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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 in a statement.
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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