Transcription of db Currency Returns
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db Currency Returns
Db Currency ReturnsGLOBAL MARKETS| FOREIGN EXCHANGEC arrynOne of the most widely known andprofitable strategies in currencymarkets are carry trades, where onesystematically sells low interest ratecurrencies and buys high interestrate a strategy exploits whatacademics call forward-rate bias or the forward premium puzzle ,that is, the forward rate is not anunbiased estimate of future spot. Put another way, contrary to classicalnotions of efficient markets, carrytrades have made money over believe the reason this is possible is that investors whoemploy the carry trade exposethemselves to Currency taking this risk arerewarded by positive Returns over : Bond Indices Investors can earn a higher term premia by increasing durationMomentumnA widely observed feature ofcurrency markets is that manyexchange rates trend on a multi-yearbasis.
DB Currency Carry Index n Re-balance every 3 months, with the Roll Dates set as the third Wednesday of March, June, September and December n Rank each Currency by its 3m Libor Rate on the Observation Date (1 week before the quarterly IMM date)
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