FTSE releases first in range of currency indices

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FTSE Group has released the first in a set of currency indices in conjunction with Record Currency Management, which utilises the carry strategy to deliver out-performance.

The FTSE Currency Forward Rate Bias index series comprises FRB5 indices, which use the dollar, euro, pound, Japanese yen and Swiss franc in a carry strategy to exploit the differential between currency interest rates. The strategy, also referred to as forward rate bias, measures the tendency of higher interest rate currencies to outperform lower interest rate currencies. The out-performance is attained through rolling one-month forward contracts, which are equally-weighted across 10 currency pairs. FTSE says that the indices allow investors to access alternative beta in the currency m...

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