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), also known as “carry”, in the currency markets.

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 currency pairs. Both the FRB5 and FRB10 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.

FTSE is proud to present this index series within its line of alternative indices and will continue to enhance and develop the 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.

The FTSE Currency FRB5 Indices consist of ten currency pairs that can be created from the five most widely-traded currencies – US Dollar, Euro, Japanese Yen, Pound Sterling and Swiss Franc.

The FRB10 Indices consist of 45 currency pairs and introduce a further five currencies to the five already featured in the FRB5 Indices. These are - Australian Dollar, Canadian Dollar, New Zealand Dollar, Norwegian Krona and Swedish Krone.

The FRB indices can be used for portfolio construction, index-tracking management and for benchmarking active currency strategies. For further information on the index and performance statistics please view the product factsheets.

Further Information