Methods of constructing currency indexes

A computer-implemented method for use with a pool of candidate currencies, the method being performed by one or more computing devices, the method comprising:

• identifying a first set of weight values assigned to the candidate currencies in a currency value index;
• identifying a second set of weight values assigned to the candidate currencies in a currency trend index;
• obtaining a plurality of forward rate values associated with each of the candidate currencies, each of the plurality of forward rate values having been determined at close of an exchange on a different trading day;
• for each of the candidate currencies, obtaining a spot rate value corresponding to each of the plurality of forward rate values, each spot rate value having been determined on the same trading day as the forward rate value corresponding to the spot rate value;
• calculating a carry metric value for each of the candidate currencies by (a) dividing each of the plurality of forward rate values associated with the candidate currency by the spot rate value corresponding to the forward rate to obtain a plurality of ratio values for the candidate currency, and (b) calculating an average of the plurality of ratio values for the candidate currency;
• ranking the candidate currencies by their carry metric values;
• selecting a portion of the candidate currencies for inclusion in a currency carry index based at least in part on the ranking;
• identifying a third set of weight values by (a) assigning a weight value other than zero to each candidate currency in the selected portion of the candidate currencies, and (b) assigning a weight value equal to zero to any candidate currency not included in the selected portion of the candidate currencies;
• and
• for each of the candidate currencies, calculating a combined weight value as a function of the weight value assigned to the candidate currency in the first set of weight values, the weight value assigned to the candidate currency in the second set of weight values, and the weight value assigned to the candidate currency in the third set of weight values, a combined currency index comprising as constituent currencies any of the candidate currencies having a combined weight value greater than zero, each constituent currency being weighted in the combined currency index according to the combined weight value calculated for the constituent currency.