ABN index set for Japan debut

The proprietary SPI product, launched last month, gives a daily reading of hedge fund and momentum investors' activities that helps to identify turning points in a currency pair. SPI predicts flows by replicating IMM data using several models.

The index has been most successful in illustrating the importance of speculative flows in US dollar/yen moves. SPI showed that in September and October speculators led the appreciation of the yen, minimising the impact of the Bank of Japan's intervention.


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