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. |