The S&P Currency Arbitrage Index seeks to model a carry trade strategy. The index consists of positions in the G10 currencies based on their relative interest rates versus the U.S. dollar. Carry trade strategies are designed to take advantage of the forward rate bias in the currency markets. Since high yielding currencies tend not to depreciate to the extent that would offset interest rate differentials with low yielding currencies, it has been a profitable strategy to invest long in high yielding currencies and short in low yielding currencies.
The index is part of the S&P Arbitrage Index Family. Other indices in the family are the S&P 500 Volatility Arbitrage Index and the S&P Long Only Merger Arbitrage Index.
Index Governance and Policy
This index is maintained by the S&P Index Committee, whose members include Standard & Poor's economists and index analysts. It follows a set of published guidelines and policies that provide the transparent methodologies used to maintain the index.
The S&P Long-Only Merger Arbitrage Index seeks to model a risk arbitrage strategy that exploits commonly observed price changes associated with mergers.
The S&P 500 Volatility Arbitrage Index seeks to model a common strategy that takes advantage of the difference between implied volatility and realized volatility.
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