キャリートレード戦略のETF「PowerShares DB G10 Currency Harvest」 （ETFクルーク）
PowerShares DB G10 Currency Harvest: Hedge Fund Results Without Hedge Fund Fees （Seeking alpha）
Over the last few years, ETFs have been introducing individual investors to a rapidly expanding universe of potential diversifiers at a tiny fraction of the fees charged by actively managed hedge funds. One such "hedge-fund-light" strategy is the "carry trade," one of the oldest strategies in finance, in which an investor borrows money in a currency with low interest rates and invests it in another with higher interest rates. PowerShares DB G10 Currency Harvest (DBV) leverages a quantitative strategy building a long-short portfolio based upon academic research to give individuals an easy way to invest the carry trade as a small part of a long-term portfolio.
This trade takes advantage of the historic pattern that higher-yielding currencies tend to maintain their exchange rate against lower-yielding currencies or even appreciate slightly, allowing the trader to pocket the difference in the currency yields (also known as the carry). The strategy is easily leveraged given its frequently low volatility and reliance on futures contracts, allowing higher returns than the mere 2% to 4% annual short-term interest-rate spreads between developed economies.
PowerShares DB G10 Currency Harvest and its underlying index utilize a 2x leverage, as it shorts three currencies for the total notional value of its assets and goes long in another three currencies for the notional amount of its assets. Additional yield comes from investing the collateral cash for the futures contracts in T-bills, boosting long-run historical returns of this strategy to around 6%-8% after fees, or slightly less than stocks.