Analysis of a Forward Rate Bias-Strategy

Analysis of a Forward Rate Bias-Strategy

Client/Allowance

Deutsche Bank AG

Period: 27.02. – 31.05.2006

The project analysed the performance of an investment strategy which is based on differences between forward rates and money market interest rates. In particular, the project aimed to investigate the stability of the performance over time. Our results show that the DB FIRST investment strategy of the Deutsche Bank exhibits a stable performance over the period 1980 to 2005. The risk of the strategy changed over time and was higher in the 1980s compared to the later periods.

Project members

Michael Schröder

Michael Schröder

Project Coordinator
Senior Researcher

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Qingwei Wang

Qingwei Wang

Research Associate

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Client/Allowance
Deutsche Bank AG, Frankfurt am Main, DE

Selected Publications

Contact

Senior Researcher
Dr. Michael Schröder
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