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DZ BANK Advantage Index - DFIForward Rate Bias
What is DZAN FRB?
The DZAN FRB employs a quantitatively driven strategy to profit from the fact that forward rates overvalue actual spot rates.
(Enhanced) Foward Rate Bias – How does it work?
 | Forward rates are current valuators for a future interest rate. |
| Historically, forward rates overvalue the actual spot rates in many cases. |
| "FRB“-trading strategies typically try to benefit from these valuation failures through long-positions in interest rate instruments. |
| The „Enhanced Forward Rate Bias“-strategy is a development of the FRB-strategy, which estimates the current market trend through dynamic indicators and takes a position (long/short) in the interest rate market based on these indicators. |
| The investment is made with future contracts which do not need any employment of capital. |
What is DZAX-FRB (DZ Advantage Index on Forward Rate Bias)?
| The DZAX-IRD is the implementation of the EFRB-trading strategy, which tries to estimate the future movement of the 3M-Euribor through a statistical test (t-test). |
| The decision whether you take a „long“ or a „short“ position in the futures market is based on the t-test. |
| The leverage is determined through a fundamental economic indicator (1W EURIBOR), which should show any monetary policy changes. |
| Once a month, the position is reviewed and the investment level adjusted (monthly rebalancing). |
| Generated profits are reinvested. |
| There is a dynamic Stop-Loss-Mechanism. |
Index Participation and Note participation
Participation in the DZAN FRB strategy can be customized to suit individual investors with different risk appetites.
| Direct Index Participation – Full participation into the DZAX-FRB. There is no capital protection. |
| Note Participation – 100% capital protection at maturity. Choice of zero coupon or contingent coupon. |
Historical Performance of the DZAX-FRB
| Historic performance can be downloaded in the download-area. |
Current Value of the DZAX-FRB
| Current Value of the DZAX-FRB is displayed on REUTERS page DZAX02. |
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