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.
Schröder, Michael, Waldemar Rotfuß and Qingwei Wang (2007), Analyse der Forward-Rate Bias Strategie der Deutschen Bank, Studie im Auftrag der Deutschen Bank AG, Frankfurt am Main, Mannheim. Download