S&P offers interest rate arbitrage indexes
Index provider Standard & Poor's has launched the S&P Forward Interest Rate Arbitrage Index series, which is designed to provide exposure to interest-rate based investment strategies. The index series, which will comprise indexes for seven countries covering the most liquid G10 currencies, will aim to exploit differences across the currencies and interest rates of these economies.
The index series comprises indexes for seven currencies that have an active interest rate futures contracts, including the S&P Australian dollar Forward Arbitrage, the British pound, the Canadian dollar, the euro, the Japanese yen, the Swiss franc and the US dollar indexes. The indexes roll on a quarterly basis in March, June, September and December, based on the settlement schedule of three-month interest rate futures contracts.
"In most markets, long-term interest rates tend to be higher than
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