan Securities plc

signal TEAM score (RV across carry, growth, equity, commodity ToT Kunj J Padh

momentum, IV, and value), the dollar is middle-to-low ranked in our currency (1-212) 834-5108

universe. USD signals are mixed. Only the commodity ToT evolution is strong, kunj.padh@jpmchase.com

but it is balanced by low implied volatility (hence no real need to hold USD). J.P. Morgan Securities LLC

Meera Chandan

• FX markets continue to be characterized by low volatility, leaving carry (44-20) 7134-2924

as the main driver. Global/EM carry baskets have continued to deliver despite meera.chandan@jpmorgan.com

bumpy equity markets (carry-equity correlation is currently around zero). J.P. Morgan Securities plc

Global real carry remains the best implementation, up 11% vs. 5% YTD for

risk-adjusted. The long COP position explained a significant part of the P&L,

but the rest of the basket still delivered ~1%, showing a broader dynamic.

• We remain bullish on carry on decent yield dispersion in a pro-cyclical

environment. Brent at 90+ is positive for the factor. Above 100, we see more

risk of deleveraging, but keep in mind that global carry baskets also include