I did not buy it for any clients. It is an active strategy, of sorts, and I am not sure putting it in client accounts is ideal until it has something more than just back test results to go on. I have concluded that the strategy has utility. For a recap the fund goes double long the three highest yielding G-10 currencies and single short the three lowest yielding G-10 currencies; excluding the US dollar. The fund uses derivatives for this so the fund is mostly cash that will go into short term treasuries so there will be some yield.
The big picture idea is that, to bring up a theme of the last few weeks, it has offered market beating returns with only about a slice of the volatility. I think the market beating part will turn out to be an anomaly due to a distortion caused by the stock market crash earlier this decade.
The strategy has not done well over the last year. I think this can be attributed to being long the kiwi, which has retraced nicely in the last couple of months after a nasty decline earlier this year, and short the Swedish krona which I am favorably disposed to.The idea in buying this is low beta, a little yield and very little fundamental connection, as I see it, to the US economy.
I am not suggesting anyone buy this but I did want to post an update.
9 comments:
Been thinking about this one alot, also. The returns look toooo gooood. But, I don't want to be skeptical to the point of not taking a shot something that may work out...
Good post.
g
The returns don't look that good when you look at something less than a 12 year time frame. Over 12 years, a lot of things look better and disguise their drawdowns well.
Over the life of the index, there have been several drawdowns of 10-12% (retracements from recent highs).
It's not exactly risk free... it may not correlate highly with the stock market, but it's not a free lunch either.
-Jason G.
How could you buy it for $24.48?
Yahoo Finance history says the price
has not been below $25.00 since Oct 3.
BTW, are you still holding your ETF
shorts?
typo i will fix, $25.48 not $24.48.
i still have the short etf. when i put it on it hedged about 4% times two. now it looks to be 2.9% times two
Roger, where did you get the data to see how it's doing ytd, bringing backtesting up to real time? In the very short term it has moved up steadily, looking, short term, to be snesitive to the usd. And, how did you know it's current strategy of holding the kiwi? The site of dbv have all this information, one just has to dig a little? When there were drawdowns, did equities go in the opposite direction bearing out the low correlation when needed?
Deutsche Bank has a page somewhere on their web site. I am at my office today and it is on my computer at home. I'll post the link tonight when i get back, here in the comments.
Could you please explain why the DBV
currency ETF is negative this afternoon, while the FXn currency ETFs
are all positive? Would this be the
usual correlation? Thanks.
Jay C.
the fund is short the Swedish krona. The Riksbank raised rates by a quarter today. Also the kiwi is down because of econ data overnight that points to the RBNZ now not hiking again.
Hello,
I found your comments on DBV very encouraging especially since I have been hunting all over the web for information on this particular ETF.
Would you please send me the link to the page on the DB website that has the information concerning the Currency Index Value Fund (based on the 'Currency Harvest Index'.) I would appreciate it a great deal.
By the way I used to live in Tucson, so I congratulate you on your choice of residence in Prescott and hope that you are enjoying your always wonderful weather.
Cordially, Kremhilde
Kremhilde@yahoo.com
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