Nifty 50 Arbitrage
In equity market arbitrage is a popular strategy used by market participants that involves buying equities and selling equivalent equity futures.
The Nifty 50 Arbitrage Index aims to measure the performance of such arbitrage strategies. The index measures performance of portfolio involving investment in equity and equivalent short position equity futures, short-term debt market investments and cash.
Nifty 50 Arbitrage Methodolgy
ii. 65% weight is assigned to net returns from investment in long Nifty 50 index and equivalent Nifty 50 index short futures.
iii. 30% weight is assigned to returns from 1 month MIBOR. The 1 month MIBOR is considered to represent the short term investments and 5% weight is assigned to cash.
iv. Dividends received on equity investment are considered for index calculation on the Ex-dividend date.