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FTSE Currency Forward Rate Bias Index Series

Published in Alternative Indices

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 indexes, 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.

Key Features and Coverage on RIMES

For this data source, RIMES hosts ten currencies/indexes (5 for Excess Return and 5 for Total Return), including:

  • FTSE Currency FRB5 Chf Excess Return/Total Return Index, Eur Excess Return/Total Return Index, Gbp Excess Return/Total Return Index, Jpy Excess Return/Total Return Index, Usd Excess Return/Total Return Index

Some of the items available include:

  • Index level time series items: Excess Return and Total Return Index
  • Current index level items: Symbol, Description, Domain, Last Price Date, CCY
  • Constituent level current items: Symbol, Domain, Last Price Date
  • Constituent level portfolio items: Balance Rate, Contribution Month-to-date, Current Date Weights, Current Long Position, Current Rebalance Date, Current Roll Date, Current Set Pair Date, Main Rate, Next Fwd Expiry Date, Next Long Position, Next Rebalancing Date, Next Roll Date, Next Set Pair Date, P&L Conversion Rate, P&L Settlement Date, Position Size Rate, Previous Date, Previous Date Weights, Symbol, and Value Rate

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