Deutsche indexes capture currency correlation in Asia
Deutsche Bank has launched a set of indexes designed to capture returns generated by what appears to be growing coordination of currency policy among Asian central banks.
The indexes, dubbed DB Asia Convergence, simulate a market neutral strategy that exploits what Deutsche believes is an increase in correlation among local Asian currencies in up to 12 markets. The trend is a result of the widespread use of trade-weighted currency baskets in the region, which Asian central banks appear to use to protect export competitiveness.
“The concept of an Asian Monetary Union (AMU) has been validated by a number of economic studies and is getting serious attention among
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