Financial Times FT.com

Indices to track carry trade

By Steve Johnson

Published: September 20 2009 08:21 | Last updated: September 20 2009 08:21

Record Currency Management and the FTSE Group will today unveil a series of indices designed to track the “carry trade” in foreign exchange markets.

The indices will tap into the observed tendency for excess returns to accrue to investors who build long positions in currencies backed by high nominal interest rates, funded by short positions in low-yielding currencies, known as the carry trade or forward rate bias (FRB).

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