12 Ocobe 2009 DBIQ Index Guide db PULSE Indices Summay Money make fowad aes have a lage and consisen popensiy o ove-pedic fuue ealised inees aes, called he Fowad Rae Bias (FRB. Deusche Bank s suie of FRB indices acks Fowad Rae Bias in EUR and USD, amongs ohe cuencies. The db PULSE indices measue a sysemaic long/sho saegy ha aemps o maximise he eun of aking a posiion in fuues, eplicaed by an undelying long/sho exposue o he FRB indices. 3 PULSE indices ae calculaed, wih a EUR and USD undelying and a baske of hese wo indices. The levels of he db PULSE indices ae updaed daily o Bloombeg o he ickes DBPPULSE (EUR, DBPPULSU (USD and DBPPULSB (he baske Moe deails of he index can be found in he DBIQ websie, hps://index.db.com Figue 1. Hisoy of he PULSE Index vesus he coesponding FRB index Pulse EUR FRB EUR Ma- May-92 Jul-94 Sep-96 Nov-98 Jan-01 Ma-03 May-05 Jul-07 Sep-0 140 Pulse USD FRB USD Ma- May-92 Jul-94 Sep-96 Nov-98 Jan-01 Ma-03 May-05 Jul-07 Sep-0 140 Pulse Baske FRB Baske Index Developmen Conacs: Ma- May-92 Jul-94 Sep-96 Nov-98 Jan-01 Ma-03 May-05 Jul-07 Sep-0 Souce : DBIQ London: +44 (0207 545 0505 New Yok: +1 212 250 8998
12 Ocobe 2009 Hisoical Analysis The following analysis is based on index levels un fom 9-Ma-19 o 28-Sep-2009. Figue 2. Reun Summay PULSE EUR PULSE USD PULSE Baske Annualised Reun 1.16% 1.49% 1.33% Aveage 3m Volailiy 0.91% 1.24% 0.86% Shape Raio 1.27 1.20 1.55 Aveage Monhly Reuns 0.10% 0.12% 0.11% % Posiive Monhs 64.10% 66.67% 66.67% Aveage Monhly +ve Reun 0.24% 0.32% 0.24% Aveage Monhly -ve Reun -0.17% -0.28% -0.15% Bes Monhly Reun 1.53% 1.08% 0.% Monh Oc-92 Jul-92 Jan-09 Wos Monhly Reun -0.69% -1.15% -0.72% Monh Dec-01 Ma-96 Dec-01 Monhly Reun Volailiy 0.27% 0.37% 0.26% Maximum Dawdown -1.56% -2.00% -1.05% Sa Monh Nov-93 Feb-04 Feb-04 End Monh Oc-94 Oc-04 Sep-04 Souce : DBIQ Figue 3. Y o Y euns, Rolling 60 day Volailiy and Dawdowns 6% 4% 2% 0% -2% 3% 2% 1% 0% Jun- Feb-92 Oc-93 Jun-95 Feb-97 Oc-98 Jun-00 Feb-02 Oc-03 Jun-05 Feb-07 Oc-08 0.0% -0.5% -1.0% -1.5% -2.0% -2.5% Ap- Feb-92 Jan-94 Nov-95 Sep-97 Jul-99 May-01 Ma-03 Jan-05 Nov-06 Sep-08 Souce : DBIQ 2
Index Calculaions The PULSE indices ae calculaed on all business days in which makes in London (LDN, New Yok (NYC and makes following he TARGET2 Selemen sysem (EUR. The indices ae ebalanced on he las business day of he monh, called he Index Rebalance Daes. Index levels PULSE (EUR and USD The PULSE index in a cuency has eihe a long o sho posiion in he undelying FRB index in he same cuency. The index level is defined as w( * ( IL ( / IL ( 1 *( 1 flip cos( IL( = IL( * Whee fb : index business day, defined by a calenda EUR,LDN,NYC : las ebalance dae befoe w( : weigh assigned, which is eihe (+/-% - defined in secion iled Weigh Deeminaion IL( : PULSE Index level in cuency i on day cuency being EUR o USD IL fb ( : FRB index in cuency i on day In EUR, he index is DBFRUE2 <index>in Bloombeg In USD, he index is DBFRUU2 <index>in Bloombeg flip_cos( :he cos associaed wih changing he assigned weigh fom he pevious assignmen =2 bps if w ( <> w( ' =0 if w ( = w( ' being he ebalance day pevious o The nex secion descibes he algoihm o deemine he weighs Weigh Deeminaion fb The weighs ae deemined on he signal Dae s, which falls wo business days befoe he las index business day of he monh. Rebalancing is done monhly on he las index business day of he monh excep fo Decembe, when he ebalance is done on he fouh business day of he following Januay. Fo any signal dae s, define PeCenHikes(s,s as he numbe of index business days on which hee was an incease in he 3m Libo ( Euibo ove he pevious business day, expessed as a pecen of he numbe of days consideed - numbe of days consideed being he business days beween he signal dae s and he pevious signal dae s (excluding s The USD indices use he 3m Libo US0003M <index> and he EUR indices use he 3m Euibo EUR003M <index> Hikes(s,s as a vaiable se o TRUE if hee is a hike in he Tage Rae se by he especive Cenal Bank ( he Fed o he ECB beween s and s, and is FALSE ohewise. w( is -% if Eihe PeCenHikes(s,s >= Theshold(i OR Hikes(s,s is TRUE is % OTHERWISE Theshold (EUR = 65% and Theshold(USD = 70% 3
12 Ocobe 2009 Index levels PULSE Baske 0.5* ( ILeu( / ILeu( 1 + 0.5* ( ILusd( / ILusd( 1 ILb ( = ILb( * whee ILb( ILeu( ILusd( : index business day, defined by a calenda EUR,LDN,NYC : las ebalance dae befoe : PULSE Baske Index level in on day : PULSE EUR Index level in on day : PULSE USD Index level in on day Appendix FRB Index Calculaions A fowad ae bias (FRB index measues he change in pice of he Fouh Inees Rae Fuues Conac. The fouh Fuues is defined as he conac which seles aound he IMM dae in one yea s ime. The conac is olled quaely on he fis Fiday (o nex Business day of Mach, June, Sepembe o Decembe. Each of hese indices is expessed in he elevan local cuency and is calculaed on business days in he especive Fuues makes. The individual cuency indices ae calculaed as follows: whee ( F(, i F(, / SIL(, i = SIL(, i* i : Index Business Dae, : Fuues Conac oll dae, i : denoes he six cuency FRB indices, SIL(,i : level on Index Business Dae fo FRB index in cuency SIL(,i : level on Index Rebalance Dae fo AFRB index in cuency F(,i : Fuues Pice on Index Business Dae wih selemen dae (+1y 4
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