Abstract: A computer-implemented method of constructing a currency carry index performed by one or more computing devices. The method includes calculating a carry metric value for each of a plurality of currencies with respect to a base one of the currencies. For each of the currencies, the carry metric value is calculated based on a forward rate value associated with the currency, and a spot rate value associated with the currency. The method further includes ranking the currencies by their carry metric values, selecting a portion of the currencies for inclusion in the currency carry index based at least in part on the ranking, and assigning a weight value to each currency in the selected portion. The currency carry index includes the selected portion of the currencies weighted according to the weight value assigned to each currency in the selected portion.