FTSE Carry Tilt Government Bond Index Series

Alternative approach to enhancing carry exposure

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  1. Overview
  2. Key resources
  3. Research and Insights
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The FTSE Carry Tilt Government Bond Index Series is FTSE Russell’s systematic approach to enhance carry exposure while controlling for duration and country allocations. It applies FTSE Russell’s standardized fixed tilt approach to a range of government bond indices to enhance exposure to carry.

The FTSE Carry Tilt Government Bond Index Series comprises:
-    FTSE Carry Tilt World Government Bond Index
-    FTSE Carry Tilt EMU Government Bond Index
-    FTSE Carry Tilt UK Government Bond Index
-    FTSE Carry Tilt US Treasury Index  

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Construction of the Carry Tilt Government Bond Index Series:

Step 1 Measurement of a Carry factor (i.e., rolling yield return) per bond
Step 2             Carry factors are standardized into Z-scores* and transformed into cumulative distribution S-scores*
Step 3 Fixed tilts are applied to create the FTSE Carry Tilt Government Bond Index Series

*Z-scores: showing whether a bond's carry is above or below average;
*S-scores: a ranking scale used to size allocations

Key resources

Research and Insights

Research

Emerging Asia (ex China) government bonds monthly

Explore monthly insights on key developments across India, Indonesia, Malaysia, the Philippines and Thailand government bond markets. Read the report.

Article

Why smarter fixed income indexing is on the rise

Rising government debt is reshaping fixed income investing, driving demand for smarter bond indices beyond traditional debt-weighted benchmarks.
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7 min

Research

After the great de-coupling - a Canadian credit index allowing independent hedging

Decoupling between Canadian and US markets is changing credit dynamics. See how this affects hedging and trading strategies.

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