CURRENCY RETURNS ETF isin LU0328474472
Io ho messo in portafoglio questo etf, per replicare una strategia di investimento articolata in valute.
http://www.dbxtrackers.de/EN/showpage.asp?pageid=143&pketf=99CURRENCY RETURNS INDEX
The Index is an Index calculated in EUR and published on each
Index Business Day by Deutsche Bank AG, London Branch and is
intended to reflect the performance of the Deutsche Bank Carry (EUR),
the Deutsche Bank Momentum (EUR) Index and the Deutsche Bank
Valuation (EUR) Index. The Index offers exposure to the Underlying
Indices which relate to notional currency forward rates. The closing
level of the Index on any day is affected by the closing levels of
each of the three Underlying Indices, which are in turn affected by
changes in the currency exchange rates in respect of the relevant
currencies to which the Underlying Indices relate. Each of the three
Underlying Indices is assigned an equal weighting in the calculation
of the closing level of the Index. The pool of currencies eligible for
inclusion in each of the Underlying Indices consists of the
“G10 Currencies”.
http://www.dbxtrackers.de/EN/pdf/EN/factsheet/factsheetLU0328474472_2009_10.pdf
Indici sottostanti:
Currency Carry
The Index is intended to reflect a strategy of purchasing 3-month forward contracts on three G10 Currencies in jurisdictions with high interest rates and selling 3-month forward contracts on three G10 Currencies in jurisdictions with low interest rates. This strategy is based on the view that foreign currency forward rates are biased estimators of future foreign currency spot rates, and that currencies that trade at a forward discount tend to outperform, on average, currencies that trade at a forward premium. The strategy reflected in the Index takes the view that by taking long positions in high yielding currencies and short positions in low yielding currencies, an investor’s gain from interest rate differentials in the high-yielding jurisdictions will exceed any potential losses from currency rate risk. The pool of currencies eligible for inclusion consists of the “G10 Currencies”.
Momentum
The Index is intended to reflect a strategy of purchasing 1-month forward contracts on three G10 Currencies that have experienced the greatest increase in value relative to the US Dollar in the preceding 12 month period and selling 1-month forward contracts on three G10 Currencies that have experienced the greatest decrease in value relative to the US Dollar in the preceding 12 month period, as determined by the spot exchange rates for such currencies against the US Dollar. This strategy is based on the view that currencies will continue the momentum of their most recent yearly performance and that taking long positions in currencies with the highest returns relative to the US Dollar and short positions in currencies with the lowest returns relative to the US Dollar will yield a higher return than would an equally-weighted investment in the G10 Currencies. The pool of currencies eligible for inclusion consists of the “G10 Currencies”
Valuation
The Index is intended to reflect a strategy of purchasing 3-month forward contracts on three G10 Currencies that are “undervalued” and selling 3-month forward contracts on three G10 Currencies that are “overvalued,” as determined by comparing the average of the spot exchange rates for such currencies relative to the US Dollar in the preceding quarterly period against the Purchasing Power Parities for such currencies. This strategy is based on the view that currencies will move toward their “true value” as reflected by such Purchasing Power Parities and that taking long positions in currencies whose spot exchange rates indicate undervaluation and short positions in currencies whose spot exchange rates indicate overvaluation will yield a higher return than would an equally-weighted investment in the G10 Currencies. The pool of currencies eligible for inclusion consists of the “G10 Currencies”
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