Bloomberg Asia Dollar Spot Index Fact Sheet

June 28, 2024

Bloomberg Asia Dollar Spot Index (ASIADOLR)
Overview
The Bloomberg Asia Dollar Spot Index (ASIADOLR) tracks the performance of a basket of leading Asian currencies versus the U.S.
Dollar. This document intends to provide an indicative summary of the index. Please see here for the full methodology.
The index represents Asian currencies that have the highest liquidity in the currency markets and the biggest trade flows with the U.S.
The annually updated composition and diversified representation of currencies aims to provide a global measure of the U.S. Dollar.

Index Summary
Rebalancing

Annual. The Index rebalances once a year on the last business day of June.

Allocation

Trade (50%) – Federal Reserve Survey of major trading partners versus the U.S. Dollar.
Liquidity (50%) – Bank for International Settlements (BIS) Triennial Central Bank Survey of Foreign exchange turnover.

ConstituentsThe Index has a fixed universe of Asian currencies. The weightings of index constituents are a function of both tradingand liquidity. (see Fig. 1 below).

Structure

The index is Long Asian currencies and short the US Dollar.

Exclusions

Currencies pegged to the US Dollar.

Notable changes in the 2024 Rebalance•While CNY remained the highest weight, it decreased by -1.15% to 46.09%.

•KRW, INR, TWD, THB, IDR and PHP had their weights increased, the largest being INR at +0.44%.

•SGD and MYR decreased by -0.07% and -0.225 respectively.

Composition

Effective after the close of June 28, 2024, see Fig.1 below.

Currency

2024 Weight2023 Weight

Difference

Chinese Renminbi

CNY

46.09%

47.24%-1.15%South Korean Won

KRW

12.41%

12.19%+0.22%

Singapore Dollar

SGD

11.23%

11.30%-0.07%

Indian Rupee

INR

10.70%

10.26%+0.44%

Taiwan Dollar

TWD

8.32%

8.04%

+0.28%

Thai Baht

THB

3.73%

3.48%

+0.25%

Malaysian Ringgit

MYR

3.00%

3.22%

-0.22%

Indonesian Rupiah

IDR

2.63%

2.46%

+0.17%

Philippine Peso

PHP

1.90%

1.81%

+0.09%

Fig. 1

Bloomberg Asia Dollar Spot Index (ASIADOLR)

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Bloomberg Asia Dollar Spot Index Fact Sheet

June 28, 2024

Historical Performance Effective after the close of June 28, 2024.
•The ASIADOLR has returned -3.17% year to date.

•Year to date, the Thai Baht (THB) underperformed the most against the U.S. Dollar (USD) at -6.98%.

•CNY decreased against the US Dollar by 2.30%, reflecting its larger weighting in the index causing negative return.

•All currencies in the index dropped against the U.S. Dollar (USD) year to date.

Annual Returns ASIADOLR (by Month)
JanFebMarAprMayJunJulAug

SepOctNovDec

AnnualReturn2007-0.26%+0.20%+0.46%+0.77%+0.55%+0.21%+0.56%-0.79%+1.77%+1.27%-0.18%+0.38%+5.04%

2008+0.98%+1.10%-0.32%+0.01%-1.23%-0.20%+0.77%-2.90%-3.18%-3.02%-3.24%+3.92%-7.33%

2009-2.03%-3.60%+2.95%+2.83%+1.91%-0.57%+0.82%-0.61%+2.22%+0.31%+0.79%-0.07%+4.85%

2010+0.08%+0.05%+1.34%+1.14%-2.76%-0.01%+1.27%-0.39%+3.06%+0.95%-1.37%+2.16%+5.53%

2011-0.21%+0.23%+1.17%+1.74%-0.59%+0.36%+1.06%-0.48%-4.66%+2.39%-2.21%-0.12%-1.49%

2012+2.27%+0.55%-1.04%+0.16%-3.21%+1.09%+0.53%+0.00%+1.90%+0.57%+0.17%+0.06%+2.98%

2013-0.23%-0.14%-0.54%+0.84%-1.68%-1.07%-0.17%-1.09%+1.45%+0.98%-0.69%+0.15%-2.19%

2014-1.06%+0.17%+0.01%+0.11%+0.58%+0.34%+0.01%+0.50%-1.54%-0.03%-1.30%-0.91%-3.09%

2015-0.55%-0.18%-0.06%+1.04%-0.98%-0.30%-1.43%-2.90%-0.26%+1.50%-1.07%-0.90%-5.99%

2016-1.08%-0.19%+3.46%-0.16%-2.20%+0.60%+0.64%-0.32%+0.28%-1.64%-2.12%-0.88%-3.67%

2017+1.52%+0.91%+0.46%-0.11%+0.98%-0.11%+1.04%+0.91%-0.86%+0.45%+1.04%+1.32%+7.79%

2018+2.29%-1.02%+0.74%-0.88%-1.12%-2.67%-1.46%-0.52%-0.40%-1.65%+1.28%+0.89%-4.54%

2019+1.39%-0.19%-0.11%-0.71%-1.71%+1.31%-0.51%-2.73%+0.48%+1.48%-0.40%+1.32%-0.49%

2020-0.53%-1.38%-1.89%+0.98%-0.93%+1.36%+1.00%+1.26%+0.48%+1.24%+1.62%+1.13%+4.35%

2021+0.23%-0.57%-1.04%+0.98%+1.02%-1.44%-0.66%+0.49%-0.86%+0.61%-0.28%+0.45%-1.08%

2022-0.44%+0.29%-0.61%-3.05%-0.21%-1.75%-0.46%-1.64%-3.55%-1.45%+3.83%+2.15%-6.90%

2023+2.22%-3.01%+1.10%-0.72%-1.70%-1.00%+1.52%-1.81%-0.94%-0.33%+2.61%+0.72%-1.50%

2024-1.43%-0.28%-0.58%-0.94%+0.14%-0.11%-3.17%YTD* Currency returns

Spot Returns v USD,
YTD*
THB
-6.98%
KRW-6.42%
IDR-5.97%
PHP-5.50%
TWD-5.33%
SGD-2.63%
MYR-2.62%
CNY-2.30%
INR-0.22%

Annual Returns ASIADOLR+10.00%+7.79%+8.00%+6.00% +5.04%+5.53%+4.85%+4.00%+4.35%+2.98%+2.00%+0.00%-2.00%

2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 2021 2022 2023 2024

-1.49%-4.00%-6.00%-8.00%-10.00%-7.33%-0.49%-2.19%-3.09%-3.67%-5.99%-4.54%-1.08%-1.50%-3.17%-6.90%*Year to date as of, June 28, 2024

Bloomberg Asia Dollar Spot Index (ASIADOLR)

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Bloomberg Asia Dollar Spot Index Fact Sheet

June 28, 2024

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