A new ETF will track the currency carry trade (Symbol: DBV). Highlight from the prospectus submitted with the sec (the chart below is the first view I have seen of the carry trade bubble):
sec.gov
DB CURRENCY INDEX VALUE FUND
As Filed with the Securities and Exchange Commission on June 20, 2006
Index Calculation and Rules
…
The currencies that are eligible for inclusion in the Index, or Eligible Index Currencies, are the currencies of The Group of Ten, or G10, countries, which include the following currencies: United States Dollar, Euro, Japanese Yen, Canadian Dollar, Swiss Franc, British Pound, Australian Dollar, New Zealand Dollar, Norwegian Krone, Swedish Krona
…
At any time, the Index is comprised of long futures positions in the three Eligible Index Currencies associated with the highest interest rates and short futures positions in the three Eligible Index Currencies associated with the lowest interest rates.
…
The Index Sponsor calculates the Index on both an excess return basis (INDEX-ER) and a total return basis (INDEX-TR). The excess return basis calculation reflects the return of the applicable underlying currency futures only. The total return basis calculation affects the sum of the return of the applicable underlying currency futures plus the return of 3-month U.S. Treasury bills. The investment objective of the Fund and the Master Fund is to reflect the performance overtime of the Index calculated on an excess return basis
…
Annualized Return from 12-March 93
INDEX-TR: 11.8%
INDEX-ER: 7.6%
S&P 500 TR: 10.6%
Sharpe Ratio:
INDEX-TR: 1.17
INDEX-ER: 0.58
S&P 500 TR: 0.47
CORRELATION OF MONTHLY RETURNS of INDEX-TR and INDEX-ER to the S&P 500 TR is 17%
YanivBA. |
