Deutsche Unveils FX Indices

May 30, 2002 ( - Contending that foreign exchange should be its own asset class, Deutsche Bank has introduced a new group of indices tracking key currencies in global markets.

Fergus Lynch, managing director and Deutsche’s head of index development, said viewing global exchange as a distinct asset class means that it, “needs a set of analytics in its own right,” according to a Reuters news report.

The Deutsche indices will track spot market activity, rates of return on long positions, and return minus the cost of carry, the company said.

The indices are comprised of currency pairs of the five major global currencies: the US dollar, euro, yen, Swiss franc, and sterling, which are paired against the units of 11 other industrialized nations.

All data will be accessible through Deutsche Bank’s Index Quant system (DBIQ), a proprietary web-based portfolio and analysis tool.

The bank’s FX spot index looks at the total return calculated by day-to-day changes in spot forex rates. Its currency return index measures the return on a long money market position, while the carry index measures total currency return, but without the carry cost.

According to Deutsche, possible uses for the indices could include new base data for technical analysis, establishing customized market benchmarks, and strategies for trading forward rates.