FAQ
How did you choose the list of countries?
Emphasis was placed on countries for which there are liquid futures contracts accessible to US investors.
Why do you use policy rates as short rates?
USD, GBP, and EUR use overnight reference rates: SOFR, SONIA, and €STR. For other countries, the short rate should ideally be the local overnight rate, such as CORRA for CAD, SARON for CHF, TONAR for JPY, and so on. In most countries, these rates are within a few basis points of the policy rate. In the future, daily overnight rates may be used for more markets.
Treasuries can be funded near SOFR, but certainly not equities! What gives?
Absolutely. The numbers on this website are for general reference. See, for example, Hazelkorn, Moskowitz & Vasudevan (2020) for estimates of the funding spread.
Why don't you have commodities, credit, or volatility? Don't they have carry?
I would love to have commodities, credit, and volatility! The data are a bit more restrictive for these assets, so I have not gotten to them yet.