Fixed Income Arbitrage Index

Year	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	YTD
2015	0.70%	1.14%	0.35%	0.84%	0.35%	-0.68%	0.09%	0.01%	-0.32%	-0.10%	0.34%	-0.03%	2.71%
2016	-0.34%	-0.51%	0.23%	0.87%	0.62%	-0.35%	0.87%	0.59%	0.69%	0.49%	0.83%	1.51%	5.62%
2017	0.97%	1.29%	0.27%	0.44%	0.33%	0.04%	0.44%	0.15%	0.16%	0.23%	-0.11%	-0.28%	3.99%
2018	0.47%	-0.02%	-0.03%	0.52%	-0.02%	-0.16%	0.04%	0.44%	0.53%	0.11%	-0.75%	-0.69%	0.43%
2019	0.56%	0.50%	0.07%	0.73%	-0.12%	-0.08%	0.24%	-0.65%	-0.23%	0.58%	0.27%^§	0.79%^†	2.70%*

^†Estimated performance for December 2019 calculated with reported data from 22 funds.
^§Estimated performance for November 2019 calculated with reported data from 31 funds.
^*All estimates and 2019 YTD amounts are calculated with reported data as of January-17-2020 19:05 US CST.

About the Fixed Income Arbitrage Index

The fixed income arbitrageur aims to profit from price anomalies between related interest rate securities. Most managers trade globally with a goal of generating steady returns with low volatility. This category includes interest rate swap arbitrage, US and non-US government bond arbitrage and forward yield curve arbitrage.

The Barclay Fixed Income Arbitrage Index is recalculated and updated real-time on this page as soon as the monthly returns for the underlying funds are recorded. Only funds that provide us with net returns are included in the index calculation. The number of funds that are currently included in the calculations for the most recent months can be found in the footnotes below. Please note that the calculation for the number of funds is time-stamped and that the number of funds will continue to increase until all funds categorized within the sector have reported monthly returns.

About the Fixed Income Arbitrage Index

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