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BSE launches arbitrage rate index

It will provide market participants with a transparent benchmark to compare the performance of similar arbitrage strategies.

twitter-logo PTI        Last Updated: April 4, 2018  | 10:54 IST
BSE launches arbitrage rate index

Asia Index, a joint venture between S&P Dow Jones Indices and BSE, has launched arbitrage rate index. The S&P BSE Arbitrage Rate Index will equally weigh long positions in the Sensex and equivalent short positions in the futures contracts, Asia Index CEO Alka Banerjee said.

It will provide market participants with a transparent benchmark to compare the performance of similar arbitrage strategies.

The index will be rebalanced every month, effective after the close of business a day prior to the expiration of the futures contract. The futures contract expires on the last Thursday of each month.

"The index is designed to measure a 100 per cent long index weight in the S&P BSE Sensex total return index and a 100 per cent short index weight in the S&P BSE Sensex futures excess return index," Asia Index noted.

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