A very low cost index fund is going to beat a majority of the amateur-managed money or professional-managed money (by Warren Buffet).
The idea of the Carry Trade Index strategy is to duplicate DB G10 Currency Harvest Index.
Deutsche Bank G10 Currency Future Harvest Index™ by (1) is based on entering into long futures contracts on the three G10 currencies associated with the highest interest rates, (2) entering into short futures contracts on the three G10 currencies associated with the lowest interest rates, and (3) collateralizing the futures contracts with United States 3-month Treasury bills.
Anyway, you can not invest directly in the index and brokerage commissions will be applied. As the index is traded on AMEX, investing in DBV is not available for all investors. Anyway, each of investors can create its own Carry Trade Index. The currencies used comprise the G10, which is the USD, EUR, JPY, CAD, CHF, GBP, AUD, NZD, NOK and SEK.
In order to repeat DBV, we need to enter long NZDJPY, GBPCHF, AUDUSD, USDSEK. In comparison with DBV, we have more room to make our own adjustments to the strategy. For example, we can choose the best time for entering in positions or even average our positions by increasing exposure of the portfolio.
