FTSE Currency Forward Rate Bias Index Series
The FTSE Currency Forward Rate Bias (FRB) Index Series is designed to capture the passive return generated from a defined set of equally-weighted currency pairs. This passive return is attributable to the forward rate bias (FRB), which is also called “carry”, in the currency markets. FTSE will continue to enhance and develop this index series, within its line of alternative indices, in response to market and investor requirements. The objective of the series is to offer a new diversification option to investors, outside of traditional equity and fixed income investments. It also allows investors to consider sources of alternative beta in other markets.
FTSE and Record Currency Management, the specialist currency investment manager, have created the first set of indices within the new FTSE Currency FRB Index Series. The FTSE Currency FRB5 Indices utilise the ten pairs that can be created from the five most widely-traded currencies – US Dollar, Euro, Japanese Yen, Pound Sterling and Swiss Franc.
The forward rate bias is the observed tendency of higher interest rate currencies to outperform lower interest rate currencies. Within the indices this outperformance is captured through a series of rolling one-month forward contracts, equally-weighted across all ten currency pairs. The indices are designed to be fully-investable and are published daily, on an end-of-day basis, by FTSE. Both excess return and total return are available, as is detailed constituent information.
These indices can be used for portfolio construction, index-tracking management, for use as the basis of financial products, such as ETFs, and for benchmarking active currency strategies. For further information on the index and performance statistics please view the product Factsheet.
Further Information